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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：Dolinsky, Yan; Kifer, Yuri
作者单位：Hebrew University of Jerusalem
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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：Aberg, Sofia; Rychlik, Igor; Leadbetter, M. Ross
作者单位：Chalmers University of Technology; University of Gothenburg; University of North Carolina; University of North Carolina Chapel Hill
摘要：Distributions of wave characteristics of ocean waves, such as wave slope, waveheight or wavelength, are an important tool in a variety of oceanographic applications such as safety of ocean structures or in the study of ship stability, as will be the focus in this paper. We derive Palm distributions of several wave characteristics that can be related to steepness of waves for two different cases, namely for waves observed along a line at a fixed time point and for waves encountering a ship sail...
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作者：Vath, Vathana Ly; Pham, Huyten; Villeneuve, Stephane
作者单位：Universite Paris Saclay; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Universite Paris Cite; Sorbonne Universite
摘要：We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem combines features of both optimal switching and singular control. We prove that our mixed problem can be decoupled in two pure optimal stopping and singular control problems. Furthermore, we describe the form of the optimal strategy by means of viscosity solution techniques and smooth-fit properties on the correspondin...
