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作者：Kardaras, Constantinos
作者单位：Boston University
摘要：We provide an axiomatic foundation for the representation of numeraire-invariant preferences of economic agents acting in a financial market. In a static environment, the simple axioms turn out to be equivalent to the following choice rule: the agent prefers one outcome over another if and only if the expected (under the agent's subjective probability) relative rate of return of the latter outcome with respect to the former is nonpositive. With the addition of a transitivity requirement, this ...
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作者：Kuznetsov, Alexey
作者单位：York University - Canada
摘要：In this paper we introduce a ten-parameter family of Levy processes for which we obtain Wiener-Hopf factors and distribution of the supremum process in semi-explicit form. This family allows an arbitrary behavior of small jumps and includes processes similar to the generalized tempered stable, KoBoL and CGMY processes. Analytically it is characterized by the property that the characteristic exponent is a meromorphic function, expressed in terms of beta and digamma functions. We prove that the ...
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作者：Amei, Amei; Sawyer, Stanley
作者单位：Nevada System of Higher Education (NSHE); University of Nevada Las Vegas; Washington University (WUSTL)
摘要：We derive a Poisson random field model for population site polymorphisms differences within and between two species that share a relatively recent common ancestor. The model can be either equilibrium or time inhomogeneous. We first consider a random field of Markov chains that describes the fate of a set of individual mutations. This field is approximated by a Poisson random field from which we can make inferences about the amounts of mutation and selection that have occurred in the history of...
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作者：Bacry, Emmanuel; Gloter, Arnaud; Hoffmann, Marc; Muzy, Jean Francois
作者单位：Institut Polytechnique de Paris; ENSTA Paris; Ecole Polytechnique; Universite Gustave-Eiffel; Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Institut Polytechnique de Paris; ENSAE Paris; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Engineering & Systems Sciences (INSIS)
摘要：Multifractal analysis of multiplicative random cascades is revisited within the framework of mixed asymptotics. In this new framework, the observed process can be modeled by a concatenation of independent binary cascades and statistics are estimated over a sample whose size increases as the resolution scale (or the sampling period) becomes finer. This allows one to continuously interpolate between the situation where one studies a single cascade sample at arbitrary fine scales and where, at fi...
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作者：Dolinsky, Yan
作者单位：Hebrew University of Jerusalem
摘要：In this paper we consider Dynkin's games with payoffs which are functions of an underlying process. Assuming extended weak convergence of underlying processes {S-(n)}(n=0)(infinity) to a limit process S we prove convergence Dynkin's games values corresponding to {S(n)}(n=0)(infinity) to the Dynkin's game value corresponding to S. We use these results to approximate game options prices with path dependent payoffs in continuous time models by a sequence of game options prices in discrete time mo...
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作者：Fontbona, J.
作者单位：Universidad de Chile; Universidad de Chile; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We develop a McKean-Vlasov interpretation of Navier-Stokes equations with external force field in the whole space, by associating with local mild L(p)-solutions of the 3d-vortex equation a generalized nonlinear diffusion with random space-time birth that probabilistically describes creation of rotation in the fluid due to nonconservativeness of the force. We establish a local well-posedness result for this process and a stochastic representation formula for the vorticity in terms of a vector-w...
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作者：Dai, J. G.; He, Shuangchi; Tezcan, Tolga
作者单位：University System of Georgia; Georgia Institute of Technology; University of Illinois System; University of Illinois Urbana-Champaign; University of Rochester
摘要：This paper studies many-server limits for multi-server queues that have a phase-type service time distribution and allow for customer abandonment. The first set of limit theorems is for critically loaded G/Ph/n + GI queues, where the patience times are independent and identically distributed following a general distribution. The next limit theorem is for overloaded G/Ph/n + M queues, where the patience time distribution is restricted to be exponential. We prove that a pair of diffusion-scaled ...
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作者：Baumdicker, F.; Hess, W. R.; Pfaffelhuber, P.
作者单位：University of Freiburg; University of Freiburg
摘要：The distributed genome hypothesis states that the set of genes in a population of bacteria is distributed over all individuals that belong to the specific taxon. It implies that certain genes can be gained and lost from generation to generation. We use the random genealogy given by a Kingman coalescent in order to superimpose events of gene gain and loss along ancestral lines. Gene gains occur at a constant rate along ancestral lines. We assume that gained genes have never been present in the ...
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作者：Saloff-Coste, L.; Zuniga, J.
作者单位：Cornell University; Stanford University
摘要：Starting from a given Markov kernel on a finite set V and a bijection g of V, we construct and study a time inhomogeneous Markov chain whose kernel at time n is obtained from K by transport of g(n-1). We show that this construction leads to interesting examples, and we obtain quantitative results for some of these examples.
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作者：Bhamidi, Shankar; van der Hofstad, Remco; Hooghiemstra, Gerard
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Eindhoven University of Technology; Delft University of Technology
摘要：We study first passage percolation on the configuration model. Assuming that each edge has an independent exponentially distributed edge weight, we derive explicit distributional asymptotics for the minimum weight between two randomly chosen connected vertices in the network, as well as for the number of edges on the least weight path, the so-called hopcount. We analyze the configuration model with degree power-law exponentt tau > 2, in which the degrees are assumed to be i.i.d. with a tail di...
