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作者：Kabluchko, Zakhar; Marynych, Alexander; Sulzbach, Henning
作者单位：University of Munster; Ministry of Education & Science of Ukraine; Taras Shevchenko National University of Kyiv; McGill University
摘要：We prove an asymptotic Edgeworth expansion for the profiles of certain random trees including binary search trees, random recursive trees and plane-oriented random trees, as the size of the tree goes to infinity. All these models can be seen as special cases of the one-split branching random walk for which we also provide an Edgeworth expansion. These expansions lead to new results on mode, width and occupation numbers of the trees, settling several open problems raised in Devroye and Hwang [A...
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作者：Moyal, Pascal; Perry, Ohad
作者单位：Universite de Technologie de Compiegne; Northwestern University
摘要：A matching queue is described via a graph, an arrival process and a matching policy. Specifically, to each node in the graph there is a corresponding arrival process of items, which can either be queued or matched with queued items in neighboring nodes. The matching policy specifies how items are matched whenever more than one matching is possible. Given the matching graph and the matching policy, the stability region of the system is the set of intensities of the arrival processes rendering t...
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作者：Engelke, Sebastian; Ivanovs, Jevgenijs
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Aarhus University
摘要：Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is crucial and it is typically modeled by a parametric family of spectral distributions. In this work, we provide asymptotic bounds on exceedance probabilities that are robust against misspecification of the extremal dependence model. They arise from optimizing ...
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作者：Bluemmel, Tilmann; Rheinlaender, Thorsten
作者单位：University of Vienna; Technische Universitat Wien
摘要：We construct a large trader model using tools from nonlinear stochastic integration theory and an impact function. It encompasses many well-known models from the literature. In particular, the model allows price changes to depend on the size as well as on the speed and timing of the large trader's transactions. Moreover, a volume impact limit order book can be studied in this framework. Relaxing a condition about existence of a universal martingale measure governing all resulting small trader ...
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作者：Henry-Labordere, Pierre; Tan, Xiaolu; Touzi, Nizar
作者单位：Universite PSL; Universite Paris-Dauphine; Institut Polytechnique de Paris; Ecole Polytechnique; ENSTA Paris
摘要：We propose an unbiased Monte 3 estimator for E [g(X-t1,..., X-tn)], where X is a diffusion process defined by a multidimensional stochastic differential equation (SDE). The main idea is to start instead from a well-chosen simulatable SDE whose coefficients are updated at independent exponential times. Such a simulatable process can be viewed as a regime-switching SDE, or as a branching diffusion process with one single living particle at all times. In order to compensate for the change of the ...
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作者：Jahnel, Benedikt; Kuelske, Christof
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics; Ruhr University Bochum
摘要：We consider the continuum Widom-Rowlinson model under independent spin-flip dynamics and investigate whether and when the time-evolved point process has an (almost) quasilocal specification (Gibbs-property of the time-evolved measure). Our study provides a first analysis of a Gibbs-non-Gibbs transition for point particles in Euclidean space. We find a picture of loss and recovery, in which even more regularity is lost faster than it is for time-evolved spin models on lattices. We show immediat...
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作者：Yu, Yaming
作者单位：University of California System; University of California Irvine
摘要：Diaconis and Perlman [In Topics in Statistical Dependence (Somerset, PA, 1987) (1990) 147-166, IMS] conjecture that the distribution functions of two weighted sums of i.i.d. gamma random variables cross exactly once if one weight vector majorizes the other. We disprove this conjecture when the shape parameter of the gamma variates is alpha < 1 and prove it when alpha >= 1.
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作者：Aletti, Giacomo; Crimaldi, Irene; Ghiglietti, Andrea
作者单位：University of Milan; IMT School for Advanced Studies Lucca
摘要：Randomly evolving systems composed by elements which interact among each other have always been of great interest in several scientific fields. This work deals with the synchronization phenomenon that could be roughly defined as the tendency of different components to adopt a common behavior. We continue the study of a model of interacting stochastic processes with reinforcement that recently has been introduced in [Crimaldi et al. (2016)]. Generally speaking, by reinforcement we mean any mech...
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作者：De Angelis, Tiziano; Ekstrom, Erik
作者单位：University of Leeds; Uppsala University
摘要：We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod reflection of the fund's value at a time-dependent optimal boundary. Our results are obtained by establishing for the first time a new connection between singular control problems with an absorbing boundary and optimal stopping problems on a diffusion reflected at 0...
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作者：Lux, Thibaut; Papapantoleon, Antonis
作者单位：Technical University of Berlin
摘要：We derive upper and lower bounds on the expectation of f (S) under dependence uncertainty, that is, when the marginal distributions of the random vector S = (S-1,..., S-d) are known but their dependence structure is partially unknown. We solve the problem by providing improved Frechet-Hoeffding bounds on the copula of S that account for additional information. In particular, we derive bounds when the values of the copula are given on a compact subset of [0, 1](d), the value of a functional of ...
