Zobrazeno 1 - 10
of 3 762
pro vyhledávání: '"60J60"'
Autor:
Cheng, Yuzhong, Masuda, Hiroki
This study explores a Gaussian quasi-likelihood approach for estimating parameters of diffusion processes with Markovian regime switching. Assuming the ergodicity under high-frequency sampling, we will show the asymptotic normality of the unknown par
Externí odkaz:
http://arxiv.org/abs/2410.11333
Autor:
Criens, David, Urusov, Mikhail
In a seminal paper, F. Delbaen and W. Schachermayer proved that the classical NA ("no arbitrage") condition implies the existence of an "absolutely continuous local martingale measure" (ACLMM). It is known that in general the existence of an ACLMM al
Externí odkaz:
http://arxiv.org/abs/2410.09789
Analog dynamical accelerators (DXs) are a growing sub-field in computer architecture research, offering order-of-magnitude gains in power efficiency and latency over traditional digital methods in several machine learning, optimization, and sampling
Externí odkaz:
http://arxiv.org/abs/2410.06397
Inspired by models for synchronous spiking activity in neuroscience, we consider a scaling-limit framework for sequences of strong Markov processes. Within this framework, we establish the convergence of certain additive functionals toward L\'evy sub
Externí odkaz:
http://arxiv.org/abs/2410.06383
We develop a framework for studying the enhanced dissipation of passive scalars advected by shear flows based on analyzing the particle trajectories of the stochastic differential equation associated with the governing drift-diffusion equation. We co
Externí odkaz:
http://arxiv.org/abs/2410.05657
Autor:
Atar, Rami, Ichiba, Tomoyuki
In an earlier paper, a randomized load balancing model was studied in a heavy traffic asymptotic regime where the load balancing stream is thin compared to the total arrival stream. It was shown that the limit is given by a system of rank-based Brown
Externí odkaz:
http://arxiv.org/abs/2409.15121
Autor:
Carmona, Rene, Lacker, Daniel
We first prove a mimicking theorem (also known as a Markovian projection theorem) for the marginal distributions of an Ito process conditioned to not have exited a given domain. We then apply this new result to the proof of a conjecture of P.L. Lions
Externí odkaz:
http://arxiv.org/abs/2409.10650
This article aims at quantifying the long time behavior of solutions of mean field PDE systems arising in the theory of Mean Field Games and McKean-Vlasov control. Our main contribution is to show well-posedness of the ergodic problem and the exponen
Externí odkaz:
http://arxiv.org/abs/2409.09193
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within a risk-neutral probability space. Our research primarily addresses tw
Externí odkaz:
http://arxiv.org/abs/2409.09179
Autor:
Olesker-Taylor, Sam, Schmid, Dominik
We analyse the convergence to equilibrium of the Bernoulli--Laplace urn model: initially, one urn contains $k$ red balls and a second $n-k$ blue balls; in each step, a pair of balls is chosen uniform and their locations are switched. Cutoff is known
Externí odkaz:
http://arxiv.org/abs/2409.07900