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作者：Foucart, Clement
摘要：We consider the class of exchangeable fragmentation-coagulation (EFC) processes where coagulations are multiple and not simultaneous, as in a Lambda-coalescent, and fragmentation dislocates at a finite rate an individual block into sub-blocks of infinite size. We call these partition-valued processes simple EFC processes, and study the question whether such a process, when started with infinitely many blocks, can visit partitions with a finite number of blocks or not. When this occurs, one say...
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作者：Bandyopadhyay, Antar; Thacker, Debleena
作者单位：Indian Statistical Institute; Indian Statistical Institute Kolkata; Durham University
摘要：In this work, we introduce a generalization of the classical Polya urn scheme (Ann. Inst. Henri Poincare 1 (1930) 117-161) with colors indexed by a Polish space, say, S. The urns are defined as finite measures on S endowed with the Borel sigma-algebra, say, S. The generalization is an extension of a model introduced earlier by Blackwell and MacQueen (Ann. Statist. 1 (1973) 353-355). We present a novel approach of representing the observed sequence of colors from such a scheme in terms an assoc...
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作者：Backhoff, Julio; Bartl, Daniel; Beiglbock, Mathias; Wiesel, Johannes
作者单位：University of Twente; University of Vienna; Columbia University
摘要：A number of researchers have independently introduced topologies on the set of laws of stochastic processes that extend the usual weak topology. Depending on the respective scientific background this was motivated by applications and connections to various areas (e.g., Plug-Pichler-stochastic programming, Hellwig-game theory, Aldous-stability of optimal stopping, Hoover-Keisler-model theory). Remarkably, all these seemingly independent approaches define the same adapted weak topology in finite...
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作者：Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao
作者单位：Humboldt University of Berlin; Humboldt University of Berlin; Wenzhou University; City University of Hong Kong
摘要：We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semilinear PDE with superlinear gradient, monotone generator and singular terminal value. We also establish an asymptotic analysis of the robust model for small amounts of uncertainty and analyze the effect of robustness on optimal trading strategies and liquidation costs. In...
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作者：Butez, Raphael; Garcia-Zelada, David
作者单位：University of Geneva; Aix-Marseille Universite
摘要：We study the outliers for two models which have an interesting connection. On the one hand, we study a specific class of planar Coulomb gases which are determinantal. It corresponds to the case where the confining potential is the logarithmic potential of a radial probability measure. On the other hand, we study the zeros of random polynomials that appear to be closely related to the first model. Their behavior far from the origin is shown to depend only on the decaying properties of the proba...
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作者：McGoff, Kevin; Mukherjee, Sayan; Nobel, Andrew B.
作者单位：University of North Carolina; University of North Carolina Charlotte; Duke University; Duke University; Duke University; Duke University; University of North Carolina; University of North Carolina Chapel Hill
摘要：In this paper we consider the posterior consistency of Bayesian inference procedures when the family of models consists of appropriate stochastic processes. Specifically, we suppose that one observes an unknown ergodic process and one has access to a family of models consisting of dependent processes. In this context, we consider Gibbs posterior inference, which is a loss-based generalization of standard Bayesian inference. Our main results characterize the asymptotic behavior of the Gibbs pos...
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作者：Backhoff-Veraguas, J.; Pammer, G.
作者单位：University of Vienna; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：Under mild regularity assumptions, the transport problem is stable in the following sense: if a sequence of optimal transport plans pi(1), pi(2), ... converges weakly to a transport plan pi, then pi is also optimal (between its marginals). Alfonsi, Corbetta and Jourdain (Ann. Inst. Henri Poincare Probab. Stat. 56 (2020) 1706-1729) asked whether the same property is true for the martingale transport problem. This question seems particularly pressing since martingale transport is motivated by ro...
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作者：Gonzalez Casanova, Adrian; Miro Pina, Veronica; Siri-Jegousse, Arno
作者单位：Universidad Nacional Autonoma de Mexico; Universidad Nacional Autonoma de Mexico
摘要：We define a new class of Xi-coalescents characterized by a possibly infinite measure over the nonnegative integers. We call them symmetric coalescents since they are the unique family of exchangeable coalescents satisfying a symmetry property on their coagulation rates: they are invariant under any transformation that consists of moving one element from one block to another without changing the total number of blocks. We illustrate the diversity of behaviors of this family of processes by intr...
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作者：Amendola, Carlos; Klueppelberg, Claudia; Lauritzen, Steffen; Tran, Ngoc M.
作者单位：Technical University of Munich; University of Copenhagen; University of Texas System; University of Texas Austin
摘要：Motivated by extreme value theory, max-linear Bayesian networks have been recently introduced and studied as an alternative to linear structural equation models. However, for max-linear systems the classical independence results for Bayesian networks are far from exhausting valid conditional independence statements. We use tropical linear algebra to derive a compact representation of the conditional distribution given a partial observation, and exploit this to obtain a complete description of ...
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作者：Kramkov, Dmitry; Xu, Yan
作者单位：Carnegie Mellon University
摘要：We study a single-period optimal transport problem on R-2 with a covariance-type cost function c(x,y)=(x(1)-y(1))(x(2)-y(2)) and a backward martingale constraint. We show that a transport plan gamma is optimal if and only if there is a maximal monotone set G that supports the x-marginal of gamma and such that c(x, y) = min(z is an element of G) c(z,y) for every (x,y) is an element of supp gamma. We obtain sharp regularity conditions for the uniqueness of an optimal plan and for its representat...
