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作者：Hernandez-Hernandez, Daniel; Simon, Robert S.; Zervos, Mihail
作者单位：CIMAT - Centro de Investigacion en Matematicas; University of London; London School Economics & Political Science
摘要：We consider a stochastic differential equation that is controlled by means of an additive finite-variation process. A singular stochastic controller, who is a minimizer, determines this finite-variation process, while a discretionary stopper, who is a maximizer, chooses a stopping time at which the game terminates. We consider two closely related games that are differentiated by whether the controller or the stopper has a first-move advantage. The games' performance indices involve a running p...
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作者：Shaikhet, Gennady
作者单位：Carleton University
摘要：Throughput sub-optimality (TSO), introduced in Atar and Shaikhet [Ann. AppL Probab. 19 (2009) 521-555] for static fluid models of parallel queueing networks, corresponds to the existence of a resource allocation, under which the total service rate becomes greater than the total arrival rate. As shown in Atar, Mandelbaum and Shaikhet [Ann. AppL Probab. 16 (2006) 1764-1804] and Atar and Shaikhet (2009), in the many server Halfin Whitt regime, TSO implies null controllability (NC), the existence ...
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作者：Gassiat, Paul; Mijatovic, Aleksandar; Oberhauser, Harald
作者单位：Technical University of Berlin; Imperial College London; University of Oxford
摘要：We derive a nonlinear integral equation to calculate Root's solution of the Skorokhod embedding problem for atom-free target measures. We then use this to efficiently generate bounded time space increments of Brownian motion and give a parabolic version of Muller's classic Random walk over spheres algorithm.
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作者：Dalang, Robert C.; Shiryaev, Albert N.
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Russian Academy of Sciences; Steklov Mathematical Institute of the Russian Academy of Sciences
摘要：In the classical quickest detection problem, one must detect as quickly as possible when a Brownian motion without drift changes into a Brownian motion with positive drift. The change occurs at an unknown disorder time with exponential distribution. There is a penalty for declaring too early that the change has occurred, and a cost for late detection proportional to the time between occurrence of the change and the time when the change is declared. Here, we consider the case where there is als...
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作者：Racz, Miklos Z.; Shkolnikov, Mykhaylo
作者单位：University of California System; University of California Berkeley
摘要：We study exclusion processes on the integer lattice in which particles change their velocities due to stickiness. Specifically, whenever two or more particles occupy adjacent sites, they stick together for an extended period of time, and the entire particle system is slowed down until the collision is resolved. We show that under diffusive scaling of space and time such processes converge to what one might refer to as a sticky reflected Brownian motion in the wedge. The latter behaves as a Bro...
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作者：Delarue, Francois; Inglis, James; Rubenthaler, Sylvain; Tanre, Etienne
作者单位：Universite Cote d'Azur; Universite Cote d'Azur
摘要：We here investigate the well-posedness of a networked integrate-and-fire model describing an infinite population of neurons which interact with one another through their common statistical distribution. The interaction is of the self-excitatory type as, at any time, the potential of a neuron increases when some of the others fire: precisely, the kick it receives is proportional to the instantaneous proportion of firing neurons at the same time. From a mathematical point of view, the coefficien...
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作者：Kardaras, Constantinos; Kreher, Doerte; Nikeghbali, Ashkan
作者单位：University of London; London School Economics & Political Science; Humboldt University of Berlin; University of Zurich; University of Zurich
摘要：This paper deals with asset price bubbles modeled by strict local martingales. With any strict local martingale, one can associate a new measure, which is studied in detail in the first part of the paper. In the second part, we determine the default term apparent in risk-neutral option prices if the underlying stock exhibits a bubble modeled by a strict local martingale. Results for certain path dependent options and last passage time formulas are given.
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作者：Avram, F.; Palmowski, Z.; Pistorius, M. R.
作者单位：Universite de Pau et des Pays de l'Adour; University of Wroclaw; Imperial College London
摘要：This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative Levy process (in the absence of dividend payments). The management of the company is assumed to control timing and size of dividend payments. The objective is to maximize the sum of the expected cumulative discounted dividend payments received until the moment of ruin and a penalty payment at the moment of ruin, which is an increasing function of the size of...
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作者：Amini, Hamed; Lelarge, Marc
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Inria
摘要：In this paper we study the impact of random exponential edge weights on the distances in a random graph and, in particular, on its diameter. Our main result consists of a precise asymptotic expression for the maximal weight of the shortest weight paths between all vertices (the weighted diameter) of sparse random graphs, when the edge weights are i.i.d. exponential random variables.
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作者：Guo, Wenjie; Zhang, Jianfeng; Zhuo, Jia
作者单位：Fudan University; University of Southern California
摘要：this paper we propose a feasible numerical scheme for high-dimensional, fully nonlinear parabolic PDEs, which includes the quasi-linear PDE associated with a coupled FBSDE as a special case. Our paper is strongly motivated by the remarkable work Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322-1364] and stays in the paradigm of monotone schemes initiated by Barles and Souganidis [Asymptot. Anal. 4 (1991) 271-283]. Our scheme weakens a critical constraint imposed by Fahim, Touzi and Wa...
