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作者：Cohen, Serge; Samorodnitsky, Gennady
作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Cornell University
摘要：We describe a new class of self-similar symmetric a-stable processes with stationary increments arising as a large time scale limit in a situation where many users are earning random rewards or incurring random costs. The resulting models are different from the ones studied earlier both in their memory properties and smoothness of the sample paths.
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作者：Cvitanic, Jaksa; Liptser, Robert; Rozovskii, Boris
作者单位：California Institute of Technology; Tel Aviv University; University of Southern California
摘要：This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process S=(S-t)(t >= 0) is given by dS(t)=m(theta(t))S(t)dt+v(theta(t))S(t)dB(t), where B=(B-t)(t >= 0) is a Brownian motion, v is a positive function and theta=(theta(t))(t >= 0) is a cadlag strong Markov process. The random process theta is unobservable. We assume also that the asset price St is observed only at random times ...
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作者：Kramkov, Dmitry; Sirbu, Mihai
作者单位：Carnegie Mellon University; Columbia University
摘要：In the general framework of a semimartingale financial model and a utility function U defined on the positive real line, we compute the first-order expansion of marginal utility-based prices with respect to a small number of random endowments. We show that this linear approximation has some important qualitative properties if and only if there is a risk-tolerance wealth process. In particular, they hold true in the following polar cases: 1. for any utility function U, if and only if the set of...
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作者：Saidi, Youssef; Zakoian, Jean-Michel
作者单位：Mohammed V University in Rabat; Institut Polytechnique de Paris; ENSAE Paris; Universite de Lille
摘要：A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and beta-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis relies on Markov chain theory. The model generalizes some important features of standard ARCH models and is amenable to further analysis.
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作者：Antunes, Nelson; Fricker, Christine; Robert, Philippe; Tibi, Danielle
作者单位：Universidade do Algarve; Universite Paris Cite
摘要：This paper analyzes stochastic networks consisting of finite capacity nodes with different classes of requests which move according to some routing policy. The Markov processes describing these networks do not, in general, have reversibility properties, so the explicit expression of their invariant distribution is not known. Kelly's limiting regime is considered: the arrival rates of calls as well as the capacities of the nodes are proportional to a factor going to infinity. It is proved that,...
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作者：Dong, Rui; Goldschmidt, Christina; Martin, James B.
作者单位：University of California System; University of California Berkeley; University of Cambridge; University of Oxford
摘要：In this paper we give a new example of duality between fragmentation and coagulation operators. Consider the space of partitions of mass (i.e., decreasing sequences of nonnegative real numbers whose sum is 1) and the two-parameter family of Poisson-Dirichlet distributions PD(alpha, theta) that take values in this space. We introduce families of random fragmentation and coagulation operators Frag(alpha) and Coag(alpha),(theta), respectively, with the following property: if the input to Frag(alp...
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作者：Hansen, Niels Richard
作者单位：University of Copenhagen
摘要：We consider local alignments without gaps of two independent Markov chains from a finite alphabet, and we derive sufficient conditions for the number of essentially different local alignments with a score exceeding a high threshold to be asymptotically Poisson distributed. From the Poisson approximation a Gumbel approximation of the maximal local alignment score is obtained. The results extend those obtained by Dembo, Karlin and Zeitouni [Ann. Probab. 22 (1994) 2022-2039] for independent seque...
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作者：Dyer, M; Goldberg, LA; Jerrum, M
作者单位：University of Leeds; University of Warwick; University of Edinburgh
摘要：We address the problem of sampling colorings of a graph G by Markov chain simulation. For most of the article we restrict attention to proper q-colorings of a path on n vertices (in statistical physics terms, the one-dimensional q-state Potts model at zero temperature), though in later sections we widen our scope to general H-colorings of arbitrary graphs G. Existing theoretical analyses of the mixing time of such simulations relate mainly to a dynamics in which a random vertex is selected for...
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作者：Li, Xun; Zhou, Xun Yu
作者单位：National University of Singapore; Chinese University of Hong Kong
摘要：This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient a la Markowitz. It is shown that, when the market coefficients are deterministic functions of time, a mean-variance efficient portfolio realizes the (discounted) targeted return on or before the terminal date with a probability greater than 0...
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作者：Lanchier, N; Neuhauser, C
作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite de Rouen Normandie; University of Minnesota System; University of Minnesota Twin Cities
摘要：Mutualists and pathogens, collectively called symbionts, are ubiquitous in plant communities. While some symbionts are highly host-specific, others associate with Multiple hosts. The outcomes of multispecies host-symbiont interactions with different degrees of specificity are difficult to predict ill this point due to a lack of a general conceptual framework. Complicating our predictive power is the fact that plant populations are spatially explicit, and we know from past research that explici...
