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作者：Collins, Benoit; Nechita, Ion
作者单位：University of Ottawa; Centre National de la Recherche Scientifique (CNRS); Ecole Centrale de Lyon; Institut National des Sciences Appliquees de Lyon - INSA Lyon; Universite Claude Bernard Lyon 1; Universite Jean Monnet
摘要：In this paper, we present applications of the calculus developed in Collins and Nechita [Comm. Math. Phys. 297 (2010) 345-370] and obtain an exact formula for the moments of random quantum channels whose input is a pure state thanks to Gaussianization methods. Our main application is an in-depth study of the random matrix model introduced by Hayden and Winter [Comm. Math. Phys. 284 (2008) 263-280] and used recently by Brandao and Horodecki [Open Syst. Inf. Dyn. 17 (2010) 31-52] and Fukuda and ...
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作者：Ekstrom, Erik; Hobson, David
作者单位：Uppsala University; University of Warwick
摘要：It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock price model which reproduces the given option prices.
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作者：Burdzy, Krzysztof; Chen, Zhen-Qing; Pal, Soumik
作者单位：University of Washington; University of Washington Seattle
摘要：We consider a family of hard core objects moving as independent Brownian motions confined to a vessel by reflection. These are subject to gravitational forces modeled by drifts. The stationary distribution for the process has many interesting implications, including an illustration of the Archimedes' principle. The analysis rests on constructing reflecting Brownian motion with drift in a general open connected domain and studying its stationary distribution. In dimension two we utilize known r...
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作者：Bertacchi, D.; Lanchier, N.; Zucca, F.
作者单位：University of Milano-Bicocca; Arizona State University; Arizona State University-Tempe; Polytechnic University of Milan
摘要：We introduce spatially explicit stochastic processes to model multispecies host-symbiont interactions. The host environment is static, modeled by the infinite percolation cluster of site percolation. Symbionts evolve on the infinite cluster through contact or voter type interactions, where each host may be infected by a colony of symbionts. In the presence of a single symbiont species, the condition for invasion as a function of the density of the habitat of hosts and the maximal size of the c...
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作者：Appuhamillage, Thilanka; Bokil, Vrushali; Thomann, Enrique; Waymire, Edward; Wood, Brian
作者单位：Oregon State University; Oregon State University
摘要：Advective skew dispersion is a natural Markov process defined by a diffusion with drift across an interface of jump discontinuity in a piecewise constant diffusion coefficient. In the absence of drift, this process may be represented as a function of alpha-skew Brownian motion for a uniquely determined value of alpha = alpha*; see Ramirez et al. [Multiscale Model. Simul. 5 (2006) 786-801]. In the present paper, the analysis is extended to the case of nonzero drift. A determination of the (join...
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作者：Nakashima, Makoto
作者单位：Kyoto University
摘要：We consider the branching random walks in d-dimensional integer lattice with time-space i.i.d. offspring distributions. Then the normalization of the total population is a nonnegative martingale and it almost surely converges to a certain random variable. When d >= 3 and the fluctuation of environment satisfies a certain uniform square integrability then it is nondegenerate and we prove a central limit theorem for the density of the population in terms of almost sure convergence.
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作者：Fukasawa, Masaaki
作者单位：Japan Science & Technology Agency (JST); University of Osaka
摘要：Limit distributions for the error in approximations of stochastic integrals by Riemann sums with stochastic partitions are studied. The integrands and integrators are supposed to be one-dimensional continuous semimartingales. Lower bounds for asymptotic conditional variance of the error are given and effective discretization schemes which attain the bounds are explicitly constructed. Two examples of their applications are given; efficient delta hedging strategies under fixed or linear transact...
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作者：Bansaye, Vincent; Delmas, Jean-Francois; Marsalle, Laurence; Tran, Viet Chi
作者单位：Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Institut Polytechnique de Paris; Ecole Polytechnique; Institut Polytechnique de Paris; Ecole Nationale des Ponts et Chaussees; Universite de Lille; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI)
摘要：We study the evolution of a particle system whose genealogy is given by a supercritical continuous time Galton-Watson tree. The particles move independently according to a Markov process and when a branching event occurs, the offspring locations depend on the position of the mother and the number of offspring. We prove a law of large numbers for the empirical measure of individuals alive at time t. This relies on a probabilistic interpretation of its intensity by mean of an auxiliary process. ...
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作者：Chan, Hock Peng; Lai, Tze Leung
作者单位：National University of Singapore; Stanford University
摘要：Sequential Monte Carlo methods which involve sequential importance sampling and resampling are shown to provide a versatile approach to computing probabilities of rare events. By making use of martingale representations of the sequential Monte Carlo estimators, we show how resampling weights can be chosen to yield logarithmically efficient Monte Carlo estimates of large deviation probabilities for multidimensional Markov random walks.
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作者：Appuhamillage, Thilanka; Bokil, Vrushali; Thomann, Enrique; Waymire, Edward; Wood, Brian
作者单位：Oregon State University; Oregon State University
