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International Journal of Stochastic Analysis最新文献

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On Continuous Selection Sets of Non-Lipschitzian Quantum Stochastic Evolution Inclusions 非lipschitzian量子随机演化包涵的连续选择集
International Journal of Stochastic Analysis Pub Date : 2015-07-28 DOI: 10.1155/2015/834194
S. Bishop
{"title":"On Continuous Selection Sets of Non-Lipschitzian Quantum Stochastic Evolution Inclusions","authors":"S. Bishop","doi":"10.1155/2015/834194","DOIUrl":"https://doi.org/10.1155/2015/834194","url":null,"abstract":"We establish existence of a continuous selection of multifunctions associated with quantum stochastic evolution inclusions under a general Lipschitz condition. The coefficients here are multifunctions but not necessarily Lipschitz.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125128805","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes 具有对数正态和对数均匀跳跃振幅的Heston/CIR跳跃-扩散模型中的外汇期权定价
International Journal of Stochastic Analysis Pub Date : 2015-07-26 DOI: 10.1155/2015/258217
R. Ahlip, A. Prodan
{"title":"Pricing FX Options in the Heston/CIR Jump-Diffusion Model with Log-Normal and Log-Uniform Jump Amplitudes","authors":"R. Ahlip, A. Prodan","doi":"10.1155/2015/258217","DOIUrl":"https://doi.org/10.1155/2015/258217","url":null,"abstract":"We examine foreign exchange options in the jump-diffusion version of the Heston stochastic volatility \u0000model for the exchange rate with log-normal jump amplitudes and the volatility model with log-uniformly distributed jump amplitudes. We assume that the domestic and foreign stochastic interest rates are governed by the CIR dynamics. The instantaneous volatility is correlated with the dynamics of the exchange rate return, whereas the domestic and foreign short-term rates are assumed to be independent of the dynamics of the exchange rate and its volatility. The main result furnishes a semianalytical formula for the price of the foreign exchange European call option.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":" 11","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113951349","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
A Generic Decomposition Formula for Pricing Vanilla Options Under Stochastic Volatility Models 随机波动率模型下香草期权定价的一般分解公式
International Journal of Stochastic Analysis Pub Date : 2015-06-17 DOI: 10.1155/2015/103647
Raúl Merino, J. Vives
{"title":"A Generic Decomposition Formula for Pricing Vanilla Options Under Stochastic Volatility Models","authors":"Raúl Merino, J. Vives","doi":"10.1155/2015/103647","DOIUrl":"https://doi.org/10.1155/2015/103647","url":null,"abstract":"We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model, extending a previous decomposition formula for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used for this purpose are nonanticipative. In particular, we also see that equivalent results can be obtained by using Functional Ito Calculus. Using the same generalizing ideas, we also extend to nonexponential models the alternative call option price decomposition formula written in terms of the Malliavin derivative of the volatility process. Finally, we give a general expression for the derivative of the implied volatility under both the anticipative and the nonanticipative cases.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"2015 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128824724","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Stochastic Nonlinear Equations Describing the Mesoscopic Voltage-Gated Ion Channels 描述介观电压门控离子通道的随机非线性方程
International Journal of Stochastic Analysis Pub Date : 2015-04-05 DOI: 10.1155/2015/658342
Mauricio Tejo
{"title":"Stochastic Nonlinear Equations Describing the Mesoscopic Voltage-Gated Ion Channels","authors":"Mauricio Tejo","doi":"10.1155/2015/658342","DOIUrl":"https://doi.org/10.1155/2015/658342","url":null,"abstract":"We propose a stochastic nonlinear system to model the gating activity coupled with the membrane potential for a typical neuron. It distinguishes two different levels: a macroscopic one, for the membrane potential, and a mesoscopic one, for the gating process through the movement of its voltage sensors. Such a nonlinear system can be handled to form a Hodgkin-Huxley-like model, which links those two levels unlike the original deterministic Hodgkin-Huxley model which is positioned at a macroscopic scale only. Also, we show that an interacting particle system can be used to approximate our model, which is an approximation technique similar to the jump Markov processes, used to approximate the original Hodgkin-Huxley model.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122776354","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Comparative Numerical Study of the Spectral Theory Approach of Nishimura and the Roots Method Based on the Analysis of BDMMAP/G/1 Queue 基于BDMMAP/G/1队列分析的Nishimura谱理论方法与根方法的数值比较研究
International Journal of Stochastic Analysis Pub Date : 2015-02-17 DOI: 10.1155/2015/958730
Arunava Maity, U. C. Gupta
{"title":"A Comparative Numerical Study of the Spectral Theory Approach of Nishimura and the Roots Method Based on the Analysis of BDMMAP/G/1 Queue","authors":"Arunava Maity, U. C. Gupta","doi":"10.1155/2015/958730","DOIUrl":"https://doi.org/10.1155/2015/958730","url":null,"abstract":"This paper considers an infinite-buffer queuing system with birth-death modulated Markovian arrival process (BDMMAP) with arbitrary service time distribution. BDMMAP is an excellent representation of the arrival process, where the fractal behavior such as burstiness, correlation, and self-similarity is observed, for example, in ethernet LAN traffic systems. This model was first apprised by Nishimura (2003), and to analyze it, he proposed a twofold spectral theory approach. It seems from the investigations that Nishimura’s approach is tedious and difficult to employ for practical purposes. The objective of this paper is to analyze the same model with an alternative methodology proposed by Chaudhry et al. (2013) (to be referred to as CGG method). The CGG method appears to be rather simple, mathematically tractable, and easy to implement as compared to Nishimura’s approach. The Achilles tendon of the CGG method is the roots of the characteristic equation associated with the probability generating function (pgf) of the queue length distribution, which absolves any eigenvalue algebra and iterative analysis. Both the methods are presented in stepwise manner for easy accessibility, followed by some illustrative examples in accordance with the context.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127153584","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Asymptotic Stabilizability of a Class of Stochastic Nonlinear Hybrid Systems 一类随机非线性混合系统的渐近稳定性
