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作者：Agazzi, Andrea; Dembo, Amir; Eckmann, Jean-Pierre
作者单位：Stanford University; Stanford University; University of Geneva; University of Geneva; University of Geneva; Duke University
摘要：We prove a sample path Large Deviation Principle (LDP) for a class of jump processes whose rates are not uniformly Lipschitz continuous in phase space. Building on it, we further establish the corresponding Wentzell-Freidlin (W-F) (infinite time horizon) asymptotic theory. These results apply to jump Markov processes that model the dynamics of chemical reaction networks under mass action kinetics, on a microscopic scale. We provide natural sufficient topological conditions for the applicabilit...
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作者：Bandini, Elena; Cosso, Andrea; Fuhrman, Marco; Huyen Pham
作者单位：Luiss Guido Carli University; Polytechnic University of Milan; University of Milan; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Sorbonne Universite; Luiss Guido Carli University
摘要：We introduce a suitable backward stochastic differential equation (BSDE) to represent the value of an optimal control problem with partial observation for a controlled stochastic equation driven by Brownian motion. Our model is general enough to include cases with latent factors in mathematical finance. By a standard reformulation based on the reference probability method, it also includes the classical model where the observation process is affected by a Brownian motion (even in presence of a...
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作者：Hoze, Nathanael; Holcman, David
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Cambridge; Universite PSL; Ecole Normale Superieure (ENS)
摘要：Coagulation-fragmentation processes describe the stochastic association and dissociation of particles in clusters. Cluster dynamics with cluster-cluster interactions for a finite number of particles has recently attracted attention especially in stochastic analysis and statistical physics of cellular biology, as novel experimental data are now available, but their interpretation remains challenging. We derive here probability distribution functions for clusters that can either aggregate upon b...
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作者：Deaconu, Madalina; Herrmann, Samuel
作者单位：Inria; Universite de Lorraine; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Bourgogne Europe; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：The initial-boundary value problem for the heat equation is solved by using an algorithm based on a random walk on heat balls. Even if it represents a sophisticated generalization of the Walk on Spheres (WOS) algorithm introduced to solve the Dirichlet problem for Laplace's equation, its implementation is rather easy. The construction of this algorithm can be considered as a natural consequence of previous works the authors completed on the hitting time approximation for Bessel processes and B...
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作者：Bella, Peter; Fehrman, Benjamin; Otto, Felix
作者单位：Leipzig University; Max Planck Society
摘要：We study the behavior of second-order degenerate elliptic systems in divergence form with random coefficients which are stationary and ergodic. Assuming moment bounds like Chiarini and Deuschel (2014) on the coefficient field a and its inverse, we prove an intrinsic large-scale C-1,C-alpha-regularity estimate for a-harmonic functions and obtain a first-order Liouville theorem for a-harmonic functions.
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作者：Chen, Wei-Kuo; Panchenk, Dmitry
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Toronto
摘要：We prove disorder chaos at zero temperature for three types of diluted models with large connectivity parameter: K-spin antiferromagnetic Ising model for even K >= 2, K-spin spin glass model for even K >= 2, and random K-sat model for all K >= 2. We show that modifying even a small proportion of clauses results in near maximizers of the original and modified Hamiltonians being nearly orthogonal to each other with high probability. We use a standard technique of approximating diluted models by ...
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作者：Battiston, Marco; Favaro, Stefano; Roy, Daniel M.; Teh, Yee Whye
作者单位：University of Oxford; University of Turin; University of Toronto; Collegio Carlo Alberto
摘要：We characterize the class of exchangeable feature allocations assigning probability V-n,V-k Pi(l=1 WmlUn-ml)-W-k to a feature allocation of n individuals, displaying k features with counts (m(1), . . . ,m(k)) for these features. Each element of this class is parametrized by a countable matrix V and two sequences U and W of nonnegative weights. Moreover, a consistency condition is imposed to guarantee that the distribution for feature allocations of (n - 1) individuals is recovered from that of...
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作者：Chhita, S.; Ferrari, P. L.; Spohn, H.
作者单位：Durham University; University of Bonn; Technical University of Munich
摘要：For stationary KPZ growth in 1 + 1 dimensions, the height fluctuations are governed by the Baik-Rains distribution. Using the totally asymmetric single step growth model, alias TASEP, we investigate height fluctuations for a general class of spatially homogeneous random initial conditions. We prove that for TASEP there is a one-parameter family of limit distributions, labeled by the diffusion coefficient of the initial conditions. The distributions are defined through a variational formula. We...
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作者：van der Hoorn, Pim; Olvera-Cravioto, Mariana
作者单位：Northeastern University; University of California System; University of California Berkeley
摘要：We analyze the distribution of the distance between two nodes, sampled uniformly at random, in digraphs generated via the directed configuration model, in the supercritical regime. Under the assumption that the covariance between the in-degree and out-degree is finite, we show that the distance grows logarithmically in the size of the graph. In contrast with the undirected case, this can happen even when the variance of the degrees is infinite. The main tool in the analysis is a new coupling b...
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作者：Blanchard, Romain; Carassu, Laurence
作者单位：Universite de Reims Champagne-Ardenne
摘要：This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under nondominated model uncertainty. We use a dynamic programming framework together with measurable selection arguments to prove that under mild integrability conditions, an optimal portfolio exists for an unbounded utility function defined on the half-real line.
