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作者：Pillai, Natesh S.; Stuart, Andrew M.; Thiery, Alexandre H.
作者单位：Harvard University; University of Warwick; University of Warwick
摘要：The Metropolis-adjusted Langevin (MALA) algorithm is a sampling algorithm which makes local moves by incorporating information about the gradient of the logarithm of the target density. In this paper we study the efficiency of MALA on a natural class of target measures supported on an infinite dimensional Hilbert space. These natural measures have density with respect to a Gaussian random field measure and arise in many applications such as Bayesian nonparametric statistics and the theory of c...
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作者：Depperschmidt, Andrej; Greven, Andreas; Pfaffelhuber, Peter
作者单位：University of Freiburg; University of Erlangen Nuremberg
摘要：The Fleming-Viot measure-valued diffusion is a Markov process describing the evolution of (allelic) types under mutation, selection and random reproduction. We enrich this process by genealogical relations of individuals so that the random type distribution as well as the genealogical distances in the population evolve stochastically. The state space of this tree-valued enrichment of the Fleming-Viot dynamics with mutation and selection (TFVMS) consists of marked ultrametric measure spaces, eq...
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作者：Mossel, Elchanan; Roch, Sebastien
作者单位：University of California System; University of California Berkeley; University of California System; University of California Los Angeles; University of California System; University of California Los Angeles
摘要：The reconstruction of phylogenies from DNA or protein sequences is a major task of computational evolutionary biology. Common phenomena, notably variations in mutation rates across genomes and incongruences between gene lineage histories, often make it necessary to model molecular data as originating from a mixture of phylogenies. Such mixed models play an increasingly important role in practice. Using concentration of measure techniques, we show that mixtures of large trees are typically iden...
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作者：Bierme, Hermine; Desolneux, Agnes
作者单位：Universite Paris Cite; IMT - Institut Mines-Telecom; Institut Polytechnique de Paris; Telecom SudParis; Universite de Tours
摘要：In this paper, we consider smooth shot noise processes and their expected number of level crossings. When the kernel response function is sufficiently smooth, the mean number of crossings function is obtained through an integral formula. Moreover, as the intensity increases, or equivalently, as the number of shots becomes larger, a normal convergence to the classical Rice's formula for Gaussian processes is obtained. The Gaussian kernel function, that corresponds to many applications in physic...
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作者：Tetali, Prasad; Vera, Juan C.; Vigoda, Eric; Yang, Linji
作者单位：University System of Georgia; Georgia Institute of Technology; University System of Georgia; Georgia Institute of Technology; Tilburg University
摘要：We prove that the mixing time of the Glauber dynamics for random k-colorings of the complete tree with branching factor b undergoes a phase transition at k = b(1 + o(b)(1))/In b. Our main result shows nearly sharp bounds on the mixing time of the dynamics on the complete tree with n vertices for k = Cb/In b colors with constant C. For C >= 1 we prove the mixing time is O(n(1+ob(1)) In n). On the other side, for C < 1 the mixing time experiences a slowing down; in particular, we prove it is O(n...
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作者：Bodineau, Thierry; Lagouge, Maxime
作者单位：Universite PSL; Ecole Normale Superieure (ENS); Universite Paris Cite
摘要：We derive a large deviation principle for the empirical currents of lattice gas dynamics which combine a fast stirring mechanism (Symmetric Simple Exclusion Process) and creation/annihilation mechanisms (Glauber dynamics). Previous results on the density large deviations can be recovered from this general large deviation principle. The contribution of external driving forces due to reservoirs at the boundary of the system is also taken into account.
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作者：Decrouez, Geoffrey; Jones, Owen Dafydd
作者单位：University of Melbourne
摘要：We present a new class of multifractal process on R, constructed using an embedded branching process. The construction makes use of known results on multitype branching random walks, and along the way constructs cascade measures on the boundaries of multitype Galton-Watson trees. Our class of processes includes Brownian motion subjected to a continuous multifractal time-change. In addition, if we observe our process at a fixed spatial resolution, then we can obtain a finite Markov representati...
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作者：Etheridge, A. M.; Veber, A.
作者单位：University of Oxford; Institut Polytechnique de Paris; Ecole Polytechnique
摘要：We extend the spatial A-Fleming-Viot process introduced in [Electron. J. Probab. 15 (2010) 162-216] to incorporate recombination. The process models allele frequencies in a population which is distributed over the two-dimensional torus T(L) of sideleneth L and is subject to two kinds of reproduction events: small events of radius O(1) and much rarer large events of radius O(L-alpha) for some alpha is an element of (0, 1]. We investigate the correlation between the times to the most recent comm...
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作者：Houdre, Christian; Talata, Zsolt
作者单位：University System of Georgia; Georgia Institute of Technology; University of Kansas
摘要：The rate of convergence of the distribution of the length of the longest increasing subsequence, toward the maximal eigenvalue of certain matrix ensembles, is investigated. For finite-alphabet uniform and nonuniform i.i.d. sources, a rate of log n/root n is obtained. The uniform binary case is further explored, and an improved 1/root n rate obtained.
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作者：Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; Schweizer, Martin
作者单位：Universite Paris Saclay; Polytechnic University of Turin; Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Finance Institute (SFI)
摘要：We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterize its three coefficient processes as solutions of semimartingale backward stochastic differential equations and show how they can be used to describe the optimal trading strategy for each conditional mean-variance hedging problem. For comparison with the existing...
