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International Journal of Stochastic Analysis最新文献

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Application of Stochastic Sensitivity Analysis to Integrated Force Method 随机灵敏度分析在综合力法中的应用
International Journal of Stochastic Analysis Pub Date : 2012-06-07 DOI: 10.1155/2012/249201
X. Wei, S. Patnaik
{"title":"Application of Stochastic Sensitivity Analysis to Integrated Force Method","authors":"X. Wei, S. Patnaik","doi":"10.1155/2012/249201","DOIUrl":"https://doi.org/10.1155/2012/249201","url":null,"abstract":"As a new formulation in structural analysis, Integrated Force Method has been successfully applied to many structures for civil, mechanical, and aerospace engineering due to the accurate estimate of forces in computation. Right now, it is being further extended to the probabilistic domain. For the assessment of uncertainty effect in system optimization and identification, the probabilistic sensitivity analysis of IFM was further investigated in this study. A set of stochastic sensitivity analysis formulation of Integrated Force Method was developed using the perturbation method. Numerical examples are presented to illustrate its application. Its efficiency and accuracy were also substantiated with direct Monte Carlo simulations and the reliability-based sensitivity method. The numerical algorithm was shown to be readily adaptable to the existing program since the models of stochastic finite element and stochastic design sensitivity are almost identical.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129391545","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
Necessary Conditions for Optimal Control of Forward-Backward Stochastic Systems with Random Jumps 具有随机跳变的前向后随机系统最优控制的必要条件
International Journal of Stochastic Analysis Pub Date : 2012-04-02 DOI: 10.1155/2012/258674
Jingtao Shi
{"title":"Necessary Conditions for Optimal Control of Forward-Backward Stochastic Systems with Random Jumps","authors":"Jingtao Shi","doi":"10.1155/2012/258674","DOIUrl":"https://doi.org/10.1155/2012/258674","url":null,"abstract":"This paper deals with the general optimal control problem for fully coupled forward-backward stochastic differential equations with random jumps (FBSDEJs). The control domain is not assumed to be convex, and the control variable appears in both diffusion and jump coefficients of the forward equation. Necessary conditions of Pontraygin's type for the optimal controls are derived by means of spike variation technique and Ekeland variational principle. A linear quadratic stochastic optimal control problem is discussed as an illustrating example.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124802093","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: 25
Survival Exponents for Some Gaussian Processes 一些高斯过程的生存指数
International Journal of Stochastic Analysis Pub Date : 2012-03-12 DOI: 10.1155/2012/137271
G. Molchan
{"title":"Survival Exponents for Some Gaussian Processes","authors":"G. Molchan","doi":"10.1155/2012/137271","DOIUrl":"https://doi.org/10.1155/2012/137271","url":null,"abstract":"The problem is a power-law asymptotics of the probability that a self-similar process does not exceed a fixed level during long time. The exponent in such asymptotics is estimated for some Gaussian processes, including the fractional Brownian motion (FBM) in , and the integrated FBM in , .","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125663304","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: 18
On Stochastic Equations with Measurable Coefficients Driven by Symmetric Stable Processes 对称稳定过程驱动的可测系数随机方程
International Journal of Stochastic Analysis Pub Date : 2012-01-29 DOI: 10.1155/2012/258415
V. P. Kurenok
{"title":"On Stochastic Equations with Measurable Coefficients Driven by Symmetric Stable Processes","authors":"V. P. Kurenok","doi":"10.1155/2012/258415","DOIUrl":"https://doi.org/10.1155/2012/258415","url":null,"abstract":"We consider a one-dimensional stochastic equation 𝑑 𝑋 𝑡 = 𝑏 ( 𝑡 , 𝑋 𝑡 − ) 𝑑 𝑍 𝑡 + 𝑎 ( 𝑡 , 𝑋 𝑡 ) 𝑑 𝑡 , 𝑡 ≥ 0 , with respect to a symmetric stable process 𝑍 of index 0 𝛼 ≤ 2 . It is shown that solving this equation is equivalent to solving of a 2-dimensional stochastic equation 𝑑 𝐿 𝑡 = 𝐵 ( 𝐿 𝑡 − ) 𝑑 𝑊 𝑡 with respect to the semimartingale 𝑊 = ( 𝑍 , 𝑡 ) and corresponding matrix 𝐵 . In the case of 1 ≤ 𝛼 2 we provide new sufficient conditions for the existence of solutions of both equations with measurable coefficients. The \u0000existence proofs are established using the method of Krylov's estimates \u0000for processes satisfying the 2-dimensional equation. On another hand, \u0000the Krylov's estimates are based on some analytical facts of independent \u0000interest that are also proved in the paper.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116652006","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
Regime-Switching Risk: To Price or Not to Price? 政权转换风险:价格还是不价格?
