相关论文: On systems of quotas based on bankruptcy with a pr…
We introduce a rate balance principle for general (not necessarily Markovian) stochastic processes. Special attention is given to processes with birth and death like transitions, for which it is shown that for any state $i$, the rate of two…
Markov cohort state-transition models have been the standard approach for simulating the prognosis of patients or, more generally, the life trajectories of individuals over a time period. Current approaches for estimating the variance of a…
Background: The proportional odds (PO) model is the most common analytic method for ordinal outcomes in randomised controlled trials. While parameter estimates obtained under departures from PO can be interpreted as an average odds ratio,…
Causally identifying the effect of digital advertising is challenging, because experimentation is expensive, and observational data lacks random variation. This paper identifies a pervasive source of naturally occurring, quasi-experimental…
I study identification, estimation and inference for spillover effects in experiments where units' outcomes may depend on the treatment assignments of other units within a group. I show that the commonly-used reduced-form linear-in-means…
Given a large set $U$ where each item $a\in U$ has weight $w(a)$, we want to estimate the total weight $W=\sum_{a\in U} w(a)$ to within factor of $1\pm\varepsilon$ with some constant probability $>1/2$. Since $n=|U|$ is large, we want to do…
Queueing networks are systems of theoretical interest that find widespread use in the performance evaluation of interconnected resources. In comparison to counterpart models in genetics or mathematical biology, the stochastic (jump)…
In this article, we delve into the applications and extensions of the queue-reactive model for the simulation of limit order books. Our approach emphasizes the importance of order sizes, in conjunction with their type and arrival rate, by…
We propose an extension of the Cox-Ross-Rubinstein (CRR) model based on $q$-binomial (or Kemp) random walks, with application to default with logistic failure rates. This model allows us to consider time-dependent switching probabilities…
In this paper, we propose an efficient importance sampling algorithm for rare event simulation under copula models. In the algorithm, the derived optimal probability measure is based on the criterion of minimizing the variance of the…
In this paper, we consider a new type of urn scheme, where the selection probabilities are proportional to a weight function, which is linear but decreasing in the proportion of existing colours. We refer to it as the \emph{negatively…
The insurance model when the amount of claims depends on the state of the insured person (healthy, ill, or dead) and claims are connected in a Markov chain is investigated. The signed compound Poisson approximation is applied to the…
This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies the recursive marginal quantization (RMQ) and joint recursive…
Pricing algorithms have demonstrated the capability to learn tacit collusion that is largely unaddressed by current regulations. Their increasing use in markets, including oligopolistic industries with a history of collusion, calls for…
A central task of artificial intelligence is the design of artificial agents that act towards specified goals in partially observed environments. Since such environments frequently include interaction over time with other agents with their…
It has long been established that, if a panel dataset suffers from attrition, auxiliary (refreshment) sampling restores full identification under additional assumptions that still allow for nontrivial attrition mechanisms. Such…
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal non-asymptotic bounds for a lower biased estimate based on the suboptimal stopping rule constructed using some…
The present work addresses the question how sampling algorithms for commonly applied copula models can be adapted to account for quasi-random numbers. Besides sampling methods such as the conditional distribution method (based on a…
A common assumption when modeling queuing systems is that arrivals behave like a Poisson process with constant parameter. In practice, however, call arrivals are often observed to be significantly overdispersed. This motivates that in this…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…