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International Journal of Stochastic Analysis最新文献

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Blackwell Spaces and -Approximations of Markov Chains Blackwell空间与马尔可夫链的-逼近
International Journal of Stochastic Analysis Pub Date : 2011-08-11 DOI: 10.1155/2011/801303
G. Aletti, D. Saada
{"title":"Blackwell Spaces and -Approximations of Markov Chains","authors":"G. Aletti, D. Saada","doi":"10.1155/2011/801303","DOIUrl":"https://doi.org/10.1155/2011/801303","url":null,"abstract":"On a weakly Blackwell space we show how to define a Markov chain approximating problem, for the target problem. The approximating problem is proved to converge to the optimal reduced problem under different pseudometrics.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"453 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125788241","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 class of bridges of iterated integrals of Brownian motion related to various boundary value problems involving the one-dimensional polyharmonic operator 一类涉及一维多谐算子的各种边值问题的布朗运动的迭代积分桥
International Journal of Stochastic Analysis Pub Date : 2011-08-10 DOI: 10.1155/2011/762486
A. Lachal
{"title":"A class of bridges of iterated integrals of Brownian motion related to various boundary value problems involving the one-dimensional polyharmonic operator","authors":"A. Lachal","doi":"10.1155/2011/762486","DOIUrl":"https://doi.org/10.1155/2011/762486","url":null,"abstract":"Let (𝐵(𝑡))𝑡∈[0,1] be the linear Brownian motion and (𝑋𝑛(𝑡))𝑡∈[0,1] the (𝑛−1)-fold integral of Brownian motion, with 𝑛 being a positive integer: 𝑋𝑛∫(𝑡)=𝑡0((𝑡−𝑠)𝑛−1/(𝑛−1)!)d𝐵(𝑠) for any 𝑡∈[0,1]. In this paper we construct several bridges between times 0 and 1 of the process (𝑋𝑛(𝑡))𝑡∈[0,1] involving conditions on the successive derivatives of 𝑋𝑛 at times 0 and 1. For this family of bridges, we make a correspondence with certain boundary value problems related to the one-dimensional polyharmonic operator. We also study the classical problem of prediction. Our results involve various Hermite interpolation polynomials.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129115725","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
Impulse Control of Proportional Reinsurance with Constraints 带约束的比例再保险脉冲控制
International Journal of Stochastic Analysis Pub Date : 2011-08-10 DOI: 10.1155/2011/190603
Hui Meng, T. Siu
{"title":"Impulse Control of Proportional Reinsurance with Constraints","authors":"Hui Meng, T. Siu","doi":"10.1155/2011/190603","DOIUrl":"https://doi.org/10.1155/2011/190603","url":null,"abstract":"We consider an insurance company whose surplus follows a diffusion process\u0000with proportional reinsurance and impulse dividend control. Our objective is to\u0000maximize expected discounted dividend payouts to shareholders of the company\u0000until the time of bankruptcy. To meet some essential requirements of solvency\u0000control (e.g., bankruptcy not soon), we impose some constraints on the insurance\u0000company's dividend policy. Under two types of constraints, we derive the value\u0000functions and optimal control policies of the company.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127761243","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: 9
Nonconservative Diffusions on [0,1] with Killing and Branching: Applications to Wright-Fisher Models with or without Selection [0,1]上具有杀伤和分支的非保守扩散:在有或没有选择的Wright-Fisher模型中的应用
International Journal of Stochastic Analysis Pub Date : 2011-07-18 DOI: 10.1155/2011/605068
T. Huillet
{"title":"Nonconservative Diffusions on [0,1] with Killing and Branching: Applications to Wright-Fisher Models with or without Selection","authors":"T. Huillet","doi":"10.1155/2011/605068","DOIUrl":"https://doi.org/10.1155/2011/605068","url":null,"abstract":"We consider nonconservative diffusion processes 𝑥𝑡 on the unit \u0000interval, so with absorbing barriers. Using Doob-transformation \u0000techniques involving superharmonic functions, we modify the \u0000original process to form a new diffusion process 𝑥𝑡 presenting an \u0000additional killing rate part 𝑑>0. We limit ourselves to \u0000situations for which 𝑥𝑡 is itself nonconservative with upper \u0000bounded killing rate. For this transformed process, we study \u0000various conditionings on events