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4 papers · 2 filters
A note on the Poincaré and Cheeger inequalities for simple random walk on a connected graph
John Pike
In 1991, Persi Diaconis and Daniel Stroock obtained two canonical path bounds on the second largest eigenvalue for simple random walk on a connected graph, the Poincaré and Cheeger…
Exponential approximation and Stein's method of exchangeable pairs
Jason Fulman, Nathan Ross
We derive a new result for exponential approximation using Stein's method of exchangeable pairs. As an application, an exponential limit theorem with error term is derived for |Tr(…
Optimal Portfolio Selection under Concave Price Impact
Jin Ma, Qingshuo Song, Jing Xu +1
In this paper we study an optimal portfolio selection problem under instantaneous price impact. Based on some empirical analysis in the literature, we model such impact as a concav…
Subgaussian concentration and rates of convergence in directed polymers
Kenneth S. Alexander, Nikos Zygouras
We consider directed random polymers in dimensions with nearly gamma i.i.d. disorder. We study the partition function and establish exponential concentration of $…