作者：Fill, James Allen; Kahn, Jonas
作者单位：Johns Hopkins University; Universite de Lille; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We introduce a new partial order on the class of stochastically monotone Markov kernels having a given stationary distribution pi on a given finite partially ordered state space X. When K L in this partial order we say that K and L satisfy a comparison inequality. We establish that if K-1, ..., K-t and L-1, ..., L-t are reversible and K-s <= L-s for s =1, ..., t, then K-1 ... K-t <= L-1 ... L-t. In particular, in the time-homogeneous case we have K-t <= L-t for every t if K and L are reversibl...
作者：Favaro, Stefano; Lijoi, Antonio; Prunster, Igor
作者单位：University of Turin; University of Pavia
摘要：Gibbs-type random probability measures and the exchangeable random partitions they induce represent an important framework both from a theoretical and applied point of view. In the present paper, motivated by species sampling problems, we investigate some properties concerning the conditional distribution of the number of blocks with a certain frequency generated by Gibbs-type random partitions. The general results are then specialized to three noteworthy examples yielding completely explicit ...
作者：Nutz, Marcel
作者单位：Columbia University
摘要：We construct a time-consistent sublinear expectation in the setting of volatility uncertainty. This mapping extends Peng's G-expectation by allowing the range of the volatility uncertainty to be stochastic. Our construction is purely probabilistic and based on an optimal control formulation with path-dependent control sets.