International Journal of Stochastic Analysis Pub Date : 2015-02-11 DOI: 10.1155/2015/231214
E. Seroka
{"title":"Asymptotic Stabilizability of a Class of Stochastic Nonlinear Hybrid Systems","authors":"E. Seroka","doi":"10.1155/2015/231214","DOIUrl":"https://doi.org/10.1155/2015/231214","url":null,"abstract":"The problem of the asymptotic stabilizability in probability of a class of stochastic nonlinear control hybrid systems (with a linear dependence of the control) with state dependent, Markovian, and any switching rule is considered in the paper. To solve the issue, the Lyapunov technique, including a common, single, and multiple Lyapunov function, the hybrid control theory, and some results for stochastic nonhybrid systems are used. Sufficient conditions for the asymptotic stabilizability in probability for a considered class of hybrid systems are formulated. Also the stabilizing control in a feedback form is considered. Furthermore, in the case of hybrid systems with the state dependent switching rule, a method for a construction of stabilizing switching rules is proposed. Obtained results are illustrated by examples and numerical simulations.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124018517","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment 隐含经济环境下资产配置的随机流动方法
International Journal of Stochastic Analysis Pub Date : 2015-01-27 DOI: 10.1155/2015/462524
T. Siu
{"title":"A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment","authors":"T. Siu","doi":"10.1155/2015/462524","DOIUrl":"https://doi.org/10.1155/2015/462524","url":null,"abstract":"An optimal asset allocation problem for a quite general class of utility functions is discussed in a simple two-state Markovian regime-switching model, where the appreciation rate of a risky share changes over time according to the state of a hidden economy. As usual, standard filtering theory is used to transform a financial model with hidden information into one with complete information, where a martingale approach is applied to discuss the optimal asset allocation problem. Using a martingale representation coupled with stochastic flows of diffeomorphisms for the filtering equation, the integrand in the martingale representation is identified which gives rise to an optimal portfolio strategy under some differentiability conditions.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"2015 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130261752","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Adaptive Algorithm for Estimation of Two-Dimensional Autoregressive Fields from Noisy Observations 基于噪声观测的二维自回归场估计自适应算法
International Journal of Stochastic Analysis Pub Date : 2014-12-25 DOI: 10.1155/2014/247274
A. Mahmoudi
{"title":"Adaptive Algorithm for Estimation of Two-Dimensional Autoregressive Fields from Noisy Observations","authors":"A. Mahmoudi","doi":"10.1155/2014/247274","DOIUrl":"https://doi.org/10.1155/2014/247274","url":null,"abstract":"This paper deals with the problem of two-dimensional autoregressive (AR) estimation from noisy observations. The Yule-Walker equations are solved using adaptive steepest descent (SD) algorithm. Performance comparisons are made with other existing methods to demonstrate merits of the proposed method.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130335145","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
On Henstock Method to Stratonovich Integral with respect to Continuous Semimartingale 关于连续半鞅的Stratonovich积分的Henstock方法
International Journal of Stochastic Analysis Pub Date : 2014-12-18 DOI: 10.1155/2014/534864
Haifeng Yang, T. Toh
{"title":"On Henstock Method to Stratonovich Integral with respect to Continuous Semimartingale","authors":"Haifeng Yang, T. Toh","doi":"10.1155/2014/534864","DOIUrl":"https://doi.org/10.1155/2014/534864","url":null,"abstract":"We will use the Henstock (or generalized Riemann) approach to define the Stratonovich integral with respect to continuous semimartingale in space. Our definition of Stratonovich integral encompasses the classical definition of Stratonovich integral.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128372081","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Strong Law of Large Numbers for Hidden Markov Chains Indexed by an Infinite Tree with Uniformly Bounded Degrees 由一致有界度无限树索引的隐马尔可夫链的强大数定律
International Journal of Stochastic Analysis Pub Date : 2014-12-09 DOI: 10.1155/2014/628321
Huilin Huang
{"title":"Strong Law of Large Numbers for Hidden Markov Chains Indexed by an Infinite Tree with Uniformly Bounded Degrees","authors":"Huilin Huang","doi":"10.1155/2014/628321","DOIUrl":"https://doi.org/10.1155/2014/628321","url":null,"abstract":"We study strong limit theorems for hidden Markov chains fields indexed by an infinite tree with uniformly bounded degrees. We mainly establish the strong law of large numbers for hidden Markov chains fields indexed by an infinite tree with uniformly bounded degrees and give the strong limit law of the conditional sample entropy rate.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124530605","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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