2期

最新文章

• Stochastic control problems for systems driven by normal martingales AI翻译
  作者：Buckdahn, Rainer; Ma, Jin; Rainer, Catherine
  作者单位：Universite de Bretagne Occidentale; University of Southern California; Purdue University System; Purdue University
  摘要：In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems ranging from optimal reinsurance selections for general insurance models to queueing theory. The main novel point of such a control problem is that by changing the jump size of the system, one essentially changes the type of the driving martingale. Such a feature does not seem to have been investigated in any existi...
• Basic properties of nonlinear stochastic Schrodinger equations driven by Brownian motions AI翻译
  作者：Mora, Carlos M.; Rebolledo, Rolando
  作者单位：Universidad de Concepcion; Universidad de Concepcion; Pontificia Universidad Catolica de Chile
  摘要：The paper is devoted to the study of nonlinear stochastic Schrodinger equations driven by standard cylindrical Brownian motions (NSSEs) arising from the unraveling of quantum master equations. Under the Born-Markov approximations, this class of stochastic evolutions equations on Hilbert spaces provides characterizations of both continuous quantum measurement processes and the evolution of quantum systems. First, we deal with the existence and uniqueness of regular solutions to NSSEs. Second, w...
• The ODE method for stability of skip-free Markov chains with applications to MCMC AI翻译
  作者：Fort, Gersende; Meyn, Sean; Moulines, Eric; Priouret, Pierre
  作者单位：IMT - Institut Mines-Telecom; Institut Polytechnique de Paris; Telecom Paris; Centre National de la Recherche Scientifique (CNRS); University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; Sorbonne Universite; Universite Paris Cite
  摘要：In this paper, some of these techniques are extended to a general class of skip-free Markov chains. As in the case of queueing models, a fluid approximation is obtained by scaling time, space and the initial condition by a large constant. The resulting fluid limit is the solution of an ordinary differential equation (ODE) in most of the state space. Stability and finer ergodic properties for the stochastic model then follow from stability of the set of fluid limits. Moreover, similarly to the ...
• Consistent price systems and face-lifting pricing under transaction costs AI翻译
  作者：Guasoni, Paolo; Rasonyi, Mikloz; Schachermayer, Walter
  作者单位：Boston University; HUN-REN; HUN-REN Institute for Computer Science & Control; Hungarian Academy of Sciences; Technische Universitat Wien
  摘要：In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support, then it admits consistent price systems for arbitrarily small transaction costs. This result applies to a large class of Markovian and non-Markovian models, including geometric fractional Brownian motion. Using the constructed price systems, we show, under very general assumptions, the following ...
• Thresholds for virus spread on networks AI翻译
  作者：Draief, Moez; Ganesh, Ayalvadi; Massoulie, Laurent
  作者单位：Imperial College London; Microsoft; Microsoft United Kingdom
  摘要：We study how the spread of computer viruses, worms and other self-replicating malware is affected by the logical topology of the network over which they propagate. We consider a model in which each host can be in one of 3 possible states-susceptible, infected or removed (cured and no longer susceptible to infection). We characterize how the size of the population that eventually becomes infected depends on the network topology. Specifically, we show that if the ratio of cure to infection rates...
• Estimating correlation from high, low, opening and closing prices AI翻译
  作者：Rogers, L. C. G.; Zhou, Fanyin
  作者单位：University of Cambridge; Imperial College London
  摘要：In earlier studies, the estimation of the volatility of a stock using information on the daily opening, closing, high and low prices has been developed; the additional information in the high and low prices can be incorporated to produce unbiased (or near-unbiased) estimators with substantially lower variance than the simple open-close estimator. This paper tackles the more difficult task of estimating the correlation of two stocks based on the daily opening, closing, high and low prices of ea...
• Navigation on a Poisson point process AI翻译
  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...
• Multisource Bayesian sequential change detection AI翻译
  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...
• Recursive computation of the invariant measure of a stochastic differential equation driven by a levy process AI翻译
  作者：Panloup, Fabien
  作者单位：Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris Cite
  摘要：We study some recursive procedures based on exact or approximate Euler schemes with decreasing step to compute the invariant measure of Levy driven SDEs. We prove the convergence of these procedures toward the invariant measure under weak conditions on the moment of the Levy process and on the mean-reverting of the dynamical system. We also show that an a.s. CLT for stable processes can be derived from our main results. Finally, we illustrate our results by several simulations.
• Convex pricing by a generalized entropy penalty AI翻译
  作者：Leitner, Johannes
  作者单位：Technische Universitat Wien
  摘要：In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The pricing functional is defined as the convex conjugate of a generalized entropy penalty functional and an interpretation in terms of tracking with instantaneously vanishing risk can be given.