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作者：Cox, Alexander M. G.; Wang, Jiajie
作者单位：University of Bath
摘要：Recent work of Dupire and Carr and Lee has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root for the model-independent hedging of variance options. Root's work shows that there exists a barrier from which one may define a stopping time which solves the Skorokhod embedding problem. This construction has the remarkable property, proved by Rost, that it minimizes the variance of the stopping time among all solutions. In this work, we prove a character...
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作者：Carmona, Rene; Delarue, Francois; Espinosa, Gilles-Edouard; Touzi, Nizar
作者单位：Princeton University; Universite Cote d'Azur; Institut Polytechnique de Paris; ENSTA Paris; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Ecole Polytechnique
摘要：We introduce two simple models of forward-backward stochastic differential equations with a singular terminal condition and we explain how and why they appear naturally as models for the valuation of CO2 emission allowances. Single phase cap-and-trade schemes lead readily to terminal conditions given by indicator functions of the forward component, and using fine partial differential equations estimates, we show that the existence theory of these equations, as well as the properties of the can...
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作者：Chen, Yu-Ting
作者单位：University of British Columbia
摘要：We study two of the simple rules on finite graphs under the death-birth updating and the imitation updating discovered by Ohtsuki, Hauert, Lieberman and Nowak [Nature 441 (2006) 502-505]. Each rule specifies a payoff-ratio cutoff point for the magnitude of fixation probabilities of the underlying evolutionary game between cooperators and defectors. We view the Markov chains associated with the two updating mechanisms as voter model perturbations. Then we present a first-order approximation for...
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作者：Jiao, Ying; Kharroubi, Idris; Huyen Pham
作者单位：Universite Paris Cite; Universite PSL; Universite Paris-Dauphine; Institut Polytechnique de Paris; ENSAE Paris
摘要：We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modeled by a conditional density hypothesis. In this Ito-jump process model, we give a decomposition of the corresponding stochastic control problem into stochastic control problems in the default-free filtration, which are de...
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作者：Lanchier, Nicolas; Scarlatos, Stylianos
作者单位：Arizona State University; Arizona State University-Tempe; University of Patras
摘要：The Axelrod model is a spatial stochastic model for the dynamics of cultures which includes two important social factors: social influence, the tendency of individuals to become more similar when they interact, and homophily, the tendency of individuals to interact more frequently with individuals who are more similar. Each vertex of the interaction network is characterized by its culture, a vector of F cultural features that can each assumes q different states. Pairs of neighbors interact at ...
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作者：Fill, James Allen; Kahn, Jonas
作者单位：Johns Hopkins University; Universite de Lille; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We introduce a new partial order on the class of stochastically monotone Markov kernels having a given stationary distribution pi on a given finite partially ordered state space X. When K L in this partial order we say that K and L satisfy a comparison inequality. We establish that if K-1, ..., K-t and L-1, ..., L-t are reversible and K-s <= L-s for s =1, ..., t, then K-1 ... K-t <= L-1 ... L-t. In particular, in the time-homogeneous case we have K-t <= L-t for every t if K and L are reversibl...
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作者：Foo, Jasmine; Leder, Kevin
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Minnesota System; University of Minnesota Twin Cities
摘要：Mutation-induced drug resistance in cancer often causes the failure of therapies and cancer recurrence, despite an initial tumor reduction. The timing of such cancer recurrence is governed by a balance between several factors such as initial tumor size, mutation rates and growth kinetics of drug-sensitive and resistance cells. To study this phenomenon we characterize the dynamics of escape from extinction of a subcritical branching process, where the establishment of a clone of escape mutants ...
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作者：Gloria, Antoine; Mourrat, Jean-Christophe
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：This article is devoted to the analysis of a Monte Carlo method to approximate effective coefficients in stochastic homogenization of discrete elliptic equations. We consider the case of independent and identically distributed coefficients, and adopt the point of view of the random walk in a random environment. Given some final time t > 0, a natural approximation of the homogenized coefficients is given by the empirical average of the final squared positions re-scaled by t of n independent ran...
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作者：Goldstein, Larry
作者单位：University of Southern California
摘要：Applying Stein's method, an inductive technique and size bias coupling yields a Berry-Esseen theorem for normal approximation without the usual restriction that the coupling be bounded. The theorem is applied to counting the number of vertices in the Erdos-Renyi random graph of a given degree.
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作者：Favaro, Stefano; Lijoi, Antonio; Prunster, Igor
作者单位：University of Turin; University of Pavia
摘要：Gibbs-type random probability measures and the exchangeable random partitions they induce represent an important framework both from a theoretical and applied point of view. In the present paper, motivated by species sampling problems, we investigate some properties concerning the conditional distribution of the number of blocks with a certain frequency generated by Gibbs-type random partitions. The general results are then specialized to three noteworthy examples yielding completely explicit ...