International Journal of Stochastic Analysis Pub Date : 2011-12-27 DOI: 10.1155/2011/843246
T. Siu
{"title":"Regime-Switching Risk: To Price or Not to Price?","authors":"T. Siu","doi":"10.1155/2011/843246","DOIUrl":"https://doi.org/10.1155/2011/843246","url":null,"abstract":"Should the regime-switching risk be priced? This is perhaps one of the important “normative” issues to be addressed in pricing contingent claims under a Markovian, regime-switching, Black-Scholes-Merton model. We address this issue using a minimal relative entropy approach. Firstly, we apply a martingale representation for a double martingale to characterize the canonical space of equivalent martingale measures which may be viewed as the largest space of equivalent martingale measures to incorporate both the diffusion risk and the regime-switching risk. Then we show that an optimal equivalent martingale measure over the canonical space selected by minimizing the relative entropy between an equivalent martingale measure and the real-world probability measure does not price the regime-switching risk. The optimal measure also justifies the use of the Esscher transform for option valuation in the regime-switching market.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133569030","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: 25
Optimal Selling of an Asset under Incomplete Information 不完全信息下资产的最优出售
International Journal of Stochastic Analysis Pub Date : 2011-12-20 DOI: 10.1155/2011/543590
Erik Ekström, B. Lu
{"title":"Optimal Selling of an Asset under Incomplete Information","authors":"Erik Ekström, B. Lu","doi":"10.1155/2011/543590","DOIUrl":"https://doi.org/10.1155/2011/543590","url":null,"abstract":"We consider an agent who wants to liquidate an asset with unknown drift. The agent believes that the drift takes one of two given values and has initially an estimate for the probability of either of them. As time goes by, the agent observes the asset price and can therefore \u0000update his beliefs about the probabilities for the drift distribution. We formulate an optimal stopping problem that describes the liquidation problem, and we demonstrate that the optimal strategy is to liquidate the first time the asset price falls below a certain time-dependent boundary. Moreover, this boundary is shown to be monotonically increasing, continuous and to satisfy a nonlinear integral equation.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"244 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123012223","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: 32
Existence Results for Stochastic Semilinear Differential Inclusions with Nonlocal Conditions 具有非局部条件的随机半线性微分包涵的存在性结果
International Journal of Stochastic Analysis Pub Date : 2011-11-30 DOI: 10.1155/2011/784638
A. Vinodkumar, A. Boucherif
{"title":"Existence Results for Stochastic Semilinear Differential Inclusions with Nonlocal Conditions","authors":"A. Vinodkumar, A. Boucherif","doi":"10.1155/2011/784638","DOIUrl":"https://doi.org/10.1155/2011/784638","url":null,"abstract":"We discuss existence results of mild solutions for stochastic differential inclusions subject to nonlocal conditions. We provide sufficient conditions in order to obtain a priori bounds on possible solutions of a one-parameter family of problems related to the original one. We, then, rely on fixed point theorems for multivalued operators to prove our main results.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134350277","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
Control of Dams Using Policies When the Input Process Is a Nonnegative Lévy Process 当输入过程是非负的lsamvy过程时，使用策略控制大坝
International Journal of Stochastic Analysis Pub Date : 2011-09-15 DOI: 10.1155/2011/916952
M. Abdel-Hameed
{"title":"Control of Dams Using Policies When the Input Process Is a Nonnegative Lévy Process","authors":"M. Abdel-Hameed","doi":"10.1155/2011/916952","DOIUrl":"https://doi.org/10.1155/2011/916952","url":null,"abstract":"We consider policy of a dam in which the water input is an increasing Levy process. The release rate of the water is changed from 0 to and from to 0 at the moments when the water level upcrosses level and downcrosses level , respectively. We determine the potential of the dam content and compute the total discounted as well as the long-run average cost. We also find the stationary distribution of the dam content. Our results extend the results in the literature when the water input is assumed to be a Poisson process.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132429234","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
Mild Solutions of Neutral Stochastic Partial Functional Differential Equations 中立型随机偏泛函微分方程的温和解
International Journal of Stochastic Analysis Pub Date : 2011-09-14 DOI: 10.1155/2011/186206
T. Govindan
{"title":"Mild Solutions of Neutral Stochastic Partial Functional Differential Equations","authors":"T. Govindan","doi":"10.1155/2011/186206","DOIUrl":"https://doi.org/10.1155/2011/186206","url":null,"abstract":"This paper studies the existence and uniqueness of a mild solution for a neutral stochastic partial functional differential equation using a local Lipschitz condition. When the neutral term is zero and even in the deterministic special case, the result obtained here appears to be new. An example is included to illustrate the theory.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115970292","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: 11
Yule-Walker Estimation for the Moving-Average Model 移动平均模型的Yule-Walker估计
International Journal of Stochastic Analysis Pub Date : 2011-08-14 DOI: 10.1155/2011/151823
Chrysoula Dimitriou-Fakalou
{"title":"Yule-Walker Estimation for the Moving-Average Model","authors":"Chrysoula Dimitriou-Fakalou","doi":"10.1155/2011/151823","DOIUrl":"https://doi.org/10.1155/2011/151823","url":null,"abstract":"The standard Yule-Walker equations, as they are known for an autoregression, are generalized to involve the moments of a moving-average process indexed on any number of dimensions. Once observations become available, new moments estimators are set to imitate the theoretical equations. These estimators are not only consistent but also asymptotically normal for any number of indexes. Their variance matrix resembles a standard result from maximum Gaussian likelihood estimation. A simulation study is added to conclude on their efficiency.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115347414","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
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