-
作者：Ankirchner, Stefan; Dereich, Steffen; Imkeller, Peter
作者单位：Humboldt University of Berlin; Technical University of Berlin
摘要：The background for the general mathematical link between utility and information theory investigated in this paper is a simple financial market model with two kinds of small traders: less informed traders and insiders, whose extra information is represented by an enlargement of the other agents' filtration. The expected logarithmic utility increment, that is, the difference of the insider's and the less informed trader's expected logarithmic utility is described in terms of the information dri...
-
作者：Landim, C; Valle, G
作者单位：Universite de Rouen Normandie; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We study a class of one-dimensional interacting particle systems with random boundaries as a microscopic model for Stefan's melting and freezing problem. We prove that under diffusive rescaling these particle systems exhibit a hydrodynamic behavior described by the solution of a Cauchy-Stefan problem.
-
作者：Gnedin, Alexander; Pitman, Jim; Yor, Marc
作者单位：Utrecht University; Sorbonne Universite; University of California System; University of California Berkeley
摘要：A random composition of n appears when the points of a random closed set (R) over tilde subset of [0, 1] are used to separate into blocks n points sampled from the uniform distribution. We study the number of parts K-n of this composition and other related functionals under the assumption that (R) over tilde = phi(S-center dot), where (S-t, t >= 0) is a subordinator and phi:[0, infinity] -> [0, 1] is a diffeomorphism. We derive the asymptotics of K-n when the Levy measure of the subordinator i...
