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作者：Ludena, Carenne
摘要：A multifractal random walk (MRW) is defined by a Brownian motion subordinated by a class of continuous multifractal random measures M[0, t], 0 <= t <= 1. In this paper we obtain an extension of this process, referred to as multifractal fractional random walk (MFRW), by considering the limit in distribution of a sequence of conditionally Gaussian processes. These conditional processes are defined as integrals with respect to fractional Brownian motion and convergence is seen to hold under certa...
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作者：Dai, J. G.; Lin, Wuqin
作者单位：University System of Georgia; Georgia Institute of Technology; Northwestern University
摘要：We consider a class of stochastic processing networks. Assume that the networks satisfy a complete resource pooling condition. We prove that each maximum pressure policy asymptotically minimizes the workload process in a stochastic processing network in heavy traffic. We also show that, under each quadratic holding cost structure, there is a maximum pressure policy that asymptotically minimizes the holding cost. A key to the optimality proofs is to prove a state space collapse result and a hea...
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作者：Cox, A. M. G.; Hobson, David; Obloj, Jan
作者单位：University of Bath; University of Warwick; Imperial College London
摘要：We develop a class of pathwise inequalities of the form H(B-t) >= M-t + F(L-t), where B-t is Brownian motion, L-t its local time at zero and M-t a local martingale. The concrete nature of the representation makes the inequality useful for a variety of applications. In this work, we use the inequalities to derive constructions and optimality results of Vallois' Skorokhod embeddings. We discuss their financial interpretation in the context of robust pricing and hedging of options written on the ...
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作者：Dolinsky, Yan; Kifer, Yuri
作者单位：Hebrew University of Jerusalem
摘要：We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black-Scholes market considering Lipschitz continuous path-dependent payoffs for both discrete- and continuous-time cases. These results are new also for usual American style options. The paper continues and extends the study of Kifer [Ann. Appl. Probab. 16 (2006) 984-1033] where estimates for binomial approximations of prices of game options were obtained. ...
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作者：Dolinsky, Yan; Kifer, Yuri
作者单位：Hebrew University of Jerusalem
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作者：Bordenave, Charles
作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：On a locally finite point set, a navigation defines a path through the point set from one point to another. The set of paths leading to a given point defines a tree known as the navigation tree. In this article, we analyze the properties of the navigation tree when the point set is a Poisson point process on R-d. We examine the local weak convergence of the navigation tree, the asymptotic average of a functional along a path, the shape of the navigation tree and its topological ends. We illust...
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作者：Toninelli, Fabio Lucio
作者单位：Ecole Normale Superieure de Lyon (ENS de LYON); Centre National de la Recherche Scientifique (CNRS); CNRS - Institute of Physics (INP); Ecole Normale Superieure de Lyon (ENS de LYON)
摘要：We consider a general model of a disordered copolymer with adsorption. This includes, as particular cases, a generalization of the copolymer at a selective interface introduced by Garel et a]. [Europhys. Lett. 8 (1989) 9-131, pinning and wetting models in various dimensions, and the Poland-Scheraga model of DNA denaturation. We prove a new variational upper bound for the free energy via an estimation of noninteger moments of the partition function. As an application, we show that for strong di...
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作者：Delmas, Jean-Francois; Dhersin, Jean-Stephane; Siri-Jegousse, Arno
作者单位：Institut Polytechnique de Paris; Ecole Nationale des Ponts et Chaussees; Universite Paris Cite
摘要：We give the asymptotic distribution of the length of partial coalescent trees for Beta and related coalescents. This allows us to give the asymptotic distribution of the number of (neutral) mutations in the partial tree. This is a first step to study the asymptotic distribution of a natural estimator of DNA mutation rate for species with large families.
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作者：Gravner, Janko; Holroyd, Alexander E.
作者单位：University of California System; University of California Davis; University of British Columbia
摘要：In the bootstrap percolation model, sites in an L x L square are initially infected independently with probability p. At subsequent steps, a healthy site becomes infected if it has at least two infected neighbors. As (L, p) -> (infinity, 0), the probability that the entire square is eventually infected is known to undergo a phase transition in the parameter p log L, occurring asymptotically lambda = pi(2)/18 [Probab. Theory Related Fields 125 (2003) 195-224]. We prove that the discrepancy betw...
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作者：Dayanik, Savas; Poor, H. Vincent; Sezer, Semih O.
作者单位：Princeton University; Princeton University; Princeton University; University of Michigan System; University of Michigan
摘要：Suppose that local characteristics of several independent compound Poisson and Wiener processes change suddenly and simultaneously at some unobservable disorder time. The problem is to detect the disorder time as quickly as possible after it happens and minimize the rate of false alarms at the same time. These problems arise, for example, from managing product quality in manufacturing systems and preventing the spread of infectious diseases. The promptness and accuracy of detection rules impro...
