-
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. ...
-
作者：Sandberg, Oskar
作者单位：Chalmers University of Technology; University of Gothenburg
摘要：Small-world graphs, which combine randomized and structured elements, are seen as prevalent in nature. Jon Kleinberg showed that in some graphs of this type it is possible to route, or navigate, between vertices in few steps even with very little knowledge of the graph itself. In an attempt to understand how such graphs arise we introduce a different criterion for graphs to be navigable in this sense, relating the neighbor selection of a vertex to the hitting probability of routed walks. In se...
-
作者：Bercu, Bernard; Touati, Abderrahmen
作者单位：Centre National de la Recherche Scientifique (CNRS); Inria; CNRS - National Institute for Mathematical Sciences (INSMI); Universite de Bordeaux; Universite de Carthage
摘要：We propose several exponential inequalities for self-normalized martingales similar to those established by De la Pena. The keystone is the introduction of a new notion of random variable heavy on left or right. Applications associated with linear regressions, autoregressive and branching processes are also provided.
-
作者：Sly, Allan
作者单位：University of California System; University of California Berkeley
摘要：Counter to the general notion that the regular tree is the worst case for decay of correlation between sets and nodes, we produce an example of a multi-spin interacting system which has uniqueness on the d-regular tree but does not have uniqueness on some infinite d-regular graphs.
-
作者：Morvai, Gusztav; Weiss, Benjamin
作者单位：MTA-BME Stochastics Research Group; Hebrew University of Jerusalem
摘要：A binary renewal process is a stochastic process {X-n} taking values in {0, 1} where the lengths of the runs of 1's between successive zeros are independent. After observing X-0, X-1, ... , X-n one would like to predict the future behavior, and the problem of universal estimators is to do so without any prior knowledge of the distribution. We prove a variety of results of this type, including universal estimates for the expected time to renewal as well as estimates for the conditional distribu...
-
作者：Peccati, Giovanni; Prunster, Igor
作者单位：Sorbonne Universite; University of Turin
摘要：A popular Bayesian nonparametric approach to survival analysis consists in modeling hazard rates as kernel mixtures driven by a completely random measure. In this paper we derive asymptotic results for linear and quadratic functionals of such random hazard rates. In particular, we prove central limit theorems for the cumulative hazard function and for the path-second moment and path-variance of the hazard rate. Our techniques are based on recently established criteria for the weak convergence ...
