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作者：Atar, Rami; Gurvich, Itai
作者单位：Technion Israel Institute of Technology; Northwestern University
摘要：We consider the problem of minimizing queue-length costs in a system with heterogenous parallel servers, operating in a many-server heavy-traffic regime with nondegenerate slowdown. This regime is distinct from the well-studied heavy traffic diffusion regimes, namely the (single server) conventional regime and the (many-server) Halfin-Whitt regime. It has the distinguishing property that waiting times and service times are of comparable magnitudes. We establish an asymptotic lower bound on the...
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作者：Collamore, Jeffrey F.; Dia, Guoqing; Vidyashankar, Anand N.
作者单位：University of Copenhagen; George Mason University
摘要：In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable V satisfying the distributional equation v f (V), where f (v) = A max{v, D} B for (A, B, D) epsilon (0, infinity) X R-2. This paper is concerned with computational methods for evaluating these tail probabilities. We introduce a novel importance sampling algorithm, involving an exponential shift over a random time interval, for estimating...
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作者：Hairer, Martin; Stuart, Andrew M.; Vollmer, Sebastian J.
作者单位：University of Warwick
摘要：We study the problem of sampling high and infinite dimensional target measures arising in applications such as conditioned diffusions and inverse problems. We focus on those that arise from approximating measures on Hilbert spaces defined via a density with respect to a Gaussian reference measure. We consider the Metropolis Hastings algorithm that adds an accept reject mechanism to a Markov chain proposal in order to make the chain reversible with respect to the target measure. We focus on cas...
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作者：Ball, Frank G.; Sirl, David J.; Trapman, Pieter
作者单位：University of Nottingham; Loughborough University; Stockholm University
摘要：In this paper we consider a model for the spread of a stochastic SIR (Susceptible -> Infectious -> Recovered) epidemic on a network of individuals described by a random intersection graph. Individuals belong to a random number of cliques, each of random size, and infection can be transmitted between two individuals if and only if there is a clique they both belong to. Both the clique sizes and the number of cliques an individual belongs to follow mixed Poisson distributions. An infinite-type b...
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作者：Rosenbaum, Mathieu; Tankov, Peter
作者单位：Sorbonne Universite; Universite Paris Cite; Universite Paris Cite
摘要：In this work, we consider the hedging error due to discrete trading in models with jumps. Extending an approach developed by Fukasawa [In Stochastic Analysis with Financial Applications (2011) 331-346 Birkhauser/Springer Basel AG] for continuous processes, we propose a framework enabling us to (asymptotically) optimize the discretization times. More precisely, a discretization rule is said to be optimal if for a given cost function, no strategy has (asymptotically, for large cost) a lower mean...
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作者：Fontes, L. R. G.; Gava, R. J.; Gayrard, V.
作者单位：Universidade de Sao Paulo; Universidade Federal de Sao Carlos; Aix-Marseille Universite; Centre National de la Recherche Scientifique (CNRS)
摘要：We introduce trap models on a finite volume k-level tree as a class of Markov jump processes with state space the leaves of that tree. They serve to describe the GREM-like trap model of Sasaki and Nemoto. Under suitable conditions on the parameters of the trap model, we establish its infinite volume limit, given by what we call a K-process in an infinite k-level tree. From this we deduce that the K-process also is the scaling limit of the GREM-like trap model on extreme time scales under a fin...
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作者：Peskir, Goran
作者单位：University of Manchester
摘要：Let Z = (Z(t))(t >= 0) be a regular diffusion process started at 0, an independent random variable with a strictly increasing and continue:.stribution function F, and let tau(l) = inf{t >= 0 vertical bar Z(t) = l} be the first entry, ... of Z at the level l. We show that the quickest detection problem tau sup E[R-tau - (0)integral(tau) c(R-t) dt], where R = S I is the range process of X = 2F(Z) 1 (i.e., the difference between the running maximum and the running minimum of X) and c(r) = cr with...
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作者：Jin, Baisuo; Wang, Chen; Bai, Z. D.; Nair, K. Krishnan; Harding, Matthew
作者单位：Chinese Academy of Sciences; University of Science & Technology of China, CAS; National University of Singapore; Northeast Normal University - China; Northeast Normal University - China; Stanford University; Stanford University
摘要：This paper studies the limiting spectral distribution (LSD) of a symmetrized auto-cross covariance matrix. The auto-cross covariance matrix is defined as M-tau = 1/2T Sigma(T)(j=1) (e(j) e(j+tau)*+ e(j+tau)e(j)*) where e(j) is an N dimensional vectors of independent standard complex components with properties stated in Theorem 1.1, and tau is the lag. M-0 is well studied in the literature whose LSD is the Mareenko-Pastur (MP) Law. The contribution of this paper is in determining the LSD of M-t...
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作者：Faggionato, A.; Roberto, C.; Toninelli, C.
作者单位：Sapienza University Rome; Universite Paris Nanterre; Sorbonne Universite; Universite Paris Cite; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Sorbonne Universite
摘要：We consider one-dimensional hierarchical coalescence processes (in short HCPs) where two or three neighboring domains can merge. An HCP consists of an infinite sequence of stochastic coalescence processes: each process occurs in a different epoch and evolves for an infinite time, while the evolutions in subsequent epochs are linked in such a way that the initial distribution of epoch n + 1 coincides with the final distribution of epoch n. Inside each epoch a domain can incorporate one of its n...
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作者：Pulido, Sergio
作者单位：Carnegie Mellon University
摘要：This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuoustime financial models where asset prices are driven by nonnegative, locally bounded semimartingales. A key step in this proof is an extension of a wellknown result of Ansel and Stricker. In the second part we study the hedging problem in these models and connect it to a properly defined property of maximality of contingent claims.
