All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Page 1 Next

Displaying 1 – 20 of 137

Showing per page

Economic assessment of the Champagne wine qualitative stock mecanism

Jacques Laye, Maximilien Laye (2006)

RAIRO - Operations Research

In the wine AOC system, the regulation of quantities performed by the professional organizations is aimed to smooth the variations of the quality of the wine due to the variations in the climate that affect the quality of the grapes. Nevertheless, this regulation could be damaging to the consumers due to the price increase resulting from the reduction of the quantities sold on the market. We propose a stochastic control model and a simulation tool able to measure the effects of this mechanism...

Edge-reinforced random walk, vertex-reinforced jump process and the supersymmetric hyperbolic sigma model

Christophe Sabot, Pierre Tarrès (2015)

Journal of the European Mathematical Society

Edge-reinforced random walk (ERRW), introduced by Coppersmith and Diaconis in 1986 [8], is a random process which takes values in the vertex set of a graph G and is more likely to cross edges it has visited before. We show that it can be represented in terms of a vertex-reinforced jump process (VRJP) with independent gamma conductances; the VRJP was conceived by Werner and first studied by Davis and Volkov [10, 11], and is a continuous-time process favouring sites with more local time. We calculate,...

Einstein relation for biased random walk on Galton–Watson trees

Gerard Ben Arous, Yueyun Hu, Stefano Olla, Ofer Zeitouni (2013)

Annales de l'I.H.P. Probabilités et statistiques

We prove the Einstein relation, relating the velocity under a small perturbation to the diffusivity in equilibrium, for certain biased random walks on Galton–Watson trees. This provides the first example where the Einstein relation is proved for motion in random media with arbitrarily slow traps.

Elementary stochastic calculus for finance with infinitesimals

Jiří Witzany (2017)

Commentationes Mathematicae Universitatis Carolinae

The concept of an equivalent martingale measure is of key importance for pricing of financial derivative contracts. The goal of the paper is to apply infinitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyperfinite binomial trees with infinitesimal time steps.

Currently displaying 1 – 20 of 137

Page 1 Next