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

Complex networks are ubiquitous: a cell, the human brain, a group of people and the Internet are all examples of interconnected many-body systems characterized by macroscopic properties that cannot be trivially deduced from those of their…

We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability of a positive Ornstein-Uhlenbeck type process, say X. Our…

We reprove a result concerning certain ruin in the classical problem of the probability of ruin with risky investments and several of it's generalisations. We also provide the combined transition density of the risk and investment processes…

Time-limited states characterise many dynamical processes on networks: disease infected individuals recover after some time, people forget news spreading on social networks, or passengers may not wait forever for a connection. These…

We present derivations of the contagion condition for a range of spreading mechanisms on families of generalized random networks and bipartite random networks. We show how the contagion condition can be broken into three elements, two…

Diffusion processes are instrumental to describe the movement of a continuous quantity in a generic network of interacting agents. Here, we present a probabilistic framework for diffusion in networks and propose to classify agent…

We study the mean field approximation of a recent model of cascades on networks relevant to the investigation of systemic risk control in financial networks. In the model, the hypothesis of a trend reinforcement in the stochastic process…

In many cases of attacks or failures, memory effects play a significant role. Therefore, we present a model that not only considers the dependencies between nodes but also incorporates the memory effects of attacks. Our research…

Failure, damage spread and recovery crucially underlie many spatially embedded networked systems ranging from transportation structures to the human body. Here we study the interplay between spontaneous damage, induced failure and recovery…

This paper considers the security investment problem over a network in which the resource owners aim to allocate their constrained security resources to heterogeneous targets strategically. Investing in each target makes it less vulnerable,…

In this paper we investigate continuity properties for ruin probability in the classical risk model. Properties of contractive integral operators are used to derive continuity estimates for the deficit at ruin. These results are also…

Stochastic processes on complex networks, where each node is in one of several compartments, and neighboring nodes interact with each other, can be used to describe a variety of real-world spreading phenomena. However, computational…

Network reliability is the probability that a dynamical system composed of discrete elements interacting on a network will be found in a configuration that satisfies a particular property. We introduce a new reliability property, Ising…

Arrival processes to service systems often display fluctuations that are larger than anticipated under the Poisson assumption, a phenomenon that is referred to as overdispersion. Motivated by this, we analyze a class of discrete stochastic…

We consider the problem of multi-agent consensus where some agents are subject to faults/attacks and might make updates arbitrarily. The network consists of agents taking integer-valued (i.e., quantized) states under directed communication…

We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an exact asymptotic of the ruin probabilities for the case of…

In this paper, we explore the reduction of functionality in a complex system as a consequence of cumulative random damage and imperfect reparation, a phenomenon modeled as a dynamical process on networks. We analyze the global…

In this note, we study the ultimate ruin probabilities of a real-valued L{\'e}vy process X with light-tailed negative jumps. It is well-known that, for such L{\'e}vy processes, the probability of ruin decreases as an exponential function…

Robustness of routing policies for networks is a central problem which is gaining increased attention with a growing awareness to safeguard critical infrastructure networks against natural and man-induced disruptions. Routing under limited…

Many probabilistic inference problems such as stochastic filtering or the computation of rare event probabilities require model analysis under initial and terminal constraints. We propose a solution to this bridging problem for the widely…