Abstracts of the 9-Th International Workshop on Applied Probability
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Abstracts of the 9-th International Workshop on Applied Probability 18-21 June 2018, Budapest, Hungary Edited by László Márkus and Vilmos Prokaj The organisation of the International Workshop on Applied Probability is initiated and su- pervised by the IWAP International Board. The IWAP International Board Joseph Glaz (chair), University of Connecticut, USA Jürg Hüsler, University of Bern, Switzerland Nikolaos Limnios, Technical University of Compiegne, France Markos Koutras, University of Piraeus, Greece José Luis Palacios, University of New Mexico, USA; University Simón Bolívar, Venezuela The IWAP International Board appointed the committees below. The Scientific Programme Committee: Co-chairs: Joseph Glaz, University of Connecticut, USA László Márkus, Eötvös Loránd University, Hungary Jogesh Babu, Pennsylvania State University, USA Narayanaswamy Balakrishnan, McMaster University, Canada Viktor Beneš, Charles University, Prague, Czech Republic Alexander Bulinski, Lomonosov Moscow State University, Russia Krzysztof Dębicki, University Wroclaw, Poland Serkan Eryilmaz, Atilim University, Ankara, Turkey Enkelejd Hashorva, HEC Lausanne, Switzerland Remco van der Hofstad, Technische Universiteit Eindhoven, The Netherlands Blanka Horváth, Imperial College, London, UK Ron Kenett, Samuel Neaman Institute, Technion, Israel and KPA Ltd., Raanana, Israel Claude Lefevre, University Libre de Bruxelles, Belgium Haijun Li, Washington State University, USA Wendy Lou, University of Toronto, Canada Nitis Mukhopadhyay, University of Connecticut, USA Mark Podolskij, Aarhus University, Denmark Cristian Preda, Polytech Lille, France Marco Scarsini, LUISS Rome, Italy Christos H. Skiadas, Technical University of Crete, Greece Evgeny Spodarev, Ulm University, Ulm, Germany Peter Spreij, University Amsterdam, The Netherlands Jianfeng Yao, University of Hong Kong, Hong Kong Elena Yarovaya, Lomonosov Moscow State University, Russia 2 The Local Organising Committee: Chair: László Márkus, Eötvös Loránd University, Hungary Miklós Arató, Eötvös Loránd University, Hungary Ágnes Backhausz, Eötvös Loránd University, Hungary Sándor Baran, University of Debrecen, Hungary István Fazekas, University of Debrecen, Hungary György Michaletzky, Eötvös Loránd University, Hungary Tamás Móri, Eötvös Loránd University, Hungary Vilmos Prokaj, Eötvös Loránd University, Hungary Katalin Varga, Hungarian National Bank, Hungary András Zempléni, Eötvös Loránd University, Hungary 3 Invited Session Organizers Sándor Baran University of Debrecen, Hungary Felix Belzunce, University of Murcia, Spain Viktor Beneš, Charles University Prague, Czech Republic Mark Brown, Columbia University, USA Alexander Bulinski, Lomonosov Moscow State University, Russia Ji Hwan Cha, Ewha Womans University, Seoul, South-Korea Jie Chen, University of Massachusetts, USA Umberto Cherubini, University of Bologna, Italy Emilio De Santis, Sapienza University, Rome, Italy Krzysztof Dębicki, University Wroclaw, Poland Dipak K. Dey, University of Connecticut, USA Antonio Di Crescenzo, University of Salerno, Italy Luiz Duczmal, Federal University Minas Gerais, Brazil Serkan Eryilmaz, Atilim University, Ankara, Turkey Georgios Fellouris, University of Illinois, Urbana-Champaign, USA Larry Goldstein, University of Southern California, USA Priscilla Greenwood, University of British Columbia, Canada Gholamhossein Hamedani, Marquette University, Milwaukee, USA Enkelejd Hashorva, HEC Lausanne, Switzerland Blanka Horváth, Imperial College, London, UK Markos Koutras, University of Piraeus, Greece Mei-Ling Ting Lee University of Maryland, USA Claude Lefevre, University Libre de Bruxelles, Belgium Regina Liu, Rutgers University, USA Hosam Mahmoud, The George Washington University, USA Yaakov Malinovsky, University Maryland, Baltimore County, USA Raimondo Manca, Sapienza University, Rome, Italy George Moustakides, Rutgers University, USA Nitis Mukhopadhyay, University of Connecticut, USA Jorge Navarro, University of Murcia, Spain Enrica Pirozzi, University of Napoli Federico II., Italy Mark Podolskij, Aarhus University, Denmark Cristian Preda, Polytech Lille, France Bruno Remillard, HEC Montreal, Canada Marco Scarsini, LUISS Rome, Italy Dmitrii Silvestrov, Stockholm University, Sweden Fabio Spizzichino, Sapienza University, Rome, Italy Peter Spreij, University Amsterdam, The Netherlands Peter Straka, University New South Wales, Sydney, Australia Thomas Taimre, University Queensland, Australia Peter Tankov, ENSAE ParisTech, France Venugopal V. Veeravalli, University of Illinois, Urbana-Champaign, USA Jianfeng Yao, University of Hong Kong, Hong Kong Elena Yarovaya, Lomonosov Moscow State University, Russia 4 Preface Dear Participant, dear Reader, It was