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作者：Deelstra, G; Pham, H; Touzi, N
作者单位：Institut Polytechnique de Paris; ENSAE Paris; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Sorbonne Universite; Institut Polytechnique de Paris; ENSAE Paris
摘要：In the context of a general multivariate financial market with transaction costs, we consider the problem of maximizing expected utility from terminal wealth. In contrast with the existing literature, where only the liquidation value of the terminal portfolio is relevant, we consider general utility functions which are only required to be consistent with the structure of the transaction costs. An important feature of our analysis is that the utility function is not required to be C-1. Such non...
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作者：Penrose, MD; Yukich, JE
作者单位：Durham University; Lehigh University
摘要：Let (B-n) be an increasing sequence of regions in d-dimensional space with volume n and with union R-d. We prove a general central limit theorem for functionals of point sets, obtained either by restricting a homogeneous Poisson process to Bn, or by by taking n uniformly distributed points in B-n. The sets B-n could be all cubes but a more general class of regions B-n is considered. Using this general result we obtain central limit theorems for specific functionals such as total edge length an...
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作者：van der Hofstad, R; Klenke, A
作者单位：Delft University of Technology; University of Erlangen Nuremberg
摘要：We consider a repulsion-attraction model for a random polymer of finite length in Z(d). Its law is that of a finite simple random walk path in Zd receiving a penalty e-(2beta) for every self-intersection, and a reward e(gamma/d) for every pair of neighboring monomers. The nonnegative parameters 0 and y measure the strength of repellence and attraction, respectively. We show that for gamma > beta the attraction dominates the repulsion; that is, with high probability the polymer is contained in ...
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作者：Eibeck, A; Wagner, W
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：This paper studies stochastic particle approximations for Smoluchowski's coagulation equation. A new stochastic algorithm with reduced variance is proposed. Its convergence behavior is investigated, when the number of simulation particles tends to infinity. Under appropriate assumptions on the coagulation kernel, the limit is the unique solution of the coagulation equation. Then detailed numerical experiments are performed, testing the applicability and efficiency of the algorithm. In particul...
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作者：Chauvin, B; Drmota, M; Jabbour-Hattab, J
作者单位：Universite Paris Saclay; Centre National de la Recherche Scientifique (CNRS); Technische Universitat Wien
摘要：We characterize the limiting behavior of the number or nodes in level k of binary search trees T-n in the central region 1.2 log n less than or equal to k less than or equal to 2.8 log n. Especially we show that the width V, (the maximal number of internal nodes at the same level) satisfies (V) over bar (n) similar to (n/ root4pi log n) as n --> infinity a.s.
