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Some asymptotics for short maturity Asian options 短期亚洲期权的一些渐近线
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-09-05 DOI: 10.1080/15326349.2024.2394818
Humayra Shoshi, Indranil SenGupta
{"title":"Some asymptotics for short maturity Asian options","authors":"Humayra Shoshi, Indranil SenGupta","doi":"10.1080/15326349.2024.2394818","DOIUrl":"https://doi.org/10.1080/15326349.2024.2394818","url":null,"abstract":"Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In this article, we use the large deviations theory for the analys...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192539","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On the area between a Lévy process with secondary jump inputs and its reflected version 关于具有二级跳跃输入的莱维过程与其反射版本之间的区域
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-09-05 DOI: 10.1080/15326349.2024.2393573
Offer Kella, Michel Mandjes
{"title":"On the area between a Lévy process with secondary jump inputs and its reflected version","authors":"Offer Kella, Michel Mandjes","doi":"10.1080/15326349.2024.2393573","DOIUrl":"https://doi.org/10.1080/15326349.2024.2393573","url":null,"abstract":"We study the stochastic properties of the area under some function of the difference between (i) a spectrally positive Lévy process Wtx that jumps to a level x > 0 whenever it hits zero and (ii) it...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192540","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On complete convergence for weighted sums of m-widely acceptable random variables under sub-linear expectations and its statistical applications 论次线性期望下 m 个广义可接受随机变量加权和的完全收敛及其统计应用
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-08-18 DOI: 10.1080/15326349.2024.2375201
Xin Deng, Yang Ding, Yi Wu, Xuejun Wang
{"title":"On complete convergence for weighted sums of m-widely acceptable random variables under sub-linear expectations and its statistical applications","authors":"Xin Deng, Yang Ding, Yi Wu, Xuejun Wang","doi":"10.1080/15326349.2024.2375201","DOIUrl":"https://doi.org/10.1080/15326349.2024.2375201","url":null,"abstract":"In this article, by means of Rosenthal-type inequality, we study the complete convergence and strong law of large numbers for weighted sums of m-widely accpetable random variables under sub-linear ...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","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 fluid model approach to the stationary distribution of the maximal priority process 最大优先级过程静态分布的随机流体模型方法
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-08-04 DOI: 10.1080/15326349.2024.2375195
Hiska M. Boelema, Daan J.J. Dams, Małgorzata M. O’Reilly, Werner R.W. Scheinhardt, Peter G. Taylor
{"title":"A stochastic fluid model approach to the stationary distribution of the maximal priority process","authors":"Hiska M. Boelema, Daan J.J. Dams, Małgorzata M. O’Reilly, Werner R.W. Scheinhardt, Peter G. Taylor","doi":"10.1080/15326349.2024.2375195","DOIUrl":"https://doi.org/10.1080/15326349.2024.2375195","url":null,"abstract":"We consider a two-class priority queue in which the priority of a customer increases linearly at some constant, class-dependent rate. We describe the related maximum priority process {(M1(t),M2(t))...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141933469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analysis of a stochastic hybrid Gompertz tumor growth model driven by Lévy noise 由勒维噪声驱动的随机混合贡珀兹肿瘤生长模型分析
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-07-31 DOI: 10.1080/15326349.2024.2376223
Guixin Hu, Bingqing Li, Zhihao Geng
{"title":"Analysis of a stochastic hybrid Gompertz tumor growth model driven by Lévy noise","authors":"Guixin Hu, Bingqing Li, Zhihao Geng","doi":"10.1080/15326349.2024.2376223","DOIUrl":"https://doi.org/10.1080/15326349.2024.2376223","url":null,"abstract":"This article investigates a stochastic hybrid Gompertz tumor growth model driven by Lévy noise. The global existence of a unique positive solution, extinction, non-persistence in mean, and persiste...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141880410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Some stochastic comparison results for frailty and resilience models 虚弱模型和弹性模型的一些随机比较结果
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-07-31 DOI: 10.1080/15326349.2024.2375203
Arindam Panja, Pradip Kundu, Biswabrata Pradhan
{"title":"Some stochastic comparison results for frailty and resilience models","authors":"Arindam Panja, Pradip Kundu, Biswabrata Pradhan","doi":"10.1080/15326349.2024.2375203","DOIUrl":"https://doi.org/10.1080/15326349.2024.2375203","url":null,"abstract":"Frailty and resilience models provide a way to introduce random effects in hazard and reversed hazard rate modeling by random variables, called frailty and resilience random variables, respectively...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141886513","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The rates of strong consistency for estimators in heteroscedastic partially linear errors-in-variables model for widely orthant dependent samples 广泛正交依存样本的异方差部分线性变量误差模型中估计子的强一致性率
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-06-02 DOI: 10.1080/15326349.2024.2353062
Yi Wu, Xuejun Wang, Aiting Shen
{"title":"The rates of strong consistency for estimators in heteroscedastic partially linear errors-in-variables model for widely orthant dependent samples","authors":"Yi Wu, Xuejun Wang, Aiting Shen","doi":"10.1080/15326349.2024.2353062","DOIUrl":"https://doi.org/10.1080/15326349.2024.2353062","url":null,"abstract":"In this article, some general results on the rates of strong consistency for the least squares estimators and weighted least squares estimators in heteroscedastic partially linear errors-in-variabl...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141257228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fisher and Bayes-Fisher information measures for finite mixture distributions 有限混合分布的费雪和贝叶斯-费雪信息量
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-05-23 DOI: 10.1080/15326349.2024.2355537
Omid Kharazmi, N. Balakrishnan
{"title":"Fisher and Bayes-Fisher information measures for finite mixture distributions","authors":"Omid Kharazmi, N. Balakrishnan","doi":"10.1080/15326349.2024.2355537","DOIUrl":"https://doi.org/10.1080/15326349.2024.2355537","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141103021","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Sackin index and depth of leaves in generalized Schröder trees 广义施罗德树的萨金指数和树叶深度
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-05-23 DOI: 10.1080/15326349.2024.2353061
Panpan Zhang, Hosam Mahmoud
{"title":"The Sackin index and depth of leaves in generalized Schröder trees","authors":"Panpan Zhang, Hosam Mahmoud","doi":"10.1080/15326349.2024.2353061","DOIUrl":"https://doi.org/10.1080/15326349.2024.2353061","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141104242","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions 由扭曲函数生成的动态风险度量和动态绩效度量的时间一致性
IF 0.7 4区 数学
Stochastic Models Pub Date : 2024-05-21 DOI: 10.1080/15326349.2024.2353045
Tomasz R. Bielecki, Igor Cialenco, Hao Liu
{"title":"Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions","authors":"Tomasz R. Bielecki, Igor Cialenco, Hao Liu","doi":"10.1080/15326349.2024.2353045","DOIUrl":"https://doi.org/10.1080/15326349.2024.2353045","url":null,"abstract":"The aim of this work is to study risk measures generated by distortion functions in a dynamic discrete time setup and to investigate the corresponding dynamic coherent acceptability indices (DCAIs)...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141150384","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","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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