pertaining to both the killing and \u0000the absorption times. We introduce the idea of a reciprocal Doob \u0000transform: we start from the process 𝑥𝑡, apply the reciprocal \u0000Doob transform ending up in a new process which is 𝑥𝑡 but now with \u0000an additional branching rate 𝑏>0, which is also upper bounded. \u0000For this supercritical binary branching diffusion, there is a \u0000tradeoff between branching events giving birth to new particles \u0000and absorption at the boundaries, killing the particles. Under our \u0000assumptions, the branching diffusion process gets eventually \u0000globally extinct in finite time. We apply these ideas to diffusion \u0000processes arising in population genetics. In this setup, the \u0000process 𝑥𝑡 is a Wright-Fisher diffusion with selection. Using an \u0000exponential Doob transform, we end up with a killed neutral \u0000Wright-Fisher diffusion 𝑥𝑡. We give a detailed study of the \u0000binary branching diffusion process obtained by using the \u0000corresponding reciprocal Doob transform.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122276736","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
Weather Derivatives and Stochastic Modelling of Temperature 天气导数和温度的随机模拟
International Journal of Stochastic Analysis Pub Date : 2011-07-14 DOI: 10.1155/2011/576791
F. Benth, J. Benth
{"title":"Weather Derivatives and Stochastic Modelling of Temperature","authors":"F. Benth, J. Benth","doi":"10.1155/2011/576791","DOIUrl":"https://doi.org/10.1155/2011/576791","url":null,"abstract":"We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded \u0000contracts at the Chicago Mercantile Exchange on indices like \u0000cooling- and heating-degree days and cumulative average \u0000temperatures are computed, as well as option prices on \u0000them.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"41 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133390071","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: 40
Study of Thermodynamically Inspired Quantities for Both Thermaland External Colored Non-Gaussian Noises Driven Dynamical System 热和外部有色非高斯噪声驱动动力系统的热力学启发量研究
International Journal of Stochastic Analysis Pub Date : 2011-07-10 DOI: 10.1155/2011/721352
M. K. Sen, A. Baura, B. C. Bag
{"title":"Study of Thermodynamically Inspired Quantities for Both Thermaland External Colored Non-Gaussian Noises Driven Dynamical System","authors":"M. K. Sen, A. Baura, B. C. Bag","doi":"10.1155/2011/721352","DOIUrl":"https://doi.org/10.1155/2011/721352","url":null,"abstract":"We have studied dynamics of both internal and external noises-driven dynamical system in terms of information entropy at both nonstationary and stationary states. Here a unified description of entropy flux and entropy production is considered. Based on the Fokker-Planck description of stochastic processes and the entropy balance equation we have calculated time dependence of the information entropy production and entropy flux in presence and absence of nonequilibrium constraint (NEC). In the presence of NEC we have observed extremum behavior in the variation of entropy production as function of damping strength, noise correlation, and non-Gaussian parameter (which determine the deviation of external noise behavior from Gaussian characteristic), respectively. Thus the properties of noise process are important for entropy production.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122117351","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
Asymptotics of Negative Exponential Moments for Annealed Brownian Motion in a Renormalized Poisson Potential 重正化泊松势下退火布朗运动负指数矩的渐近性
International Journal of Stochastic Analysis Pub Date : 2011-06-28 DOI: 10.1155/2011/803683
Xia Chen, A. Kulik
{"title":"Asymptotics of Negative Exponential Moments for Annealed Brownian Motion in a Renormalized Poisson Potential","authors":"Xia Chen, A. Kulik","doi":"10.1155/2011/803683","DOIUrl":"https://doi.org/10.1155/2011/803683","url":null,"abstract":"In (Chen and Kulik, 2009), a method of renormalization was proposed for constructing some more physically\u0000realistic random potentials in a Poisson cloud. This paper is devoted to the\u0000detailed analysis of the asymptotic behavior of the annealed negative exponential moments\u0000for the Brownian motion in a renormalized Poisson potential. The main results\u0000of the paper are applied to studying the Lifshitz tails asymptotics of the integrated density\u0000of states for random Schrodinger operators with their potential terms represented\u0000by renormalized Poisson potentials.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123671976","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: 15
