This paper studies a composite problem involving decision-making about the optimal entry time and dynamic consumption afterwards. In Stage 1, the investor has access to full market information subject to some information costs and needs to choose an op…
For the gambler’s ruin problem with two players starting with the same amount of money, we show the playing time is stochastically maximized when the games are fair.
Under a fourth-order moment condition on the branching and a second-order moment condition on the immigration mechanisms, we show that an appropriately scaled projection of a supercritical and irreducible continuous-state and continuous-time branchin…
A common tool in the practice of Markov chain Monte Carlo (MCMC) is to use approximating transition kernels to speed up computation when the desired kernel is slow to evaluate or is intractable. A limited set of quantitative tools exists to assess th…
Motivated by applications to a wide range of areas, including assemble-to-order systems, operations scheduling, healthcare systems, and the collaborative economy, we study a stochastic matching model on hypergraphs, extending the model of Mairesse an…
In this paper an exact rejection algorithm for simulating paths of the coupled Wright–Fisher diffusion is introduced. The coupled Wright–Fisher diffusion is a family of multivariate Wright–Fisher diffusions that have drifts depending on each other th…
We consider fragmentation processes with values in the space of marked partitions of , i.e. partitions where each block is decorated with a nonnegative real number. Assuming that the marks on distinct blocks evolve as independent positive self-simila…
We study shot noise processes with cluster arrivals, in which entities in each cluster may experience random delays (possibly correlated), and noises within each cluster may be correlated. We prove functional limit theorems for the process in the lar…