相关论文: On systems of quotas based on bankruptcy with a pr…

The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…

In this paper, we present a probabilistic adaptation of an Assume/Guarantee contract formalism. For the sake of generality, we assume that the extended state machines used in the contracts and implementations define sets of runs on a given…

We study the measure of order-competitive ratio introduced by Ezra et al. [2023] for online algorithms in Bayesian combinatorial settings. In our setting, a decision-maker observes a sequence of elements that are associated with stochastic…

The goal of this paper is to apply the collection of mathematical tools known as the "method of arbitrary functions" to analyze how probability arises from quantum dynamics. We argue that in a toy model of quantum measurement the Born rule…

In this paper, we develop a computational approach for estimating the mean value of a quantity in the presence of uncertainty. We demonstrate that, under some mild assumptions, the upper and lower bounds of the mean value are efficiently…

We propose a numerical procedure for computing the prices of European options, in which the underlying asset price is a Markovian strict local martingale. If the underlying process is a strict local martingale and the payoff is of linear…

We consider a structural model where the survival/default state is observed together with a noisy version of the firm value process. This assumption makes the model more realistic than most of the existing alternatives, but triggers…

In this paper, we adapt the classic Cram\'er-Lundberg collective risk theory model to a perturbed model by adding a Wiener process to the compound Poisson process, which can be used to incorporate premium income uncertainty, interest rate…

We consider importance sampling to estimate the probability $\mu$ of a union of $J$ rare events $H_j$ defined by a random variable $\boldsymbol{x}$. The sampler we study has been used in spatial statistics, genomics and combinatorics going…

Group-buying auction has become a popular marketing strategy in the last decade. In this paper, a stochastic model is developed for an inventory system subjects to demands from group-buying auctions. The model discussed here takes into the…

This paper describes a novel approach based on "proportional imputation" when identical units produced in a batch have random but independent installation and failure times. The current problem is motivated by a real life industrial…

This paper develops an analytic theory for the study of some Polya urns with random rules. The idea is to extend the isomorphism theorem in Flajolet et al. (2006), which connects deterministic balanced urns to a differential system for the…

This paper introduces a practical sampling method for training surrogate models in the context of uncertainty propagation. We propose a heuristic method to uniformly draw samples within highest density regions of the density given by the…

Reliability of safety-critical systems is an important issue in system engineering and in most practical situations the reliability of a non series-parallel network system has to be calculated. Some methods for calculating reliability use…

We define a conjugate prior for the reversible Markov chain of order $r$. The prior arises from a partially exchangeable reinforced random walk, in the same way that the Beta distribution arises from the exchangeable Poly\'{a} urn. An…

Importance sampling is a widely used technique to estimate properties of a distribution. This paper investigates trading-off some bias for variance by adaptively winsorizing the importance sampling estimator. The novel winsorizing…

The Owen value is an well-known allocation rule for cooperative games with coalition structure.In this paper, we introduce the concept of highly mutually dependent unions. Two unions in a cooperative game with coalition structure are said…

Power-law distributions are essential in computational and statistical investigations of extreme events and complex systems. The usual technique to generate power-law distributed data is to first infer the scale exponent $\alpha$ using the…

In this work, we analyze the convergence rate of randomized quasi-Monte Carlo (RQMC) methods under Owen's boundary growth condition [Owen, 2006] via spectral analysis. Specifically, we examine the RQMC estimator variance for the two…

We study the empirical measure associated to a sample of size $n$ and modified by $N$ iterations of the raking-ratio method. This empirical measure is adjusted to match the true probability of sets in a finite partition which changes each…