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Xiaoming Xu

Publications and source records attributed to Xiaoming Xu.

28 records · Page 2Linked to original sources

Fully Coupled Forward-Backward Stochastic Functional Differential Equations and Applications to Quadratic Optimal Control

In this paper, we consider the fully coupled forward-backward stochastic functional differential equations (FBSFDEs) with stochastic functional differential equations as the forward equations and the generalized anticipated backward stochastic differential equations as the backward equations. We will prove the existence and uniqueness theorem for FBSFDEs. As an application, we deal with a quadratic optimal control problem for functional stochastic systems, and get the explicit form of the optimal control by virtue of FBSFDEs.

math.PR↗

Anticipated backward doubly stochastic differential equations

In this paper, we deal with a new type of differential equations called anticipated backward doubly stochastic differential equations (anticipated BDSDEs). The coefficients of these BDSDEs depend on the future value of the solution $(Y, Z)$. We obtain the existence and uniqueness theorem and a comparison theorem for the solutions of these equations. Besides, as an application, we also establish a duality between the anticipated BDSDEs and the delayed doubly stochastic differential equations (delayed DSDEs).

math.PR↗

Percolation of a general network of networks

Percolation theory is an approach to study vulnerability of a system. We develop analytical framework and analyze percolation properties of a network composed of interdependent networks (NetONet). Typically, percolation of a single network shows that the damage in the network due to a failure is a continuous function of the fraction of failed nodes. In sharp contrast, in NetONet, due to the cascading failures, the percolation transition may be discontinuous and even a single node failure may lead to abrupt collapse of the system. We demonstrate our general framework for a NetONet composed of $n$ classic Erdős-Rényi (ER) networks, where each network depends on the same number $m$ of other networks, i.e., a random regular network of interdependent ER networks. In contrast to a \emph{treelike} NetONet in which the size of the largest connected cluster (mutual component) depends on $n$, the loops in the RR NetONet cause the largest connected cluster to depend only on $m$. We also analyzed the extremely vulnerable feedback condition of coupling. In the case of ER networks, the NetONet only exhibits two phases, a second order phase transition and collapse, and there is no first phase transition regime unlike the no feedback condition. In the case of NetONet composed of RR networks, there exists a first order phase transition when $q$ is large and second order phase transition when $q$ is small. Our results can help in designing robust interdependent systems.

physics.soc-ph↗

Constant-Competitive Prior-Free Auction with Ordered Bidders

A central problem in Microeconomics is to design auctions with good revenue properties. In this setting, the bidders' valuations for the items are private knowledge, but they are drawn from publicly known prior distributions. The goal is to find a truthful auction (no bidder can gain in utility by misreporting her valuation) that maximizes the expected revenue. Naturally, the optimal-auction is sensitive to the prior distributions. An intriguing question is to design a truthful auction that is oblivious to these priors, and yet manages to get a constant factor of the optimal revenue. Such auctions are called prior-free. Goldberg et al. presented a constant-approximate prior-free auction when there are identical copies of an item available in unlimited supply, bidders are unit-demand, and their valuations are drawn from i.i.d. distributions. The recent work of Leonardi et al. [STOC 2012] generalized this problem to non i.i.d. bidders, assuming that the auctioneer knows the ordering of their reserve prices. Leonardi et al. proposed a prior-free auction that achieves a $O(\log^* n)$ approximation. We improve upon this result, by giving the first prior-free auction with constant approximation guarantee.

cs.GT↗

A general comparison theorem for 1-dimensional anticipated BSDEs

Anticipated backward stochastic differential equation (ABSDE) studied the first time in 2007 is a new type of stochastic differential equations. In this paper, we establish a general comparison theorem for 1-dimensional ABSDEs with the generators depending on the anticipated term of $Z$.

math.PR↗

Necessary and sufficient condition for the comparison theorem of multidimensional anticipated backward stochastic differential equations

Anticipated backward stochastic differential equations, studied the first time in 2007, are equations of the following type: {tabular}{rlll} $-dY_t$ &=& $f(t, Y_t, Z_t, Y_{t+δ(t)}, Z_{t+ζ(t)})dt-Z_tdB_t, $ & $ t\in[0, T];$ $Y_t$ &=& $ξ_t, $ & $t\in[T, T+K];$ $Z_t$ &=& $η_t, $ & $t\in[T, T+K].$ In this paper, we give a necessary and sufficient condition under which the comparison theorem holds for multidimensional anticipated backward stochastic differential equations with generators independent of the anticipated term of $Z$.

math.PR↗

BSDEs with random default time and their applications to default risk

In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk. The equations are driven by Brownian motion as well as a mutually independent martingale appearing in a defaultable setting. We show that these equations have unique solutions and a comparison theorem for their solutions. As an application, we get a saddle-point strategy for the related zero-sum stochastic differential game problem.

q-fin.CP↗

A Generic Top-Down Dynamic-Programming Approach to Prefix-Free Coding

Given a probability distribution over a set of n words to be transmitted, the Huffman Coding problem is to find a minimal-cost prefix free code for transmitting those words. The basic Huffman coding problem can be solved in O(n log n) time but variations are more difficult. One of the standard techniques for solving these variations utilizes a top-down dynamic programming approach. In this paper we show that this approach is amenable to dynamic programming speedup techniques, permitting a speedup of an order of magnitude for many algorithms in the literature for such variations as mixed radix, reserved length and one-ended coding. These speedups are immediate implications of a general structural property that permits batching together the calculation of many DP entries.

cs.DS↗

Dependence of Electromagnetic Form Factors of Hadrons on Light Cone Frames

A constituent quark model is developed for an arbitrary light- cone direction ω. Form factors are obtained from free one-body electromagnetic current matrix elements. They are found to be ω- independent for spin-0 mesons, the nucleon and Λhyperon, while there is ω-dependence for spin-1 systems like the deuteron.

hep-ph↗

Loop Expansion in Light-Cone $ϕ^4$ Field Theory

A loop expansion is implemented based on the path integral quantization of the light-cone $ϕ^4$ field theory in 1+1 dimensions. The effective potential as a function of the zero-mode field $ω$ is calculated up to two loop order and its derivative with respect to $ω$ is used to determine the vacuum expectation value of the field $ϕ$. The critical coupling constant at the spontaneous symmetry breakdown is consistent with that obtained in the ordinary instant-form field theory. The critical exponents which describe the behavior of the susceptibility and the vacuum expectation value of $ϕ$ near the critical point are evaluated from the effective potential. The one loop diagrams for the connected Green's function are calculated in momentum space. The relevant equal-time correlation function is shown to be closely related.

hep-ph↗