Steven N. Evans

  1. Killed Brownian motion with a prescribed lifetime distribution and models of default.

    Authors: Steven N. Evans, Alexandru Hening, Boris Ettinger
    Subjects: Risk Management
    Abstract

    The inverse first passage time problem asks whether, for a Brownian motion
    $B$ and a nonnegative random variable $\zeta$, there exists a time-varying
    barrier $b$ such that $\mathbb{P}\{B_s > b(s), \, 0 \le s \le t\} =
    \mathbb{P}\{\zeta > t\}$. We study a "smoothed" version of this problem and ask
    whether there is a "barrier" $b$ such that $\mathbb{E}[\exp(-\lambda \int_0^t
    \psi(B_s - b(s)) \, ds)] = \mathbb{P}\{\zeta > t\}$, where $\lambda$ is a
    killing rate parameter and $\psi: \mathbb{R} \to [0,1]$ is a non-increasing
    function.

  2. Lipschitz minorants of Brownian Motion and Levy processes.

    Authors: Steven N. Evans, Joshua Abramson
    Subjects: Probability
    Abstract

    For $\alpha > 0$, the $\alpha$-Lipschitz minorant of a function $f:
    \mathbb{R} \to \mathbb{R}$ is the greatest function $m : \mathbb{R} \to
    \mathbb{R}$ such that $m \leq f$ and $|m(s)-m(t)| \le \alpha |s-t|$ for all
    $s,t \in \mathbb{R}$, should such a function exist. If $X=(X_t)_{t \in
    \mathbb{R}}$ is a real-valued L\'evy process that is not pure linear drift with
    slope $\pm \alpha$, then the sample paths of $X$ have an $\alpha$-Lipschitz
    minorant almost surely if and only if $| \mathbb{E}[X_1] | < \alpha$.

  3. A limit theorem for occupation measures of L\'evy processes in compact groups.

    Authors: Steven N. Evans, Arno Berger
    Subjects: Probability
    Abstract

    A short proof is given of a necessary and sufficient condition for the
    normalized occupation measure of a L\'evy process in a metrizable compact group
    to be asymptotically uniform with probability one.

  4. Stochastic equations on projective systems of groups.

    Authors: Steven N. Evans, Tatyana Gordeeva
    Subjects: Probability
    Abstract

    We consider stochastic equations of the form $X_k = \phi_k(X_{k+1}) Z_k$, $k
    \in \mathbb{N}$, where $X_k$ and $Z_k$ are random variables taking values in a
    compact group $G_k$, $\phi_k: G_{k+1} \to G_k$ is a continuous homomorphism,
    and the noise $(Z_k)_{k \in \mathbb{N}}$ is a sequence of independent random
    variables.

  5. Non-existence of Markovian time dynamics for graphical models of correlated default.

    Authors: Steven N. Evans, Alexandru Hening
    Subjects: Computational Finance
    Abstract

    Filiz et al. (2008) proposed a model for the pattern of defaults seen among a
    group of firms at the end of a given time period. The ingredients in the model
    are a graph, where the vertices correspond to the firms and the edges describe
    the network of interdependencies between the firms, a parameter for each vertex
    that captures the individual propensity of that firm to default, and a
    parameter for each edge that captures the joint propensity of the two connected
    firms to default.

  6. Dynamics of the time to the most recent common ancestor in a large branching population.

    Authors: Steven N. Evans, Peter L. Ralph
    Subjects: Probability
    Abstract

    If we follow an asexually reproducing population through time, then the
    amount of time that has passed since the most recent common ancestor (MRCA) of
    all current individuals lived will change as time progresses. The resulting
    "MRCA age" process has been studied previously when the population has a
    constant large size and evolves via the diffusion limit of standard
    Wright--Fisher dynamics. For any population model, the sample paths of the MRCA
    age process are made up of periods of linear upward drift with slope +1
    punctuated by downward jumps.

  7. Coalescing systems of Brownian particles on the Sierpinski gasket and stable particles on the line or circle.

    Authors: Steven N. Evans, Ben Morris, Arnab Sen
    Subjects: Probability
    Abstract

    A well-known result of Arratia shows that one can make rigorous the notion of
    starting an independent Brownian motion at every point of an arbitrary closed
    subset of the real line and then building a set-valued process by requiring
    particles to coalesce when they collide.

  8. A zero-one law for linear transformations of Levy noise.

    Authors: Steven N. Evans
    Subjects: Probability
    Abstract

    A L\'evy noise on $\mathbb{R}^d$ assigns a random real "mass" $\Pi(B)$ to
    each Borel subset $B$ of $\mathbb{R}^d$ with finite Lebesgue measure. The
    distribution of $\Pi(B)$ only depends on the Lebesgue measure of $B$, and if
    $B_1, ..., B_n$ is a finite collection of pairwise disjoint sets, then the
    random variables $\Pi(B_1), ..., \Pi(B_n)$ are independent with $\Pi(B_1 \cup
    >... \cup B_n) = \Pi(B_1) + ... + \Pi(B_n)$ almost surely.

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