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作者：Nakashima, Makoto
作者单位：Kyoto University
摘要：We consider the branching random walks in d-dimensional integer lattice with time-space i.i.d. offspring distributions. Then the normalization of the total population is a nonnegative martingale and it almost surely converges to a certain random variable. When d >= 3 and the fluctuation of environment satisfies a certain uniform square integrability then it is nondegenerate and we prove a central limit theorem for the density of the population in terms of almost sure convergence.
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作者：Dereich, Steffen
作者单位：Philipps University Marburg
摘要：We introduce and analyze multilevel Monte Carlo algorithms for the, computation of E(f) (Y), where Y = (Y(t))t is an element of[0, 1] is the solution of a multidimensional Levy-driven stochastic differential equation and f is a real-valued function on the path space. The algorithm relies on approximations obtained by simulating large jumps of the Levy process individually and applying a Gaussian approximation for the small jump part. Upper bounds are provided for the worst case error over the ...
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作者：Taflin, Erik
作者单位：CY Cergy Paris Universite; Ecole Internationale des Sciences du Traitement de linformation; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We construct Zero-Coupon Bond markets driven by a cylindrical Brownian motion in which the notion of generalized portfolio has important flaws: There exist bounded smooth random variables with generalized hedging portfolios for which the price of their risky part is +infinity at each time. For these generalized portfolios, sequences of the prices of the risky part of approximating portfolios can be made to converges to any given extended real number in [-infinity, infinity].
