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
34 papers · 1 filter
Extinction times in the subcritical stochastic SIS logistic epidemic
Graham Brightwell, Thomas House, Malwina Luczak
Many real epidemics of an infectious disease are not straightforwardly super- or sub-critical, and the understanding of epidemic models that exhibit such complexity has been identi…
Strong supermartingales and limits of nonnegative martingales
Christoph Czichowsky, Walter Schachermayer
Given a sequence of nonnegative martingales starting at , we find a sequence of convex combinations and a limitin…
Estimation of Extreme Quantiles for Functions of Dependent Random Variables
Jinguo Gong, Yadong Li, Liang Peng +1
We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value t…
Explaining the behavior of joint and marginal Monte Carlo estimators in latent variable models with independence assumptions
Silia Vitoratou, Ioannis Ntzoufras, Irini Moustaki
In latent variable models the parameter estimation can be implemented by using the joint or the marginal likelihood, based on independence or conditional independence assumptions.…
How to Gamble Against All Odds
Gilad Bavly, Ron Peretz
A decision maker observes the evolving state of the world while constantly trying to predict the next state given the history of past states. The ability to benefit from such predi…
VCG Auction Mechanism Cost Expectations and Variances
Svante Janson, Gregory B. Sorkin
We consider Vickrey-Clarke-Groves (VCG) auctions for a very general combinatorial structure, in an average-case setting where item costs are independent, identically distributed un…
Explaining Thermodynamic-Like Behaviour In Terms of Epsilon-Ergodicity
Roman Frigg, Charlotte Werndl
Why do gases reach equilibrium when left to themselves? The canonical answer, originally proffered by Boltzmann, is that the systems have to be ergodic. This answer is now widely r…
On the Observational Equivalence of Continuous-Time Deterministic and Indeterministic Descriptions
Charlotte Werndl
This paper presents and philosophically assesses three types of results on the observational equivalence of continuous-time measure-theoretic deterministic and indeterministic desc…
Empirical Distribution of Equilibrium Play and Its Testing Application
Yakov Babichenko, Siddharth Barman, Ron Peretz
We show that in any -player -action normal-form game, we can obtain an approximate equilibrium by sampling any mixed-action equilibrium a small number of times. We study thre…
Computational algebraic methods in efficient estimation
Kei Kobayashi, Henry P. Wynn
A strong link between information geometry and algebraic statistics is made by investigating statistical manifolds which are algebraic varieties. In particular it it shown how firs…
Noncoherence of some rings of holomorphic functions in several variables as an easy consequence of the one-variable case
Raymond Mortini, Amol Sasane
Using the facts that the disk algebra and the Wiener algebra are not coherent, we prove that the polydisc algebra, the ball algebra and the Wiener algebra of the polydisc are not c…
Small-Support Approximate Correlated Equilibria
Yakov Babichenko, Siddharth Barman, Ron Peretz
We prove the existence of approximate correlated equilibrium of support size polylogarithmic in the number of players and the number of actions per player. In particular, using the…
A linear bound on the Manickam-Miklos-Singhi Conjecture
Alexey Pokrovskiy
Suppose that we have a set of numbers x_1, ..., x_n which have nonnegative sum. How many subsets of k numbers from {x_1, ..., x_n} must have nonnegative sum? Manickam, Miklos, and…
Approximate Nash Equilibria via Sampling
Yakov Babichenko, Ron Peretz
We prove that in a normal form n-player game with m actions for each player, there exists an approximate Nash equilibrium where each player randomizes uniformly among a set of O(lo…
Utility indifference valuation for non-smooth payoffs with an application to power derivatives
Giuseppe Benedetti, Luciano Campi
We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to be pr…
The obstacle problem for subelliptic non-divergence form operators on homogeneous groups
Marie Frentz, Heather Griffin
The main result established in this paper is the existence and uniqueness of strong solutions to the obstacle problem for a class of subelliptic operators in non-divergence form. T…
A Rational Convex Program for Linear Arrow-Debreu Markets
Nikhil R. Devanur, Jugal Garg, László A. Végh
We give a new, flow-type convex program describing equilibrium solutions to linear Arrow-Debreu markets. Whereas convex formulations were previously known [Nenakov, Primak 83; Jain…
A strongly polynomial algorithm for generalized flow maximization
László A. Végh
A strongly polynomial algorithm is given for the generalized flow maximization problem. It uses a new variant of the scaling technique, called continuous scaling. The main measure…
Three Merry Roads to T-Violation
Bryan W. Roberts
This paper is a tour of how the laws of nature can distinguish between the past and the future, or be T-violating. I argue that, in terms of the basic argumentative structure, ther…
Comment on Ashtekar: Generalization of Wigner's Principle
Bryan W. Roberts
Ashtekar (2013) has illustrated that two of the available roads to testing for time asymmetry can be generalized beyond the structure of quantum theory, to much more general formul…
A fixed-point approximation for a routing model in equilibrium
Graham Brightwell, Malwina Luczak
We use a method of Luczak (arXiv:1212.3231) to investigate the equilibrium distribution of a dynamic routing model on a network. In this model, there are nodes, each pair joine…
A Kernel Test for Three-Variable Interactions
Dino Sejdinovic, Arthur Gretton, Wicher Bergsma
We introduce kernel nonparametric tests for Lancaster three-variable interaction and for total independence, using embeddings of signed measures into a reproducing kernel Hilbert s…
The Ramsey number of the clique and the hypercube
Gonzalo Fiz Pontiveros, Simon Griffiths, Robert Morris +2
The Ramsey number r(K_s,Q_n) is the smallest positive integer N such that every red-blue colouring of the edges of the complete graph K_N on N vertices contains either a red n-dime…
Robust Portfolios and Weak Incentives in Long-Run Investments
Paolo Guasoni, Johannes Muhle-Karbe, Hao Xing
When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and no…