the end of 2016 when I learned through a friend that the IWAP board is still in search for the venue and the organiser of the next meeting, due in the summer of 2018. With the organisation of one major and a few medium size conferences under my belt the first thought that stroke me was: mission doomed to failure, but then: we could do it with the team I worked together with on similar events. Decision came after thought, we applied for, and were granted the organisation of the current event. The first thing we had to make compromise was the timing: dates for other events have already been set, and the second half of June is far from ideal for conferences, the academic year is still on in many countries in Europe. Communication has also proven to be far from simple: everyone is tired of mass e-mails commercial conference organisers send out, so e-mails often land in spam folders. Personal connections and special care in writing e-mails were a major help in reaching out to potential participants. The first major breakthrough came when the six solicited plenary speakers, all highly renowned experts of their field, agreed to come and present their lectures. Next, the Scientific Programme Committee was formed and started its work in initiating the organisation of invited sessions, and compiling the programme. When the number of invited talks - which is traditionally high in IWAP conferences - exceeded 150 my anxiety about failure definitely started to fade away. In the end, from 343 submitted abstracts 291 remain to be presented in the conference, putting the current IWAP above average in attendance. In what traditional conferences surpass and outbeat commercial ones is the quality of talks and presented results and in that respect the abstracts of the current IWAP meeting promise a distinctive excellence. Traditional applications of probability theory appear in great numbers and variety, among them financial ones represent a particular focus of the current event. However, we also see newtopics to emerge, e.g. ones related to artificial intelligence and deep learning. It is our duty to foster these new ideas by giving them proper representations. The organisers express their deep gratitude to the IWAP International Board for granting them the right and possibility to organise the current meeting, and supporting them permanently in their work. In particular, we are greatly indebted to Joseph Glaz, head of the IWAP International Board, and co-chair of the conference for his permanent support, and active participation in the organisation, suggesting and inviting speakers. I, personally, am happy to emphasize the importance of the smooth, permanent and burden sharing working relationship with Joe during the preparations. In the elected Scientific Programme Committee I found dedicated people who did not spare efforts in creating interesting and high quality sessions and finding the most suitable speakers to it. The Local Organising Committee provided essential help in many scientific and technical matters on the local level. In particular, let me mention Vilmos Prokaj, who supervised the submission of abstracts and edited this volume. Without his dedication this book wouldn’t have been as nice and operational as it is now. Vilmos’ thorough work is reflected in every page of this book, it is me to blame for all inconsistencies and errors. In technical and financial matters Congress Ltd. provided invaluable assistance, their experience 5 and professionalism made a very rough path smoothly passable. My special thanks go to chief exec- utive Judit Vermesné Stefkó, who supervised and directed all the preparations of the conference and stays on board with us managing all services until the closing words. I gladly acknowledge the support of the Mathematical Institute and the Faculty of Science of Eötvös Loránd University. We are also grateful to the Institute of Mathematical Statistics for co- sponsoring the conference. I am greatly indebted to all these people, and to all others not mentioned here, who this way or another helped the organisation. However, our organizational effort provides only the frames to the ultimate contribution that is yours dear Participant and Reader. Your combined performance may make the conference a success, and that serves as measure of the quality of our preparatory efforts. I am happy to greet all of you in Budapest and hope you will experience the best traditions of Hungarian hospitality. László Márkus Conference co-chair 6 Contents E. Abi Jaber, O. El Euch, The Volterra square-root process: Markovian structure and approximation . 16 B. Abola, P.S. Biganda, C. Engström, J.M. Magero, G.A. Kakuba, S. Silvestrov, D. Silvestrov, Markov Chains and Information Networks ....................... 16 B. Acciaio, J. Backhoff-Veraguas, Dynamic Cournot-Nash equilibrium