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作者：Li, Libo; Rutkowski, Marek
作者单位：University of Sydney; Warsaw University of Technology
摘要：We deal with various alternative decompositions of F-martingales with respect to the filtration G, which represents the enlargement of a filtration F by a progressive flow of observations of a random time that either belongs to the class of pseudo-honest times or satisfies the extended density hypothesis. Several related results from the existing literature are revisited and essentially extended. Results on G-semimartingale decompositions of F-local martingales are crucial for applications in ...
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作者：Lijoi, Antonio; Prunster, Igor; Walker, Stephen G.
作者单位：University of Pavia; University of Turin; University of Texas System; University of Texas Austin; Collegio Carlo Alberto
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作者：Akyildirim, Erdinc; Dolinsky, Yan; Soner, H. Mete
作者单位：Borsa Istanbul; Swiss Federal Institutes of Technology Domain; ETH Zurich; Hebrew University of Jerusalem
摘要：A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov process. The first two components are related to the stock and volatility processes and take values in a two-dimensional binomial tree. The other two components of the Markov process are the increments of random walks with simple values in {-1, +1}. The result...
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作者：Pillai, Natesh S.; Yin, Jun
作者单位：Harvard University; University of Wisconsin System; University of Wisconsin Madison
摘要：In this paper we prove the universality of covariance matrices of the form H-NxN=X+ X where X is an M x N rectangular matrix with independent real valued entries x(ij) satisfying Ex(ij)=0 and Ex(ij)(2)=1/M, N, M ->infinity. Furthermore it is assumed that these entries have sub-exponential tails or sufficiently high number of moments. We will study the asymptotics in the regime N/M=d(N) is an element of (0,infinity), lim(N ->infinity) d(N)not equal 0, infinity. Our main result is the edge unive...
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作者：Crisan, Dan; Manolarakis, Konstantinos
作者单位：Imperial College London
摘要：We propose a second order discretization for backward stochastic differential equations (BSDEs) with possibly nonsmooth boundary data. When implemented, the discretization method requires essentially the same computational effort with the Euler scheme for BSDEs of Bouchard and Touzi [Stochastic Process. Appl. 111 (2004) 175-206] and Zhang [Ann. AppL Probab. 14 (2004) 459-488]. However, it enjoys a second order asymptotic rate of convergence, provided that the coefficients of the equation are s...
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作者：Louidor, Oren; Tessler, Ran; Vandenberg-Rodes, Alexander
作者单位：Technion Israel Institute of Technology; Hebrew University of Jerusalem; University of California System; University of California Irvine
摘要：We consider the Williams-Bjerknes model, also known as the biased voter model on the d-regular tree T-d, where d >= 3. Starting from an initial of healthy and infected vertices, infected vertices infect their neighbors at Poisson rate lambda >= 1, while healthy vertices heal their neighbors at Poisson rate 1. All vertices act independently. It is well known that starting from a configuration with a positive but finite number of infected vertices, infected vertices will continue to exist at all...
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作者：Benaim, Michel; Le Borgne, Stephane; Malrieu, Florent; Zitt, Pierre-Andre
作者单位：University of Neuchatel; Universite de Rennes; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris-Est-Creteil-Val-de-Marne (UPEC); Universite Gustave-Eiffel
摘要：Consider the random process (X-t)(t >= 0) solution of (X) over dot(t) = A(It) X-t, where (I-t)(t >= 0) is a Markov process on {0, 1}, and A(0) and A(1) are real Hurwitz matrices on R-2. Assuming that there exists lambda is an element of (0, 1) such that (1 - lambda)A(0) + lambda A(1) has a positive eigenvalue, we establish that parallel to X-t parallel to may converge to 0 or +infinity depending on the jump rate of the process I. An application to product of random matrices is studied. This pa...
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作者：Joseph, Adrien
作者单位：Sorbonne Universite; Universite Paris Cite
摘要：Consider a critical random multigraph G(n) with n vertices constructed by the configuration model such that its vertex degrees are independent random variables with the same distribution v (criticality means that the second moment of v is finite and equals twice its first moment). We specify the scaling limits of the ordered sequence of component sizes of G(n) as n tends to infinity in different cases. When v has finite third moment, the components sizes rescaled by n(-2/3) converge to the exc...
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作者：Liu, Jingchen; Xu, Gongjun
作者单位：Columbia University; University of Minnesota System; University of Minnesota Twin Cities
摘要：In this paper, we consider the extreme behavior of a Gaussian random field f(t) living on a compact set T. In particular, we are interested in tail events associated with the integral integral(T) e(f(t)) dt. We construct a (non-Gaussian) random field whose distribution can be explicitly stated. This field approximates the conditional Gaussian random field f (given that integral(T) e(f(t)) dt exceeds a large value) in total variation. Based on this approximation, we show that the tail event of ...
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作者：Liu, Yunan; Whitt, Ward
作者单位：North Carolina State University; Columbia University
摘要：A many-server heavy-traffic FCLT is proved for the Gt/M/st + GI queueing model, having time-varying arrival rate and staffing, a general arrival process satisfying a FCLT, exponential service times and customer abandonment according to a general probability distribution. The FCLT provides theoretical support for the approximating deterministic fluid model the authors analyzed in a previous paper and a refined Gaussian process approximation, using variance formulas given here. The model is assu...
