Zobrazeno 1 - 10
of 180
pro vyhledávání: '"Hamza, Kais"'
Autor:
Boudabra, Maher, Hamza, Kais
One of aims of this note is to capture the interest of the mathematical community to a novel transformation, which we shall call Brownian symmetrization. This transformation arises from the solution of the planar Skorokhod embedding problem. Brownian
Externí odkaz:
http://arxiv.org/abs/2402.18350
Publikováno v:
Stochastic Process. Appl., 142, No. 12 (2021), p. 462-478
We study one-dimensional excited random walks with non-nearest neighbor jumps. When the process is at a vertex that has not been visited before, its next transition has a positive drift to the right, possibly with long jumps. Whenever the process vis
Externí odkaz:
http://arxiv.org/abs/2011.00493
We consider two-player normal form games where each player has the same finite strategy set. The payoffs of each player are assumed to be i.i.d. random variables with a continuous distribution. We show that, with high probability, the better-response
Externí odkaz:
http://arxiv.org/abs/2011.00239
Autor:
Griffiths, Robert, Hamza, Kais
For a given set of random variables $X_1,\ldots,X_d$ we seek as large a family as possible of random variables $Y_1,\ldots,Y_d$ such that the marginal laws and the laws of the sums match: $Y_i\,{\buildrel d \over =}\,X_i$ and $\sum_iY_i\,{\buildrel d
Externí odkaz:
http://arxiv.org/abs/1911.07209
Consider a randomly-oriented two dimensional Manhattan lattice where each horizontal line and each vertical line is assigned, once and for all, a random direction by flipping independent and identically distributed coins. A deterministic walk is then
Externí odkaz:
http://arxiv.org/abs/1904.12751
A general multi-type population model is considered, where individuals live and reproduce according to their age and type, but also under the influence of the size and composition of the entire population. We describe the dynamics of the population d
Externí odkaz:
http://arxiv.org/abs/1903.04747
The least squares Monte Carlo algorithm has become popular for solving portfolio optimization problems. A simple approach is to approximate the value functions on a discrete grid of portfolio weights, then use control regression to generalize the dis
Externí odkaz:
http://arxiv.org/abs/1803.11467
Our main goal is to study a class of processes whose increments are generated via a cellular automata rule. Given the increments of a simple biased random walk, a new sequence of (dependent) Bernoulli random variables is produced. It is built, from t
Externí odkaz:
http://arxiv.org/abs/1710.07920
Publikováno v:
Journal of Computational Finance 23(1) 97-127 (2019)
In this paper, we propose a novel investment strategy for portfolio optimization problems. The proposed strategy maximizes the expected portfolio value bounded within a targeted range, composed of a conservative lower target representing a need for c
Externí odkaz:
http://arxiv.org/abs/1704.00416
We consider a family of general branching processes with reproduction parameters depending on the age of the individual as well as the population age structure and a parameter $K$, which may represent the carrying capacity. These processes are Markov
Externí odkaz:
http://arxiv.org/abs/1702.08592