Results 21 to 30 of about 293 (46)
Time averages, recurrence and transience in the stochastic replicator dynamics
, 2009 We investigate the long-run behavior of a stochastic replicator process, which describes game dynamics for a symmetric two-player game under aggregate shocks.
Hofbauer, Josef, Imhof, Lorens A.
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A multispecies birth-death-immigration process and its diffusion approximation
, 2016 We consider an extended birth-death-immigration process defined on a lattice formed by the integers of $d$ semiaxes joined at the origin. When the process reaches the origin, then it may jumps toward any semiaxis with the same rate.
Di Crescenzo, Antonio +2 more
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Complex Brownian Motion Representation of the Dyson Model
, 2013 Dyson's Brownian motion model with the parameter $\beta=2$, which we simply call the Dyson model in the present paper, is realized as an $h$-transform of the absorbing Brownian motion in a Weyl chamber of type A. Depending on initial configuration with a
Katori, Makoto, Tanemura, Hideki
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Drift rate control of a Brownian processing system
, 2005 A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate \theta that is chosen from a fixed set A of available values.
Ata, Bar, Harrison, J. M., Shepp, L. A.
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Journal of Inequalities and Applications, 2011 In this article, some inequalities on convolution equations are presented firstly. The mean square stability of the zero solution of the impulsive stochastic Volterra equation is studied by using obtained inequalities on Liapunov function, including mean
Zhao Dianli, Han Dong
doaj
, 2016 Given a two-dimensional correlated diffusion process, we determine the joint density of the first passage times of the process to some constant boundaries.
Sacerdote, Laura +2 more
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Dynamic Looping of a Free-Draining Polymer
, 2017 We revisit the celebrated Wilemski-Fixman (WF) treatment for the looping time of a free-draining polymer. The WF theory introduces a sink term into the Fokker-Planck equation for the $3(N+1)$-dimensional Ornstein-Uhlenbeck process of the polymer dynamics,
Qian, Hong +2 more
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Outperforming the market portfolio with a given probability
, 2012 Our goal is to resolve a problem proposed by Fernholz and Karatzas [On optimal arbitrage (2008) Columbia Univ.]: to characterize the minimum amount of initial capital with which an investor can beat the market portfolio with a certain probability, as a ...
Bayraktar, Erhan +2 more
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The site frequency spectrum of dispensable genes [PDF]
, 2014 The differences between DNA-sequences within a population are the basis to infer the ancestral relationship of the individuals. Within the classical infinitely many sites model, it is possible to estimate the mutation rate based on the site frequency ...
Baumdicker, Franz
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Optimal arbitrage under model uncertainty
, 2012 In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relative to the market that can be achieved using nonanticipative investment ...
Fernholz, Daniel, Karatzas, Ioannis
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