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作者：Ekstrom, Erik; Tysk, Johan
作者单位：Uppsala University
摘要：We study the term structure equation for single-factor models that predict nonnegative short rates. In particular, we show that the price of a bond or a bond option is the unique classical solution to a parabolic differential equation with a certain boundary behavior for vanishing values of the short rate. If the boundary is attainable then this boundary behavior serves as a boundary condition and guarantees uniqueness of solutions. On the other hand, if the boundary is nonattainable then the ...
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作者：Barndorff-Nielsen, Ole Eiler; Stelzer, Robert
作者单位：Aarhus University; Technical University of Munich; Technical University of Munich
摘要：Univariate superpositions of Ornstein-Uhlenbeck-type processes (OU), called supOU processes, provide a class of continuous time processes capable of exhibiting long memory behavior. This paper introduces multivariate supOU processes and gives conditions for their existence and finiteness of moments. Moreover, the second-order moment structure is explicitly calculated, and examples exhibit the possibility of long-range dependence. Our supOU processes are defined via homogeneous and factorizable...
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作者：Kaspi, Haya; Ramanan, Kavita
作者单位：Technion Israel Institute of Technology; Brown University
摘要：This work considers a many-server queueing system in which customers with independent and identically distributed service times, chosen from a general distribution, enter service in the order of arrival. The dynamics of the system are represented in terms of a process that describes the total number of customers in the system, as well as a measure-valued process that keeps track of the ages of customers in service. Under mild assumptions on the service time distribution, as the number of serve...
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作者：van den Berg, J.
作者单位：Centrum Wiskunde & Informatica (CWI); Vrije Universiteit Amsterdam
摘要：For ordinary (independent) percolation on a large class of lattices it is well known that below the critical percolation parameter pc the cluster size distribution has exponential decay and that power-law behavior of this distribution can only occur at pc. This behavior is often called sharpness of the percolation transition. For theoretical reasons, as well as motivated by applied research, there is an increasing interest in percolation models with (weak) dependencies. For instance, biologist...
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作者：Chauvin, Brigitte; Pouyanne, Nicolas; Sahnoun, Reda
作者单位：Universite Paris Saclay; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We consider a two-color Polya urn in the case when a fixed number S of balls is added at each step. Assume it is a large urn that is, the second eigenvalue m of the replacement matrix satisfies 1/2 < m/S <= 1. After n drawings, the composition vector has asymptotically a first deterministic term of order n and a second random term of order n(m/S). The object of interest is the limit distribution of this random term. The method consists in embedding the discrete-time urn in continuous time, get...
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作者：Graham, Benjamin; Grimmett, Geoffrey
作者单位：University of British Columbia; Universite PSL; Ecole Normale Superieure (ENS); University of Cambridge
摘要：A sharp-threshold theorem is proved for box-crossing probabilities on the square lattice. The models in question are the random-cluster model near the self-dual point p(sd)(q) = root q/(1 + root q), the Ising model with external field, and the colored random-cluster model. The principal technique is an extension of the influence theorem for monotonic probability measures applied to increasing events with no assumption of symmetry.
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作者：Betz, Volker; Ueltschi, Daniel; Velenik, Yvan
作者单位：University of Warwick; University of Geneva
摘要：We study the distribution of cycle lengths in models of nonuniform random permutations with cycle weights. We identify several regimes. Depending on the weights, the length of typical cycles grows like the total number n of elements, or a fraction of n or a logarithmic power of n.
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作者：Belomestny, Denis
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：In this paper, we study simulation-based optimization algorithms for solving discrete time optimal stopping problems. Using large deviation theory for the increments of empirical processes, we derive optimal convergence rates for the value function estimate and show that they cannot be improved in general. The rates derived provide a guide to the choice of the number of simulated paths needed in optimization step, which is crucial for the good performance of any simulation-based optimization a...
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作者：Marty, Renaud; Solna, Knut
作者单位：University of California System; University of California Irvine; Universite de Lorraine
摘要：We consider waves propagating in a randomly layered medium with long-range correlations. An example of such a medium is studied in [19] and leads, in particular, to an asymptotic travel time described in terms of a fractional Brownian motion. Here we study the asymptotic transmitted pulse under very general assumptions on the long-range correlations. In the framework that we introduce in this paper, we prove in particular that the asymptotic time-shift can be described in terms of non-Gaussian...
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作者：Appuhamillage, Thilanka; Bokil, Vrushali; Thomann, Enrique; Waymire, Edward; Wood, Brian
作者单位：Oregon State University; Oregon State University
摘要：Advective skew dispersion is a natural Markov process defined by a diffusion with drift across an interface of jump discontinuity in a piecewise constant diffusion coefficient. In the absence of drift, this process may be represented as a function of alpha-skew Brownian motion for a uniquely determined value of alpha = alpha*; see Ramirez et al. [Multiscale Model. Simul. 5 (2006) 786-801]. In the present paper, the analysis is extended to the case of nonzero drift. A determination of the (join...
