363 citations
- Heriot-Watt UniversityGB51 papers
- University of EdinburghGB10 papers
- Maxwell Institute for Mathematical SciencesGB9 papers
- Centre National de la Recherche ScientifiqueFR6 papers
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- Huazhong University of Science and TechnologyCN3 papers
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- Center for Astrophysics Harvard & SmithsonianUS2 papers
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7 papers · 1 filter
First passage percolation on Erdős-Rényi graphs with general weights
Fraser Daly, Matthias Schulte, Seva Shneer
We consider first passage percolation on the Erdős--Rényi graph with vertices in which each pair of distinct vertices is connected independently by an edge with probability $λ/…
A note on Veraverbeke's theorem
Stan Zachary
We give an elementary probabilistic proof of Veraverbeke's Theorem for the asymptotic distribution of the maximum of a random walk with negative drift and heavy-tailed increments.…
Diffusion Limit For The Random Walk Metropolis Algorithm Out Of stationarity
J. Kuntz, M. Ottobre, A. M. Stuart
The Random Walk Metropolis (RWM) algorithm is a Metropolis- Hastings MCMC algorithm designed to sample from a given target distribution πwith Lebesgue density on R^N. RWM construct…
On exceedance times for some processes with dependent increments
Søren Asmussen, Sergey Foss
Let be a random walk with a negative drift and i.i.d. increments with heavy-tailed distribution and let be its supremum. Asmussen & Kl{ü}ppelb…
On the exact asymptotics for the stationary sojourn time distribution in a tandem of queues with light-tailed service times
S. G. Foss
We study the asymptotics of the stationary sojourn time Z of a "typical customer" in a tandem of single-server queues. It is shown that, in a certain "intermediate" region of light…
Multivariate utility maximization with proportional transaction costs
Luciano Campi, Mark P. Owen
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represe…