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作者：Panloup, Fabien
作者单位：Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Paris Cite
摘要：We study some recursive procedures based on exact or approximate Euler schemes with decreasing step to compute the invariant measure of Levy driven SDEs. We prove the convergence of these procedures toward the invariant measure under weak conditions on the moment of the Levy process and on the mean-reverting of the dynamical system. We also show that an a.s. CLT for stable processes can be derived from our main results. Finally, we illustrate our results by several simulations.
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作者：Jiang, Long
作者单位：China University of Mining & Technology
摘要：Under the continuous assumption on the generator g, Briand et al. [Electron. Comm. Probab. 5 (2000) 101-117] showed some connections between g and the conditional g-expectation (epsilon(g)[.vertical bar F-t])(t is an element of[0,T]) and Rosazza Gianin [Insurance: Math. Econ. 39 (2006) 19-34] showed some connections between g and the corresponding dynamic risk measure (rho(g)(t))(tE[0,T]). In this paper we prove that, without the additional continuous assumption on g, a g-expectation epsilon(g...
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作者：Janson, Svante
作者单位：Uppsala University
摘要：It is shown that in a subcritical random graph with given vertex degrees satisfying a power law degree distribution with exponent y > 3, the largest component is of order n 1 Ay- 1). More precisely, the order of the largest component is approximatively given by a simple constant times the largest vertex degree. These results are extended to several other random graph models with power law degree distributions. This proves a conjecture by Durrett.
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作者：Aberg, Sofia; Rychlik, Igor; Leadbetter, M. Ross
作者单位：Chalmers University of Technology; University of Gothenburg; University of North Carolina; University of North Carolina Chapel Hill
摘要：Distributions of wave characteristics of ocean waves, such as wave slope, waveheight or wavelength, are an important tool in a variety of oceanographic applications such as safety of ocean structures or in the study of ship stability, as will be the focus in this paper. We derive Palm distributions of several wave characteristics that can be related to steepness of waves for two different cases, namely for waves observed along a line at a fixed time point and for waves encountering a ship sail...
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作者：Leitner, Johannes
作者单位：Technische Universitat Wien
摘要：In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The pricing functional is defined as the convex conjugate of a generalized entropy penalty functional and an interpretation in terms of tracking with instantaneously vanishing risk can be given.
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作者：Luschgy, Harald; Pages, Gilles
作者单位：Universitat Trier; Universite Paris Cite; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Sorbonne Universite
摘要：We investigate the connections between the mean pathwise regularity of stochastic processes and their L-r(P)-functional quantization rates as random variables taking values in some L-p ([0, T], dt)-spaces (0 < p <= r). Our main tool is the Haar basis. We then emphasize that the derived functional quantization rate may be optimal (e.g., for Brownian motion or symmetric stable processes) so that the rate is optimal as a universal upper bound. As a first application, we establish the 0((Iog N)(-1...
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作者：Drmota, Michael; Janson, Svante; Neininger, Ralph
作者单位：Technische Universitat Wien; Uppsala University; Goethe University Frankfurt
摘要：We study the profile X-n,X-k of random search trees including binary search trees and m-ary search trees. Our main result is a functional limit theorem of the normalized profile X-n,X-k/EXn,k for k = [alpha logn] in a certain range of alpha. A central feature of the proof is the use of the contraction method to prove convergence in distribution of certain random analytic functions in a complex domain. This is based on a general theorem concerning the contraction method for random variables in ...
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作者：Coupier, David
作者单位：Universite de Lille
摘要：A d-dimensional ferromagnetic Ising model on a lattice torus is considered. As the size of the lattice tends to infinity, two conditions ensuring a Poisson approximation for the distribution of the number of occurrences in the lattice of any given local configuration are suggested. The proof builds on the Stein-Chen method. The rate of the Poisson approximation and the speed of convergence to it are defined and make sense for the model. Thus, the two sufficient conditions are traduced in terms...
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作者：James, Lancelot F.; Lijoi, Antonio; Prunster, Igor
作者单位：Hong Kong University of Science & Technology; University of Pavia; University of Turin
摘要：The present paper provides exact expressions for the probability distributions of linear functionals of the two-parameter Poisson-Dirichlet process PD(alpha, theta). We obtain distributional results yielding exact forms for density functions of these functionals. Moreover, several interesting integral identities are obtained by exploiting a correspondence between the mean of a Poisson-Dirichlet process and the mean of a suitable Dirichlet process. Finally, some distributional characterizations...
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作者：Avram, Florin; Palmowski, Zbigniew; Pistorius, Martijn R.
作者单位：Universite de Pau et des Pays de l'Adour; University of Wroclaw; University of London; King's College London
摘要：Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem considered is that of the corresponding two-dimensional fisk process first leaving the positive quadrant; another is that of entering the negative quadrant. When the claims arrive according to a Poisson process, we obtain a closed form expression for the ultimate r...
