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作者：Caputo, P.; Faggionato, A.
作者单位：Roma Tre University; Sapienza University Rome
摘要：We consider random walks in a random environment which are generalized versions of well-known effective models for Mott variable-range hopping. We study the homogenized diffusion constant of the random walk in the one-dimensional case. We prove various estimates on the low-temperature behavior which confirm and extend previous work by physicists.
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作者：Ekstrom, Erik; Tysk, Johan
作者单位：Uppsala University
摘要：A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in this paper we address some of these issues. In particular, we derive existence and uniqueness results for the Black-Scholes equation, and we provide convexity theory for option pricing and derive related ordering results with respect to volatility. We show tha...
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作者：Hofbauer, Josef; Imhof, Lorens A.
作者单位：University of Vienna; University of Bonn; University of Bonn
摘要：We investigate the long-run behavior of a stochastic replicator process, which describes game dynamics for a symmetric two-player game under aggregate shocks. We establish an averaging principle that relates time averages of the process and Nash equilibria of a suitably modified game. Furthermore, a sufficient condition for transience is given in terms of mixed equilibria and definiteness of the payoff matrix. We also present necessary and sufficient conditions for stochastic stability of pure...
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作者：Mandjes, Michel; Norros, Ilkka; Glynn, Peter
作者单位：University of Amsterdam; Stanford University; VTT Technical Research Center Finland
摘要：With M(t) := sup(s is an element of[0,t]) A(s) - s denoting the running maximum of a fractional Brownian motion A(.) with negative drift, this paper studies the rate of convergence of P(M(t) > x) to P(M > x). We define two metrics that measure the distance between the (complementary) distribution functions P(M(t) > .) and P(M > .). Our main result states that both metrics roughly decay as exp(-vt(2-2H)), where v is the decay rate corresponding to the tail distribution of the busy period in an ...
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作者：Gouere, Jean-Baptiste
作者单位：Universite de Orleans
摘要：We consider some continuum percolation models. We are mainly interested in giving some sufficient conditions for the absence of percolation. We give some general conditions and then focus on two examples. The first one is a multiscale percolation model based on the Boolean model. It was introduced by Meester and Roy and subsequently studied by Menshikov, Popov and Vachkovskaia. The second one is based on the stable marriage of Poisson and Lebesgue introduced by Hoffman, Holroyd and Peres and w...
