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作者：Bayraktar, Erhan; Zhou, Zhou
作者单位：University of Michigan System; University of Michigan; University of Minnesota System; University of Minnesota Twin Cities
摘要：We consider a financial market where stocks are available for dynamic trading, and European and American options are available for static trading (semi-static trading strategies). We assume that the American options are infinitely divisible, and can only be bought but not sold. In the first part of the paper, we work within the framework without model ambiguity. We first get the fundamental theorem of asset pricing (FLAP). Using the FTAP, we get the dualities for the hedging prices of European...
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作者：Durrett, Rick; Fan, Wai-Tong (Louis)
作者单位：Duke University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：The goal of this paper is to prove rigorous results for the behavior of genealogies in a one-dimensional long range biased voter model introduced by Hallatschek and Nelson [Thew: Pop. Biol. 73 (2008) 158-170]. The first step, which is easily accomplished using results of Mueller and Tribe [Probab. Theory Related Fields 102 (1995) 519-545], is to show that when space and time are resealed correctly, our biased voter model converges to a Wright-Fisher SPDE. A simple extension of a result of Durr...
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作者：Martinsson, Anders
作者单位：Chalmers University of Technology; University of Gothenburg
摘要：The n-dimensional binary hypercube is the graph whose vertices are the binary n-tuples {0,1)(n) and where two vertices are connected by an edge if they differ at exactly one coordinate. We prove that if the edges are assigned independent mean 1 exponential costs, the minimum length T-n of a path from (0,0,..., 0) to (1,1,, 1) converges in probability to ln(1 + root 2) approximate to 0.881. It has previously been shown by Fill and Pemantle [Ann. Appl. Probab. 3 (1993) 593-629] that this so-call...
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作者：Sun, Wen; Feuillet, Mathieu; Robert, Philippe
摘要：In this paper, a stochastic model of a large distributed system where users' files are duplicated on unreliable data servers is investigated. Due to a server breakdown, a copy of a file can be lost, it can be retrieved if another copy of the same file is stored on other servers. In the case where no other copy of a given file is present in the network, it is definitively lost. In order to have multiple copies of a given file, it is assumed that each server can devote a fraction of its processi...
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作者：Cattiaux, Patrick; Leon, Jose R.; Prieur, Clementine
作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; University of Central Venezuela; Communaute Universite Grenoble Alpes; Universite Grenoble Alpes (UGA); Communaute Universite Grenoble Alpes; Institut National Polytechnique de Grenoble; Universite Grenoble Alpes (UGA); Centre National de la Recherche Scientifique (CNRS); Inria
摘要：This paper is the third part of our study started with Cattiaux, Leon and Prieur [Stochastic Process. Appl. 124 (2014) 1236-1260; ALEA Lat. Am. J. Probab. Math. Stat. 11 (2014) 359-384]. For some ergodic Hamiltonian systems, we obtained a central limit theorem for a nonparametric estimator of the invariant density [Stochastic Process. Appl. 124 (2014) 1236-1260] and of the drift term [ALEA Lat. Am. J. Probab. Math. Stat. 11 (2014) 359-384], under partial observation (only the positions are obs...
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作者：Blath, Jochen; Casanova, Adrian Gonzalez; Kurt, Noemi; Wilke-Berenguer, Maite
作者单位：Technical University of Berlin
摘要：We identify a new natural coalescent structure, which we call the seed bank coalescent, that describes the gene genealogy of populations under the influence of a strong seed-bank effect, where dormant forms of individuals (such as seeds or spores) may jump a significant number of generations before joining the active population. Mathematically, our seed-bank coalescent appears as scaling limit in a Wright-Fisher model with geometric seed-bank age structure if the average time of seed dormancy ...
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作者：Hobson, David
作者单位：University of Warwick
摘要：Given the univariate marginals of a real-valued, continuous-time martingale, (resp., a family of measures parameterised by t is an element of [0, T] which is increasing in convex order, or a double continuum of call prices), we construct a family of pure jump martingales which mimic that martingale (resp., are consistent with the family of measures, or call prices). As an example, we construct a fake Brownian motion. Then, under a further dispersion assumption, we construct the martingale whic...
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作者：van der Hofstad, Remco; Holmes, Mark; Kuznetsov, Alexey; Ruszel, Wioletta
作者单位：Eindhoven University of Technology; University of Auckland; York University - Canada; Delft University of Technology
摘要：We introduce a class of reinforcement models where, at each time step t, one first chooses a random subset A(t) of colours (independently of the past) from n colours of balls, and then chooses a colour i from this subset with probability proportional to the number of balls of colour i in the urn raised to the power alpha > 1. We consider stability of equilibria for such models and establish the existence of phase transitions in a number of examples, including when the colours are the edges of ...
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作者：Armstrong, Scott N.; Zeitouni, Ofer
作者单位：Centre National de la Recherche Scientifique (CNRS); Universite PSL; Universite Paris-Dauphine; Weizmann Institute of Science; New York University
摘要：We consider controlled martingales with bounded steps where the controller is allowed at each step to choose the distribution of the next step, and where the goal is to hit a fixed ball at the origin at time n. We show that the algebraic rate of decay (as n increases to infinity) of the value function in the discrete setup coincides with its continuous counterpart, provided a reachability assumption is satisfied. We also study in some detail the uniformly elliptic case and obtain explicit boun...
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作者：Confortola, Fulvia; Fuhrman, Marco; Jacod, Jean
作者单位：Polytechnic University of Milan; Sorbonne Universite; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump times are totally inaccessible and a technical condition holds (see Assumption (A) below), we prove existence and uniqueness results under Lipschitz conditions on the coefficients. Some counter-examples show that our assumptions are indeed needed. We use a novel approach that allows reduction to a (finite or infinite...
