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作者：Braverman, Mark; Etesami, Omid; Mossel, Elchanan
作者单位：University of Toronto; University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：In this paper, we study a game called Mafia, in which different players have different types of information, communication and functionality. The players communicate and function in a way that resembles some real-life situations. We consider two types of operations. First, there are operations that follow an open democratic discussion. Second, some subgroups of players who may have different interests make decisions based on their own group interest. A key ingredient here is that the identity ...
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作者：Janson, Svante; Luczak, Malwina J.
作者单位：Uppsala University; University of London; London School Economics & Political Science
摘要：We study the k-core of a random (multi)graph on n vertices with a given degree sequence. In our previous paper [Random Structures Algorithms 30 (2007) 50-62] we used properties of empirical distributions of independent random variables to give a simple proof of the fact that the size of the giant k-core obeys a law of large numbers as n -> infinity. Here we develop the method further and show that the fluctuations around the deterministic limit converge to a Gaussian law above and near the thr...
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作者：Delong, Lukasz; Klueppelberg, Claudia
作者单位：Warsaw School of Economics; Technical University of Munich
摘要：In this paper, we investigate an optimal investment and consumption problem for an investor who trades in a Black-Scholes financial market with stochastic coefficients driven by a non-Gaussian Ornstein-Uhlenbeck process. We assume that an agent makes investment and consumption decisions based on a power utility function. By applying the usual separation method in the variables, we are faced with the problem of solving a nonlinear (semilinear) first-order partial integro-differential equation. ...
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作者：Roberts, Gareth O.; Rosenthal, Jeffrey S.
作者单位：Lancaster University; University of Toronto
摘要：We introduce a new property of Markov chains, called variance bounding. We prove that, for reversible chains at least, variance bounding is weaker than, but closely related to, geometric ergodicity. Furthermore, variance bounding is equivalent to the existence of usual central limit theorems for all L-2 functionals. Also, variance bounding (unlike geometric ergodicity) is preserved under the Peskun order. We close with some applications to Metropolis-Hastings algorithms.
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作者：Biagini, Sara; Frittelli, Marco
作者单位：University of Milan; University of Perugia
摘要：We consider a stochastic financial incomplete market where the price processes are described by a vector-valued semimartingale that is possibly nonlocally bounded. We face the classical problem of utility maximization from terminal wealth, with utility functions that are finite-valued over (a,infinity), a is an element of [-infinity, infinity), and satisfy weak regularity assumptions. We adopt a class of trading strategies that allows for stochastic integrals that are not necessarily bounded f...
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作者：Rueschendorf, Ludger; Urusov, Mikhail A.
作者单位：University of Freiburg; Technical University of Berlin; Deutsche Bank
摘要：In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity assumptions on the coefficients and on the gain function are not satisfied. We apply this method to the optimal stopping of integral functionals with exponential discount of the form E-x root(tau)(0)e-(lambda s) f (X-s) ds, lambda >= 0 for one-dimensional diffusions X...
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作者：Pan, G. M.; Zhou, W.
作者单位：National University of Singapore
摘要：Let s(k) = 1/root N(nu(1k),...,nu(Nk))(T), with {nu(ik),i,k = 1,...} independent and, identically distributed complex random variables. Write S-k = (s(1),..., s(k-1), s(k+1),...,s(K)), P-k = diag(p(1),...,p(k-1), p(k+l), p(K)), R-k = (SkPkSk* + sigma I-2) and A(km) = [s(k), R(k)s(k),..., R(k)(m-1)s(k)]. Define beta(km) = p(k)s(k)*A(km)(A(km)* x R(k)Ak(m))(-1)A(km)*s(k), referred to as the signal-to-interference ratio (SIR) of user k k under the multistage Wiener (MSW) receiver in a wireless co...
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作者：Angel, Omer; Peres, Yuval; Wilson, David B.
作者单位：University of Toronto; Microsoft
摘要：The overlapping-cycles shuffle mixes a deck of n cards by moving either the nth card or the (n - k)th card to the top of the deck, with probability half each. We determine the spectral gap for the location of a single card, which, as a function of k and n, has surprising behavior. For example, suppose k is the closest integer to alpha n for a fixed real alpha is an element of (0, 1). Then for rational 01 the spectral gap is Theta(n(-2)), while for poorly approximable irrational numbers alpha, ...
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作者：Vysotsky, Vladislav V.
作者单位：Saint Petersburg State University
摘要：We give a quantitative analysis of clustering in a stochastic model of one-dimensional gas. At time zero, the gas consists of n identical particles that are randomly distributed on the real line and have zero initial speeds. Particles begin to move under the forces of mutual attraction. When particles collide, they stick together forming a new particle, called cluster, whose mass and speed are defined by the laws of conservation. We are interested in the asymptotic behavior of K-n(t) as n -> i...
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作者：Bansaye, Vincent
作者单位：Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Sorbonne Universite; Universite Paris Cite
摘要：We consider a branching model introduced by Kimmel for cell division with parasite infection. Cells contain proliferating parasites which are shared randomly between the two daughter cells when they divide. We determine the probability that the organism recovers, meaning that the asymptotic proportion of contaminated cells vanishes. We study the tree of contaminated cells, give the asymptotic number of contaminated cells and the asymptotic proportions of contaminated cells with a given number ...
