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- Centre National de la Recherche ScientifiqueFR147 papers
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15 papers · 2 filters
The hitting time of zero for a stable process
Alexey Kuznetsov, Andreas E. Kyprianou, Juan Carlos Pardo +1
For any two-sided jumping -stable process, where , we find an explicit identity for the law of the first hitting time of the origin. This complements existing work in…
Rank deficiency in sparse random GF[2] matrices
R. W. R. Darling, Mathew D. Penrose, Andrew R. Wade +1
Let be a random matrix with binary entries and i.i.d. rows. The weight (i.e., number of ones) of a row has a specified probability distribution, with the row chose…
Short paths for first passage percolation on the complete graph
Maren Eckhoff, Jesse Goodman, Remco van der Hofstad +1
We study the complete graph equipped with a topology induced by independent and identically distributed edge weights. The focus of our analysis is on the weight W_n and the number…
On optimal dividends in the dual model
Erhan Bayraktar, Andreas Kyprianou, Kazutoshi Yamazaki
We revisit the dividend payment problem in the dual model of Avanzi et al. ([2], [1], and [3]). Using the fluctuation theory of spectrally positive Lévy processes, we give a short…
Multilevel Monte Carlo simulation for Levy processes based on the Wiener-Hopf factorisation
Albert Ferreiro-Castilla, Andreas E. Kyprianou, Robert Scheichl +1
In Kuznetsov et al. (2011) a new Monte Carlo simulation technique was introduced for a large family of Levy processes that is based on the Wiener-Hopf decomposition. We pursue this…
Spatial preferential attachment networks: Power laws and clustering coefficients
Emmanuel Jacob, Peter Mörters
We define a class of growing networks in which new nodes are given a spatial position and are connected to existing nodes with a probability mechanism favoring short distances and…