output
19992026
most citedSparsistency and rates of convergence in large covariance matrix estimation

421 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2007 · math.PRShow all

4 papers · 2 filters

math.PR2007

Asymptotic distributions and chaos for the supermarket model

Malwina J. Luczak, Colin McDiarmid

In the supermarket model there are n queues, each with a unit rate server. Customers arrive in a Poisson process at rate λn, where 0<λ<1. Each customer chooses d > 2 queues uniform…

math.PR2007★ 1 cited

Glauber dynamics for the mean-field Ising model: cut-off, critical power law, and metastability

David A. Levin, Malwina J. Luczak, Yuval Peres

We study the Glauber dynamics for the Ising model on the complete graph, also known as the Curie-Weiss Model. For beta < 1, we prove that the dynamics exhibits a cut-off: the dista…

math.PR2007

A Singular Control Model with Application to the Goodwill Problem

Andrew J. F. Jack, Timothy C. Johnson, Mihail Zervos

We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional Itô diffusion. The control effort that can be applied to this system tak…

math.PR2007★ 123 cited

Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures

Pauline Barrieu, Nicole El Karoui

The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes howev…