421 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University College LondonGB63 papers
- Systemic Risk CentreGB48 papers
- University of OxfordGB20 papers
- University of WarwickGB18 papers
- King's College LondonGB16 papers
- London Mathematical LaboratoryGB12 papers
- University of Illinois Urbana-ChampaignUS12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Queen Mary University of LondonGB11 papers
- The Open UniversityGB11 papers
- City, University of LondonGB10 papers
- ETH ZurichCH10 papers
35 papers · 1 filter
Rank-1 Games With Exponentially Many Nash Equilibria
Bernhard von Stengel
The rank of a bimatrix game (A,B) is the rank of the matrix A+B. We give a construction of rank-1 games with exponentially many equilibria, which answers an open problem by Kannan…
A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation
René Aïd, Luciano Campi, Nicolas Langrené +1
In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal mul…
Phase coexistence and torpid mixing in the 3-coloring model on Z^d
David Galvin, Jeff Kahn, Dana Randall +1
We show that for all sufficiently large d, the uniform proper 3-coloring model (in physics called the 3-state antiferromagnetic Potts model at zero temperature) on Z^d admits multi…
Oriented Euler Complexes and Signed Perfect Matchings
László A. Végh, Bernhard von Stengel
This paper presents "oriented pivoting systems" as an abstract framework for complementary pivoting. It gives a unified simple proof that the endpoints of complementary pivoting pa…
Sets of unit vectors with small subset sums
Konrad J. Swanepoel
We say that a family of vectors in a Banach space satisfies the -collapsing condition if for all -element subsets $I\subseteq{1…
On certain integral functionals of squared Bessel processes
Umut Çetin
Let be a squared Bessel process. Following a Feynman-Kac approach, the Laplace transforms of joint laws of are studied where is the first hit…
The Lasso for High-Dimensional Regression with a Possible Change-Point
Sokbae Lee, Myung Hwan Seo, Youngki Shin
We consider a high-dimensional regression model with a possible change-point due to a covariate threshold and develop the Lasso estimator of regression coefficients as well as the…
Hunter, Cauchy Rabbit, and Optimal Kakeya Sets
Yakov Babichenko, Yuval Peres, Ron Peretz +2
A planar set that contains a unit segment in every direction is called a Kakeya set. We relate these sets to a game of pursuit on a cycle . A hunter and a rabbit move on the…
On the Optimal Stopping of a One-dimensional Diffusion
Damien Lamberton, Mihail Zervos
We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be ina…
The Cutting Plane Method is Polynomial for Perfect Matchings
Karthekeyan Chandrasekaran, Laszlo A. Vegh, Santosh Vempala
The cutting plane approach to optimal matchings has been discussed by several authors over the past decades (e.g., Padberg and Rao '82, Grotschel and Holland '85, Lovasz and Plumme…
Predicting the time at which a Lévy process attains its ultimate supremum
Erik Baurdoux, Kees van Schaik
We consider the problem of finding a stopping time that minimises the -distance to , the time at which a Lévy process attains its ultimate supremum. This problem was studie…
Velocity and energy distributions in microcanonical ensembles of hard spheres
Enrico Scalas, Adrian T. Gabriel, Edgar Martin +1
In a microcanonical ensemble (constant , hard reflecting walls) and in a molecular dynamics ensemble (constant , periodic boundary conditions) with a number $N…
Parameter Estimation Through Ignorance
Hailiang Du, Leonard A. Smith
Dynamical modelling lies at the heart of our understanding of physical systems. Its role in science is deeper than mere operational forecasting, in that it allows us to evaluate th…
Factor modeling for high-dimensional time series: Inference for the number of factors
Clifford Lam, Qiwei Yao
This paper deals with the factor modeling for high-dimensional time series based on a dimension-reduction viewpoint. Under stationary settings, the inference is simple in the sense…
Valuation and parities for exchange options
Constantinos Kardaras
Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and…
Partitioning edge-coloured complete graphs into monochromatic cycles and paths
Alexey Pokrovskiy
A conjecture of Erdős, Gyárfás, and Pyber says that in any edge-colouring of a complete graph with r colours, it is possible to cover all the vertices with r vertex-disjoint monoch…
On moving-average models with feedback
Dong Li, Shiqing Ling, Howell Tong
Moving average models, linear or nonlinear, are characterized by their short memory. This paper shows that, in the presence of feedback in the dynamics, the above characteristic ca…
Inference on power law spatial trends
Peter M. Robinson
Power law or generalized polynomial regressions with unknown real-valued exponents and coefficients, and weakly dependent errors, are considered for observations over time, space o…
On absolutely continuous compensators and nonlinear filtering equations in default risk models
Umut Çetin
We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in…
Stability of the exponential utility maximization problem with respect to preferences
Hao Xing
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general s…
Transaction Costs, Shadow Prices, and Duality in Discrete Time
Christoph Czichowsky, Johannes Muhle-Karbe, Walter Schachermayer
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a "shadow price", i.e., a least favorable frictionless market extension le…
Distinguishing Causality Principles
Miklós Rédei, Iñaki San Pedro
We distinguish two sub-types of each of the two causality principles formulated in connection with the Common Cause Principle in [Hen05] and raise and investigate the problem of lo…
Gaussian pseudo-maximum likelihood estimation of fractional time series models
Javier Hualde, Peter M. Robinson
We consider the estimation of parametric fractional time series models in which not only is the memory parameter unknown, but one may not know whether it lies in the stationary/inv…
Cycles are strongly Ramsey-unsaturated
Jozef Skokan, Maya Stein
We call a graph H Ramsey-unsaturated if there is an edge in the complement of H such that the Ramsey number r(H) of H does not change upon adding it to H. This notion was introduce…