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作者：Gerhold, Stefan
作者单位：Technische Universitat Wien
摘要：We investigate the Longstaff-Schwartz algorithm for American option pricing assuming that both the number of regressors and the number of Monte Carlo paths tend to infinity. Our main results concern extensions, respectively, applications of results by Glasserman and Yu [Ann. Appl. Probab. 14 (2004) 2090-2119] and Stentoft [Manag. Sci. 50 (2004) 1193-1203] to several Levy models, in particular the geometric Meixner model. A convenient setting to analyze this convergence problem is provided by t...
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作者：Durrett, Rick; Mayberry, John
作者单位：Duke University; University of the Pacific
摘要：The goal of cancer genome sequencing projects is to determine the genetic alterations that cause common cancers. Many malignancies arise during the clonal expansion of a benign tumor which motivates the study of recurrent selective sweeps in an exponentially growing population. To better understand this process, Beerenwinkel et al. [PLoS Comput. Biol. 3 (2007) 2239-2246] consider a Wright-Fisher model in which cells from an exponentially growing population accumulate advantageous mutations. Si...
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作者：Ichiba, Tomoyuki; Papathanakos, Vassilios; Banner, Adrian; Karatzas, Ioannis; Fernholz, Robert
作者单位：University of California System; University of California Santa Barbara
摘要：We study Atlas-type models of equity markets with local characteristics that depend on both name and rank, and in ways that induce a stable capital distribution. Ergodic properties and rankings of processes are examined with reference to the theory of reflected Brownian motions in polyhedral domains. In the context of such models we discuss properties of various investment strategies, including the so-called growth-optimal and universal portfolios.
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作者：Todorov, Viktor; Tauchen, George
作者单位：Northwestern University; Duke University
摘要：This paper derives the asymptotic behavior of realized power variation of pure-jump Ito semimartingales as the sampling frequency within a fixed interval increases to infinity. We prove convergence in probability and an associated central limit theorem for the realized power variation as a function of its power. We apply the limit theorems to propose an efficient adaptive estimator for the activity of discretely-sampled Ito semimartingale over a fixed interval.
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作者：Kruk, Lukasz; Lehoczky, John; Ramanan, Kavita; Shreve, Steven
作者单位：Maria Curie-Sklodowska University; Polish Academy of Sciences; Institute of Mathematics of the Polish Academy of Sciences; Brown University; Carnegie Mellon University; Carnegie Mellon University
摘要：This paper presents a heavy-traffic analysis of the behavior of a single-server queue under an Earliest-Deadline-First (EDF) scheduling policy in which customers have deadlines and are served only until their deadlines elapse. The performance of the system is measured by the fraction of reneged work (the residual work lost due to elapsed deadlines) which is shown to be minimized by the EDF policy. The evolution of the lead time distribution of customers in queue is described by a measure-value...
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作者：Chatterjee, Sourav; Shao, Qi-Man
作者单位：New York University; Hong Kong University of Science & Technology
摘要：where g(W) is a dominated term and r(W) is negligible. Let G(t) = f(0)(t)g(s)ds and define p(t) = c1e(-c0G(t)), where c(0) is a properly chosen constant and c(1) = 1/integral(infinity)(-infinity) e(-c0G(t)) dt. Let Y be a random variable with the probability density function p. It is proved that W converges to Y in distribution when the conditional second moment of (W - W') given W satisfies a law of large numbers. A Berry-Esseen type bound is also given. We use this technique to obtain a Berr...
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作者：Zhang, Jiheng; Dai, J. G.; Zwart, Bert
作者单位：Hong Kong University of Science & Technology; University System of Georgia; Georgia Institute of Technology; Centrum Wiskunde & Informatica (CWI)
摘要：We consider a processor sharing queue where the number of jobs served at any time is limited to K, with the excess jobs waiting in a buffer. We use random counting measures on the positive axis to model this system. The limit of this measure-valued process is obtained under diffusion scaling and heavy traffic conditions. As a consequence, the limit of the system size process is proved to be a piece-wise reflected Brownian motion.
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作者：Olvera-Cravioto, Mariana; Blanchet, Jose; Glynn, Peter
作者单位：Columbia University; Stanford University
摘要：Two of the most popular approximations for the distribution of the steady-state waiting time, W-infinity, of the M/G/1 queue are the so-called heavy-traffic approximation and heavy-tailed asymptotic, respectively. If the traffic intensity, rho, is close to 1 and the processing times have finite variance, the heavy-traffic approximation states that the distribution of W-infinity is roughly exponential at scale O((1 - rho)(-1)), while the heavy tailed asymptotic describes power law decay in the ...
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作者：Cuchiero, Christa; Filipovic, Damir; Mayerhofer, Eberhard; Teichmann, Josef
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI)
摘要：This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.
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作者：Hairer, Martin; Stuart, Andrew M.; Voss, Jochen
作者单位：University of Warwick; University of Leeds
摘要：A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of elliptic diffusions where the drift has a gradient structure and the resulting SPDE is of second-order parabolic type. The present article extends this methodology to allow the construction of SPDEs which are invariant with respect to the distribution of a c...
