-
作者：Jarrow, Robert A.; Protter, Philip; Sayit, Hasanjan
作者单位：Cornell University; Cornell University; Worcester Polytechnic Institute
摘要：We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are possible in our setting, for example, fractional Brownian motion.
-
作者：Durrett, Rick
作者单位：Cornell University
摘要：In this paper I will review twenty years of work on the question: When is there coexistence in stochastic spatial models? The answer, announced in Durrett and Levin [Theor Pop. Biol. 46 (1994) 363-394], and that we explain in this paper is that this can be determined by examining the mean-field ODE. There are a number of rigorous results in support of this picture, but we will state nine challenging and important open problems, most of which date from the 1990's.
-
作者：Seierstad, Taral Guldahl
作者单位：University of Oslo
摘要：In a paper from 1995, Wormald gave general criteria for certain parameters in a family of discrete random processes to converge to the solution of a system of differential equations. Based on this method, we show that if some further conditions are satisfied, the parameters converge to a multivariate normal distribution.
-
作者：Cranston, M.; Gauthier, D.; Mountford, T. S.
作者单位：University of California System; University of California Irvine; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：The focus of this article is on the different behavior of large deviations of random subadditive functionals above the mean versus large deviations below the mean in two random media models. We consider the point-to-point first passage percolation time a(n) on Z(d) and a last passage percolation time Z(n). For these functionals, we have lim(n ->infinity) a(n)/n = v and lim(n ->infinity) Z(n)/n = mu. Typically, the large deviations for such functionals exhibits a strong asymmetry, large deviati...
