相关论文: Ruin Probabilities for Risk Processes in Stochasti…

In this paper we consider some generalizations of the classical d-dimensional Brownian risk model. This contribution derives some non-asymptotic bounds for simultaneous ruin probabilities of interest. In addition, we obtain non-asymptotic…

Several aspects influence corrosive processes in RC structures, such as environmental conditions, structural geometry, and mechanical properties. Since these aspects present large randomnesses, probabilistic models allow a more accurate…

A multi-agent model for individuals endowed with strategies and subject to diffusive effects is proposed. The microscopic state of each agent is described by a spatial position and a probability measure, interpreted as a mixed strategy,…

We consider a dual risk model with constant expense rate and i.i.d. exponentially distributed gains $C_i$ ($i=1,2,\dots$) that arrive according to a renewal process with general interarrival times. We add to this classical dual risk model…

We consider a multi-agent optimal resource sharing problem that is represented by a linear program. The amount of resource to be shared is fixed, and agents belong to a population that is characterized probabilistically so as to allow…

For a bivariate \Levy process $(\xi_t,\eta_t)_{t\ge 0}$ and initial value $V_0$ define the Generalised Ornstein-Uhlenbeck (GOU) process \[ V_t:=e^{\xi_t}\Big(V_0+\int_0^t e^{-\xi_{s-}}\ud \eta_s\Big),\quad t\ge0,\] and the associated…

In recent work, Jon Kleinberg considered a small-world network model consisting of a d-dimensional lattice augmented with shortcuts. The probability of a shortcut being present between two points decays as a power of the distance between…

We have conducted an agent-based simulation of chain bankruptcy. The propagation of credit risk on a network, i.e., chain bankruptcy, is the key to nderstanding largesized bankruptcies. In our model, decrease of revenue by the loss of…

Bursty dynamics of agents is shown to appear at criticality or in extended Griffiths phases, even in case of Poisson processes. I provide numerical evidence for power-law type of inter-communication time distributions by simulating the…

The ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite-time horizon. This is not the case for the simultaneous ruin probability in two-dimensional Brownian risk model. Resorting…

In this work, we study the consensus problem in which legitimate agents send their values over an undirected communication network in the presence of an unknown subset of malicious or faulty agents. In contrast to former works, we…

This paper studies linear stochastic approximation (SA) algorithms and their application to multi-agent systems in engineering and sociology. As main contribution, we provide necessary and sufficient conditions for convergence of linear SA…

In random access protocols, the service rate depends on the number of stations with a packet buffered for transmission. We demonstrate via numerical analysis that this state-dependent rate along with the consideration of Poisson traffic and…

The increasing complexity and interdependency of today's networks highlight the importance of studying network robustness to failure and attacks. Many large-scale networks are prone to cascading effects where a limited number of initial…

For a multivariate L\'evy process satisfying the Cram\'er moment condition and having a drift vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant that is being…

We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct exposures. The model that we consider is an extension of…

In this paper we analyze continuous-time SIS epidemics subject to arrivals and departures of agents, by using an approximated process based on replacements. In defining the SIS dynamics in an open network, we consider a stochastic setting…

Inspired by reliability issues in electric transmission networks, we use a probabilistic approach to study the occurrence of large failures in a stylized cascading failure model. In this model, lines have random capacities that initially…

One of the challenges in fighting cybercrime is to understand the dynamics of message propagation on botnets, networks of infected computers used to send viruses, unsolicited commercial emails (SPAM) or denial of service attacks. We map…

We obtain absorption probabilities and expected time until absorption for different stopping strategies in gambler's ruin problem using the concept of multiple function barriers