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作者：Bruss, FT; Grübel, R
作者单位：Universite Libre de Bruxelles; Leibniz University Hannover
摘要：Let M-n be the maximum of a sample X-1,..., X-n from a discrete distribution and let W-n be the number of i's, 1 less than or equal to i less than or equal to n, such that X-i = M-n. We discuss the asymptotic behavior of the distribution of Wn as n --> infinity. The probability that the maximum is unique is of interest in diverse problems, for example, in connection with an algorithm for selecting a winner, and has been studied by several authors using mainly analytic tools. We present here an...
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作者：Lamberton, D; Villeneuve, S
作者单位：Universite Gustave-Eiffel; Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Universite PSL; Ecole des Hautes Etudes en Sciences Sociales (EHESS); Universite de Toulouse; Universite Toulouse 1 Capitole; Centre National de la Recherche Scientifique (CNRS)
摘要：We study the behavior of the critical price of an American put option near maturity when the underlying stock pays dividends at a continuous rate. The results also apply to foreign currencies American options.
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作者：Jakubenas, P; Levental, S; Ryznar, M
作者单位：Sorbonne Universite; Universite Paris Cite; Michigan State University; Wroclaw University of Science & Technology
摘要：We study the minimal investment that is needed in order to super-replicate (i.e., hedge with certainty) continuous-time options under transaction costs. We deal with both exotic and path-independent European and American options. In all our examples we prove that the optimal strategy is the cheapest possible buy and hold. Our method is to study the problem in a discrete-time shadow market that is free of transaction costs where the options are perpetual. We also produce useful and precise esti...
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作者：Embrechts, P; Samorodnitsky, G
作者单位：Swiss Federal Institutes of Technology Domain; ETH Zurich; Cornell University
摘要：The recent increasing interplay between actuarial and financial mathematics has led to a surge in risk theoretic modeling. Especially actuarial ruin models under fairly general conditions on the underlying risk process have become a focus of attention. Motivated by applications such as the modeling of operational risk losses in financial risk management, we investigate the stability of classical asymptotic ruin estimates when claims are heavy, and this under variability of the claim intensity ...
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作者：Mahmoud, HM; Neininger, R
作者单位：George Washington University; McGill University
摘要：We investigate random distances in a random binary search tree. Two types of random distance are considered: the depth of a node randomly selected from the tree, and distance between randomly selected pairs of nodes. By a combination of classical methods and modern contraction techniques we arrive at a Gaussian limit law for normed random distances between pairs. The exact forms of the mean and variance of this latter distance are first derived by classical methods to determine the scaling pro...
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作者：Jelenkovic, P; Momcilovic, P
作者单位：Columbia University
摘要：Consider a fluid queue with a finite buffer B and capacity c fed by a superposition of N independent On-Off processes. An On-Off process consists of a sequence of alternating independent periods of activity and silence. Successive periods of activity, as well as silence, are identically distributed. The process is active with probability p and during its activity period produces fluid at constant rate r. For this queueing system, under the assumption that the excess activity periods are interm...
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作者：Harrison, JM
作者单位：Stanford University
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作者：Ganesh, A; O'Connell, N; Prabhakar, B
作者单位：Stanford University
摘要：We consider a discrete-time queue with general service distribution and characterize a class of arrival processes that possess a large deviation rate function that remains unchanged in passing through the queue. This invariant rate function corresponds to a kind of exponential tilting of the service distribution. We establish a large deviations analogue of quasireversibility for this class of arrival processes. Finally, we prove the existence of stationary point processes that have a probabili...
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作者：Hüsler, J; Piterbarg, V; Seleznjev, O
作者单位：University of Bern; Lomonosov Moscow State University; Umea University
摘要：We consider the large values and the mean of the uniform norms for a sequence of Gaussian processes with continuous sample paths. The convergence of the normalized uniform norm to the standard Gumbel (or double exponential) law is derived for distributions and means. The results are obtained from the Poisson convergence of the associated point process of exceedances for a general class of Gaussian processes. As an application we study the piecewise linear interpolation of Gaussian processes wh...
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作者：Leslie, DS; Collins, EJ
作者单位：University of Bristol
摘要：We consider reinforcement learning algorithms in normal form games. Using two-timescales stochastic approximation, we introduce a model-free algorithm which is asymptotically equivalent to the smooth fictitious play algorithm, in that both result in asymptotic pseudo-trajectories to the flow defined by the smooth best response dynamics. Both of these algorithms are shown to converge almost surely to Nash distribution in two-player zero-sum games and N-player partnership games. However, there a...
