A Class of Multi-particle Reinforced Interacting Random Walks

We consider a class of multi-particle reinforced interacting random walks. In this model, there are some (finite or infinite) particles performing random walks on a given (finite or infinite) connected graph, so that each particle has higher probability to visit neighboring vertices or edges which have been seldom visited by the other particles. Specifically we investigate two particles' vertex-reinforced interacting random walks on finite complete graphs. By a dynamical approach we prove that the two particles' occupation measure asymptotically has small joint support almost surely if the reinforcement is strong.Comment: 19 page

A lattice framework for pricing display advertisement options with the stochastic volatility underlying model

Advertisement (abbreviated ad) options are a recent development in online advertising. Simply, an ad option is a first look contract in which a publisher or search engine grants an advertiser a right but not obligation to enter into transactions to purchase impressions or clicks from a specific ad slot at a pre-specified price on a specific delivery date. Such a structure provides advertisers with more flexibility of their guaranteed deliveries. The valuation of ad options is an important topic and previous studies on ad options pricing have been mostly restricted to the situations where the underlying prices follow a geometric Brownian motion (GBM). This assumption is reasonable for sponsored search; however, some studies have also indicated that it is not valid for display advertising. In this paper, we address this issue by employing a stochastic volatility (SV) model and discuss a lattice framework to approximate the proposed SV model in option pricing. Our developments are validated by experiments with real advertising data: (i) we find that the SV model has a better fitness over the GBM model; (ii) we validate the proposed lattice model via two sequential Monte Carlo simulation methods; (iii) we demonstrate that advertisers are able to flexibly manage their guaranteed deliveries by using the proposed options, and publishers can have an increased revenue when some of their inventories are sold via ad options.Comment: Bowei Chen and Jun Wang. A lattice framework for pricing display advertisement options with the stochastic volatility underlying model. Electronic Commerce Research and Applications, 2015, Volume 14, Issue 6, pages 465-479, ISSN: 1567-422

Successive Wyner-Ziv Coding Scheme and its Application to the Quadratic Gaussian CEO Problem

We introduce a distributed source coding scheme called successive Wyner-Ziv coding. We show that any point in the rate region of the quadratic Gaussian CEO problem can be achieved via the successive Wyner-Ziv coding. The concept of successive refinement in the single source coding is generalized to the distributed source coding scenario, which we refer to as distributed successive refinement. For the quadratic Gaussian CEO problem, we establish a necessary and sufficient condition for distributed successive refinement, where the successive Wyner-Ziv coding scheme plays an important role.Comment: 28 pages, submitted to the IEEE Transactions on Information Theor