The Cauchy-Dirichlet Problem for a Class of Linear Parabolic Differential Equations with Unbounded Coefficients in an Unbounded Domain 无界区域上一类系数无界的线性抛物型微分方程的Cauchy-Dirichlet问题
International Journal of Stochastic Analysis Pub Date : 2011-06-22 DOI: 10.1155/2011/469806
G. Rubio
{"title":"The Cauchy-Dirichlet Problem for a Class of Linear Parabolic Differential Equations with Unbounded Coefficients in an Unbounded Domain","authors":"G. Rubio","doi":"10.1155/2011/469806","DOIUrl":"https://doi.org/10.1155/2011/469806","url":null,"abstract":"We consider the Cauchy-Dirichlet problem in for a class of linear parabolic partial differential equations. We assume that is an unbounded, open, connected set with regular boundary. Our hypotheses are unbounded and locally Lipschitz coefficients, not necessarily differentiable, with continuous data and local uniform ellipticity. We construct a classical solution to the nonhomogeneous Cauchy-Dirichlet problem using stochastic differential equations and parabolic differential equations in bounded domains.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124718214","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
Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps 具有延迟和跳跃的随机波动的定价方差互换
International Journal of Stochastic Analysis Pub Date : 2011-05-18 DOI: 10.1155/2011/435145
A. Swishchuk, Li Xu
{"title":"Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps","authors":"A. Swishchuk, Li Xu","doi":"10.1155/2011/435145","DOIUrl":"https://doi.org/10.1155/2011/435145","url":null,"abstract":"We study the valuation of the variance swaps under stochastic volatility with delay and jumps. In our model, the volatility of the underlying stock price process not only incorporates jumps, which are found to be active empirically, but also exhibits past dependence: the behavior of a stock price right after a given time depends not only on the situation at but also on the whole past (history) of the process up to time as well. The jump part in our model is finally represented by a general version of compound Poisson processes. We provide some analytical closed forms for the expectation of the realized variance for the stochastic volatility with delay and jumps. We also present a lower bound for delay as a measure of risk. As applications of our analytical solutions, a numerical example using S&P60 Canada Index (1998–2002) is then provided to price variance swaps.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-05-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129466706","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: 22
A Stochastic Analysis of Hard Disk Drives 硬盘驱动器的随机分析
International Journal of Stochastic Analysis Pub Date : 2011-04-07 DOI: 10.1155/2011/390548
Field Cady, Yi-Chang Zhuang, Mor Harchol-Balter
{"title":"A Stochastic Analysis of Hard Disk Drives","authors":"Field Cady, Yi-Chang Zhuang, Mor Harchol-Balter","doi":"10.1155/2011/390548","DOIUrl":"https://doi.org/10.1155/2011/390548","url":null,"abstract":"We provide a stochastic analysis of hard disk performance, including a closed\u0000form solution for the average access time of a memory request. The model we use\u0000covers a wide range of types and applications of disks, and in particular it captures\u0000modern innovations like zone bit recording. The derivation is based on an analytical\u0000technique we call “shuffling”, which greatly simplifies the analysis relative to\u0000previous work and provides a simple, easy-to-use formula for the average access\u0000time. \u0000Our analysis can predict performance of single disks for a wide range of disk\u0000types and workloads. Furthermore, it can predict the performance benefits of several\u0000optimizations, including short stroking and mirroring, which are common in\u0000disk arrays.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133236119","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: 13
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