-
作者：Del Moral, Pierre; Rio, Emmanuel
作者单位：Centre National de la Recherche Scientifique (CNRS); Inria; Universite de Bordeaux; Universite Paris Saclay; Universite Paris Saclay
摘要：This article is concerned with the fluctuations and the concentration properties of a general class of discrete generation and mean field particle interpretations of nonlinear measure valued processes. We combine an original stochastic perturbation analysis with a concentration analysis for triangular arrays of conditionally independent random sequences, which may be of independent interest. Under some additional stability properties of the limiting measure valued processes, uniform concentrat...
-
作者：Jentzen, Arnulf; Kloeden, Peter; Winkel, Georg
作者单位：Princeton University; Goethe University Frankfurt
摘要：Recently, in a paper by Jentzen and Kloeden [Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci. 465 (2009) 649-667], a new method for simulating nearly linear stochastic partial differential equations (SPDEs) with additive noise has been introduced. The key idea was to use suitable linear functionals of the noise process in the numerical scheme which allow a higher approximation order to be obtained. Following this approach, a new simplified version of the scheme in the above named reference is ...
-
作者：Glazebrook, Kevin D.; Hodge, David J.; Kirkbride, Chris
作者单位：Lancaster University; Lancaster University; University of Nottingham; Lancaster University
摘要：We develop appropriately generalized notions of indexability for problems of dynamic resource allocation where the resource concerned may be assigned more flexibility than is allowed, for example, in classical multiarmed bandits. Most especially we have in mind the allocation of a divisible resource (manpower, money, equipment) to a collection of objects (projects) requiring it in cases where its over-concentration would usually be far from optimal. The resulting project indices are functions ...
-
作者：Pal, Soumik
作者单位：University of Washington; University of Washington Seattle
摘要：We derive the joint density of market weights, at fixed times and suitable stopping times, of the volatility-stabilized market models introduced by Fernholz and Karatzas in [Ann. Finan. 1 (2005) 149-177]. The argument rests on computing the exit density of a collection of independent Bessel-square processes of possibly different dimensions from the unit simplex. We show that the law of the market weights is the same as that of the multi-allele Wright-Fisher diffusion model, well known in popul...
-
作者：Daskalakis, Constantinos; Dimakis, Alexandros G.; Mossel, Elchanan
作者单位：Massachusetts Institute of Technology (MIT); University of Southern California; University of California System; University of California Berkeley
摘要：We study how the structure of the interaction graph of a game affects the existence of pure Nash equilibria. In particular, for a fixed interaction graph, we are interested in whether there are pure Nash equilibria arising when random utility tables are assigned to the players. We provide conditions for the structure of the graph under which equilibria are likely to exist and complementary conditions which make the existence of equilibria highly unlikely. Our results have immediate implication...
-
作者：Bramson, Maury
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：Semimartingale reflecting Brownian motions (SRBMs) are diffusion processes with state space the d-dimensional nonnegative orthant, in the interior of which the processes evolve according to a Brownian motion, and that reflect against the boundary in a specified manner. The data for such a process are a drift vector theta, a nonsingular d x d covariance matrix Sigma, and a d x d reflection matrix R. A standard problem is to determine under what conditions the process is positive recurrent. Nece...
-
作者：Collins, Benoit; Nechita, Ion
作者单位：University of Ottawa; Centre National de la Recherche Scientifique (CNRS); Ecole Centrale de Lyon; Institut National des Sciences Appliquees de Lyon - INSA Lyon; Universite Claude Bernard Lyon 1; Universite Jean Monnet
摘要：In this paper, we present applications of the calculus developed in Collins and Nechita [Comm. Math. Phys. 297 (2010) 345-370] and obtain an exact formula for the moments of random quantum channels whose input is a pure state thanks to Gaussianization methods. Our main application is an in-depth study of the random matrix model introduced by Hayden and Winter [Comm. Math. Phys. 284 (2008) 263-280] and used recently by Brandao and Horodecki [Open Syst. Inf. Dyn. 17 (2010) 31-52] and Fukuda and ...
-
作者：Ekstrom, Erik; Hobson, David
作者单位：Uppsala University; University of Warwick
摘要：It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock price model which reproduces the given option prices.
-
作者：Assaf, Sami; Diaconis, Persi; Soundararajan, K.
作者单位：Massachusetts Institute of Technology (MIT); Stanford University; Stanford University
摘要：We study how many riffle shuffles are required to mix n cards if only certain features of the deck are of interest, for example, suits disregarded or only the colors of interest. For these features the number of shuffles drops from 3/2 log(2) n to log(2) n. We derive closed formulae and an asymptotic rule of thumb formula which is remarkably accurate.
-
作者：Balogh, Jozsef; Bollobas, Bela; Krivelevich, Michael; Muller, Tobias; Walters, Mark
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Tel Aviv University; University of Cambridge; University of London
摘要：We prove that, in the Gilbert model for a random geometric graph, almost every graph becomes Hamiltonian exactly when it first becomes 2-connected. This answers a question of Penrose. We also show that in the k-nearest neighbor model, there is a constant. such that almost every kappa-connected graph has a Hamilton cycle.
