18,969 research outputs found
FlexAuc: Serving Dynamic Demands in a Spectrum Trading Market with Flexible Auction
In secondary spectrum trading markets, auctions are widely used by spectrum
holders (SHs) to redistribute their unused channels to secondary wireless
service providers (WSPs). As sellers, the SHs design proper auction schemes to
stimulate more participants and maximize the revenue from the auction. As
buyers, the WSPs determine the bidding strategies in the auction to better
serve their end users.
In this paper, we consider a three-layered spectrum trading market consisting
of the SH, the WSPs and the end users. We jointly study the strategies of the
three parties. The SH determines the auction scheme and spectrum supplies to
optimize its revenue. The WSPs have flexible bidding strategies in terms of
both demands and valuations considering the strategies of the end users. We
design FlexAuc, a novel auction mechanism for this market to enable dynamic
supplies and demands in the auction. We prove theoretically that FlexAuc not
only maximizes the social welfare but also preserves other nice properties such
as truthfulness and computational tractability.Comment: 11 pages, 7 figures, Preliminary version accepted in INFOCOM 201
Weighted estimation of the dependence function for an extreme-value distribution
Bivariate extreme-value distributions have been used in modeling extremes in
environmental sciences and risk management. An important issue is estimating
the dependence function, such as the Pickands dependence function. Some
estimators for the Pickands dependence function have been studied by assuming
that the marginals are known. Recently, Genest and Segers [Ann. Statist. 37
(2009) 2990-3022] derived the asymptotic distributions of those proposed
estimators with marginal distributions replaced by the empirical distributions.
In this article, we propose a class of weighted estimators including those of
Genest and Segers (2009) as special cases. We propose a jackknife empirical
likelihood method for constructing confidence intervals for the Pickands
dependence function, which avoids estimating the complicated asymptotic
variance. A simulation study demonstrates the effectiveness of our proposed
jackknife empirical likelihood method.Comment: Published in at http://dx.doi.org/10.3150/11-BEJ409 the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
Properties of solutions of stochastic differential equations driven by the G-Brownian motion
In this paper, we study the differentiability of solutions of stochastic
differential equations driven by the -Brownian motion with respect to the
initial data and the parameter. In addition, the stability of solutions of
stochastic differential equations driven by the -Brownian motion is
obtained
Local time and Tanaka formula for G-Brownian Motion
In this paper, we study the notion of local time and Tanaka formula for the
G-Brownian motion. Moreover, the joint continuity of the local time of the
G-Brownian motion is obtained and its quadratic variation is proven. As an
application, we generalize It^o's formula with respect to the G-Brownian motion
to convex functions.Comment: 29 pages, "Finance and Insurance-Stochastic Analysis and Practical
Methods", Jena, March 06,200
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