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作者：Gamarnik, David; Goldberg, David A.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University System of Georgia; Georgia Institute of Technology
摘要：We consider the FCFS GI/GI/n queue in the so-called Halfin-Whitt heavy traffic regime. We prove that under minor technical conditions the associated sequence of steady-state queue length distributions, normalized by n(1/2), is tight. We derive an upper bound on the large deviation exponent of the limiting steady-state queue length matching that conjectured by Gamarnik and Momcilovic [Adv. in Appl. Probab. 40 (2008) 548-577]. We also prove a matching lower bound when the arrival process is Pois...
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作者：Ott, Curdin
作者单位：University of Bath
摘要：This paper concerns optimal stopping problems driven by the running maximum of a spectrally negative Levy process X. More precisely, we are interested in modifications of the Shepp-Shiryaev optimal stopping problem [Avram, Kyprianou and Pistorius Ann. Appl. Probab. 14 (2004) 215-238; Shepp and Shiryaev Ann. Appl. Probab. 3 (1993) 631-640; Shepp and Shiryaev Theory Probab. Appl. 39 (1993) 103-119]. First, we consider a capped version of the Shepp-Shiryaev optimal stopping problem and provide th...
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作者：Dolinsky, Yan
作者单位：Hebrew University of Jerusalem; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional continuous time model, in which the discounted stock price process satisfies the conditional full support property. We show that the super-replication price is the cheapest cost of a trivial super-replication strategy. This result is an extension of previous papers (see [Statist. Decisions 27 (2009) 357-369] and [Ann. Appl. Probab. 18 (2008) 491-520]) which considered...
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作者：Hotz, Thomas; Huckemann, Stephan; Le, Huiling; Marron, J. S.; Mattingly, Jonathan C.; Miller, Ezra; Nolen, James; Owen, Megan; Patrangenaru, Vic; Skwerer, Sean
作者单位：Technische Universitat Ilmenau; University of Gottingen; University of Nottingham; University of North Carolina; University of North Carolina Chapel Hill; Duke University; University of Waterloo; State University System of Florida; Florida State University
摘要：Given a probability distribution on an open book (a metric space obtained by gluing a disjoint union of copies of a half-space along their boundary hyperplanes), we define a precise concept of when the Frechet mean (barycenter) is sticky. This nonclassical phenomenon is quantified by a law of large numbers (LLN) stating that the empirical mean eventually almost surely lies on the (codimension 1 and hence measure 0) spine that is the glued hyperplane, and a central limit theorem (CLT) stating t...
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作者：Teixeira, Augusto; Tykesson, Johan
作者单位：Universite PSL; Ecole Normale Superieure (ENS); Instituto Nacional de Matematica Pura e Aplicada (IMPA); Weizmann Institute of Science
摘要：We consider the model of random interlacements on transient graphs, which was first introduced by Sznitman [Ann. of Math. (2) (2010) 171 2039-2087] for the special case of Z(d) (with d >= 3). In Sznitman [Ann. of Math. (2) (2010) 171 2039-2087], it was shown that on Z(d): for any intensity u > 0, the interlacement set is almost surely connected. The main result of this paper says that for transient, transitive graphs, the above property holds if and only if the graph is amenable. In particular...
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作者：Choi, Jihyeok; Sethuraman, Sunder
作者单位：Syracuse University; University of Arizona
摘要：Preferential attachment schemes, where the selection mechanism is linear and possibly time-dependent, are considered, and an infinite-dimensional large deviation principle for the sample path evolution of the empirical degree distribution is found by Dupuis-Ellis-type methods. Interestingly, the rate function, which can be evaluated, contains a term which accounts for the cost of assigning a fraction of the total degree to an infinite degree component, that is, when an atypical condensation ef...
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作者：Kaspi, Haya; Ramanan, Kavita
作者单位：Technion Israel Institute of Technology; Brown University
摘要：This paper studies a queueing system in which customers with independent and identically distributed service times arrive to a queue with many servers and enter service in the order of arrival. The state of the system is represented by a process that describes the total number of customers in the system, and a measure-valued process that keeps track of the ages of customers in service, leading to a Markovian description of the dynamics. Under suitable assumptions, a functional central limit th...
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作者：Belomestny, Denis
作者单位：University of Duisburg Essen
摘要：In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is proposed and studied. The algorithm involves the optimization of a genuinely penalized dual objective functional over a class of adapted martingales. We prove the convergence of the proposed algorithm and demonstrate its efficiency for optimal stopping problems ...
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作者：Kardaras, Constantinos
作者单位：University of London; London School Economics & Political Science
摘要：A wealth-process set is abstractly defined to consist of nonnegative eking processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales and that the closure of the wealth-process set in the Emery topology contains all optimal wealth processes.
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作者：Larsen, Kasper; Zitkovic, Gordan
作者单位：Carnegie Mellon University; University of Texas System; University of Texas Austin
摘要：We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose values do not necessarily contain the origin; that is, it may be inadmissible for an investor to hold no risky investment at all. Such a setup subsumes the classical constrained utility-maximization problem, as well as the problem where illiquid assets or a ...
