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11 papers · 1 filter
Special points of the Brownian net
Emmanuel Schertzer, Rongfeng Sun, Jan M. Swart
The Brownian net, which has recently been introduced by Sun and Swart [SS08], and independently by Newman, Ravishankar and Schertzer [NRS08], generalizes the Brownian web by allowi…
Individual Risk and Lebesgue Extension without Aggregate Uncertainty
Yeneng Sun, Yongchao Zhang
Many economic models include random shocks imposed on a large number (continuum) of economic agents with individual risk. In this context, an exact law of large numbers and its con…
Boundary proximity of SLE
Oded Schramm, Wang Zhou
This paper examines how close the chordal $\SLE_κ$ curve gets to the real line asymptotically far away from its starting point. In particular, when , it is shown that if…
Circular law, Extreme Singular values and Potential theory
Guangming Pan, Wang Zhou
Consider the empirical spectral distribution of complex random matrix whose entries are independent and identically distributed random variables with mean zero and vari…
Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
Hock Peng Chan, Tze Leung Lai
Large deviation theory has provided important clues for the choice of importance sampling measures for Monte Carlo evaluation of exceedance probabilities. However, Glasserman and W…
Asymptotic distributions of the signal-to-interference ratios of LMMSE detection in multiuser communications
Guang-Ming Pan, Mei-Hui Guo, Wang Zhou
Let , where are independent and identically distributed random variables with $Ev_{11…