Related papers: Bivariate Uniqueness and Endogeny for the Logistic…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
Adaptive control problems are notoriously difficult to solve even in the presence of plant-specific controllers. One way to by-pass the intractable computation of the optimal policy is to restate the adaptive control as the minimization of…
We prove the annealed Central Limit Theorem for random walks in bistochastic random environments on $Z^d$ with zero local drift. The proof is based on a "dynamicist's interpretation" of the system, and requires a much weaker condition than…
In a previous work [8], it was shown that the joint law of a diffusion process and the running supremum of its first component is absolutely continuous, and that its density satisfies a non standard weak partial differential equation (PDE).…
We study a generalisation of the random recursive tree (RRT) model and its multigraph counterpart, the uniform directed acyclic graph (DAG). Here, vertices are equipped with a random vertex-weight representing initial inhomogeneities in the…
The main contributions of this paper are three fold. First, our primary concern is to investigate a class of stochastic recursive delayed control problems which arise naturally with sound backgrounds but have not been well-studied yet. For…
In this paper, we consider random walks in Dirichlet random environment (RWDE) on $\mathbb{Z}^2$. We prove that, if the RWDE is recurrent (which is strongly conjectured when the weights are symmetric), then there does not exist any…
We consider a model of random tree growth, where at each time unit a new vertex is added and attached to an already existing vertex chosen at random. The probability with which a vertex with degree $k$ is chosen is proportional to $w(k)$,…
We consider the tributary structure of Howard's drainage model studied by Gangopadhyay et. al. Conditional on the event that the tributary survives up to time $n$, we show that, as a sequence of random metric spaces, scaled tributary…
We prove limit theorems of an entirely new type for certain long memory regularly varying stationary infinitely divisible random processes. These theorems involve multiple phase transitions governed by how long the memory is. Apart from one…
This paper considers a class of distributed resource allocation problems where each agent privately holds a smooth, potentially non-convex local objective, subject to a globally coupled equality constraint. Built upon the existing method,…
The random assignment problem asks for the minimum-cost perfect matching in the complete $n\times n$ bipartite graph $\Knn$ with i.i.d. edge weights, say uniform on $[0,1]$. In a remarkable work by Aldous (2001), the optimal cost was shown…
The algorithmic small-world phenomenon, empirically established by Milgram's letter forwarding experiments from the 60s, was theoretically explained by Kleinberg in 2000. However, from today's perspective his model has several severe…
We study the asymptotic properties of the trajectories of a discrete-time random dynamical system in an infinite-dimensional Hilbert space. Under some natural assumptions on the model, we establish a multiplica-tive ergodic theorem with an…
A multi-type branching process is defined as a random tree with labeled vertices, where each vertex produces offspring independently according to the same multivariate probability distribution. We demonstrate that in realizations of the…
A degree sequence is a sequence ${\bf s}=(N_i,i\geq 0)$ of non-negative integers satisfying $1+\sum_i iN_i=\sum_i N_i<\infty$. We are interested in the uniform distribution $\mathbb{P}_{{\bf s}}$ on rooted plane trees whose degree sequence…
Complex systems often exhibit highly structured network topologies that reflect functional constraints. In this work, we investigate how, under varying combinations of system-wide selection rules and special agents, different classes of…
We discuss several connections between discrete and continuous random trees. In the discrete setting, we focus on Galton-Watson trees under various conditionings. In particular, we present a simple approach to Aldous' theorem giving the…
Ordinary differential equations (ODEs) provide a powerful framework for modeling dynamic systems arising in a wide range of scientific domains. However, most existing ODE methods focus on a single system, and do not adequately address the…
We discuss a specific model, which we refer to as RandLOE, of a large multi-agent network whose dynamic is prescribed via a combination of deterministic local laws and random exogenous factors. The RandLOE approach lies outside the…