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作者：Crepey, Stephane; Matoussi, Anis
作者单位：Universite Paris Saclay; Le Mans Universite
摘要：It is now established that under quite general circumstances, including in models with jumps, the existence of a solution to a reflected BSDE is guaranteed under mild conditions, whereas the existence of a solution to a doubly reflected BSDE is essentially equivalent to the so-called Mokobodski condition. As for uniqueness of solutions, this holds under mild integrability conditions. However, for practical purposes, existence and uniqueness are not enough. In order to further develop these res...
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作者：Dembo, Amir; Montanar, Andrea
作者单位：Stanford University; Stanford University; Stanford University
摘要：The (two) core of a hypergraph is the maximal collection of hyperedges within which no vertex appears only once. It is of importance in tasks such as efficiently solving a large linear system over GF[2], or iterative decoding of low-density parity-check codes used over the binary erasure channel. Similar structures emerge in a variety of NP-hard combinatorial optimization and decision problems, from vertex cover to satisfiability. For a uniformly chosen random hypergraph of m = np vertices and...
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作者：Zhao, Ou; Woodroofe, Michael
作者单位：Yale University; University of Michigan System; University of Michigan
摘要：Consider additive functionals of a Markov chain W-k, with stationary (marginal) distribution and transition function denoted by pi and Q, say S-n = g(W-1) + ... + g(W-n), where g is square integrable and has mean 0 with respect to pi. If S-n has the form S-n = M-n + R-n, where M-n is a square integrable martingale with stationary increments and E(R-n(2)) = o(n), then g is said to admit a martingale approximation. Necessary and sufficient conditions for such an approximation are developed. Two ...
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作者：Hoffman, Christopher
作者单位：University of Washington; University of Washington Seattle
摘要：We consider a wide class of ergodic first passage percolation processes on Z(2) and prove that there exist at least four one-sided geodesics a.s. We also show that coexistence is possible with positive probability in a four-color Richardson's growth model. This improves earlier results of Haggstrom and Pemantle [J. Appl. Prohah. 35 (1995) 683-692]. Garet and Marchand [Ann. Appl. Probah. 15 (2005) 298-330] and Hoffman [Ann. Appl. Probab. 15 (2005) 739-747] who proved that first passage percolat...
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作者：Loeffen, R. L.
作者单位：University of Bath
摘要：We consider the classical optimal dividend control problem which was proposed by de Finetti [Trans. XVth Internat. Congress Actuaries 2 (1957) 433-443]. Recently Avram, Palmowski and Pistorius [Ann. Appl. Probab. 17 (2007) 156-180] studied the case when the risk process is modeled by a general spectrally negative Levy process. We draw upon their results and give sufficient conditions under which the optimal strategy is of barrier type, thereby helping to explain the fact that this particular s...
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作者：Jourdain, Benjamin; Malrieu, Florent
作者单位：Institut Polytechnique de Paris; Ecole Nationale des Ponts et Chaussees; Universite de Rennes
摘要：In this paper, in the particular case of a concave flux function, we are interested in the long time behavior of the nonlinear process associated in [Methodol. Comput. Appl. Probab. 2 (2000) 69-91] to the one-dimensional viscous scalar conservation law. We also consider the particle system obtained by replacing the cumulative distribution function in the drift coefficient of this nonlinear process by the empirical cumulative distribution function. We first obtain a trajectorial propagation of ...
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作者：Henderson, Vicky; Hobson, David
作者单位：University of Warwick; University of Warwick
摘要：In this article we study an optimal stopping/optimal control problem which models the decision facing a ask-averse agent over when to sell an asset. The market is incomplete so that the asset exposure cannot be hedged. In addition to the decision over when to sell, the agent has to choose a control strategy which corresponds to a feasible wealth process. We formulate this problem as one involving the choice of a stopping time and a martingale. We conjecture the form of the solution and verify ...
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作者：Cherny, Alexander
作者单位：Lomonosov Moscow State University
摘要：We prove that any Brownian moving average X-t = integral(t)(-infinity) (f(s - t) - f(s))dB(s), t >= 0, satisfies the conditional full support condition introduced by Guasoni, Rasonyi and Schachermayer [Ann. Appl. Probab. 18 (2008) 491-520].
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作者：Feng, Shui; Ga, Fuqing
作者单位：McMaster University; Wuhan University
摘要：The Poisson-Dirichlet distribution arises in many different areas. The parameter theta in the distribution is the scaled mutation rate of a population in the context of population genetics. The limiting case of theta approaching infinity is practically motivated and has led to new, interesting mathematical structures. Laws of large numbers, fluctuation theorems and large-deviation results have been established. In this paper, moderate-deviation principles are established for the Poisson-Dirich...
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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 ...
