Stochastics and Stochastic Reports最新文献_第2页

Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes 具有半连续最终奖励的扩散过程混合最优停止与随机控制问题

Stochastics and Stochastic Reports Pub Date : 2004-08-01 DOI: 10.1080/10451120410001728436

Claudia Ceci, Bruno Bassan

引用次数: 23

BSDEs with a random terminal time driven by a monotone generator and their links with PDEs 由单调发生器驱动具有随机终端时间的BSDEs及其与pde的链路

Stochastics and Stochastic Reports Pub Date : 2004-08-01 DOI: 10.1080/10451120410001696270

M. Royer

引用次数: 61

Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility 具有随机波动率的分数阶布朗模型的分数阶随机积分和Black-Scholes方程

Stochastics and Stochastic Reports Pub Date : 2004-08-01 DOI: 10.1080/10451120410001710138

Y. Mishura

引用次数: 15

Donsker Type Theorem in Besov Spaces Involving Regularly Varying Functions 包含正则变函数的Besov空间中的Donsker型定理

Stochastics and Stochastic Reports Pub Date : 2004-08-01 DOI: 10.1080/10451120410001713667

Brahim Boufoussi *, M. N’zi

引用次数: 3

Some Useful Functions for Functional Large Deviations 函数大偏差的一些有用函数

Stochastics and Stochastic Reports Pub Date : 2004-06-01 DOI: 10.1080/10451120410001720434

K. Duffy, Mark Rodgers-Lee

{"title":"Some Useful Functions for Functional Large Deviations","authors":"K. Duffy, Mark Rodgers-Lee","doi":"10.1080/10451120410001720434","DOIUrl":"https://doi.org/10.1080/10451120410001720434","url":null,"abstract":"Useful descriptions of stochastic models are often provided when they are represented as functions of well understood stochastic models. Properties of the well understood model can be preserved by the representation. For example, the large deviation principle (LDP) is preserved by continuous maps via the contraction principle and weak convergence is preserved by continuous maps via the continuous mapping theorem. In a recent paper, Ganesh and O'Connell demonstrate the value of particular topological space of functions indexed by the positive real line by showing: (1) a large class of partial sums process satisfy the functional LDP in the space; and (2) the supremum map is continuous when restricted to an appropriate subspace. This makes the space useful, for example, in proving logarithmic asymptotics for the stationary waiting-time distribution at a single server queue. This paper facilitates further deductions from the space by considering other useful maps: inversion, composition and first passage time. It is shown that composition and inversion are continuous when restricted to an appropriate subspace. First passage time is not continuous, but with additional rate-function assumptions the LDP can be deduced by explicit calculation. A number of examples of these results are presented.","PeriodicalId":289792,"journal":{"name":"Stochastics and Stochastic Reports","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126020023","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: 17

Homogenization problem for stochastic partial differential equations of Zakai type Zakai型随机偏微分方程的均匀化问题

Stochastics and Stochastic Reports Pub Date : 2004-06-01 DOI: 10.1080/10451120410001714107

Naoyuki Ichihara

引用次数: 29

The Spread of Branching Diffusion under Stabilizing Drift 稳定漂移下分支扩散的扩散

Stochastics and Stochastic Reports Pub Date : 2004-06-01 DOI: 10.1080/1045112042000221438

O. Korosteleva

引用次数: 2

Anticipative calculus for Lévy processes and stochastic differential equations* lsamvy过程和随机微分方程的预估演算*

Stochastics and Stochastic Reports Pub Date : 2004-06-01 DOI: 10.1080/10451120410001716880

Fred Espen Benth, Arne LØkka c‡

引用次数: 25

Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces 可分离巴拿赫空间上补偿泊松随机测度的随机积分

Stochastics and Stochastic Reports Pub Date : 2004-06-01 DOI: 10.1080/10451120410001704081

B. Rüdiger

{"title":"Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces","authors":"B. Rüdiger","doi":"10.1080/10451120410001704081","DOIUrl":"https://doi.org/10.1080/10451120410001704081","url":null,"abstract":"We define stochastic integrals of Banach valued random functions w.r.t. compensated Poisson random measures. Different notions of stochastic integrals are introduced and sufficient conditions for their existence are established. These generalize, for the case where integration is performed w.r.t. compensated Poisson random measures, the notion of stochastic integrals of real valued random functions introduced in Ikeda and Watanabe (1989) [Stochastic Differential Equations and Diffusion Processes (second edition), North-Holland Mathematical Library, Vol. 24, North Holland Publishing Company, Amsterdam/Oxford/New York.], (in a different way) in Bensoussan and Lions (1982) [Contróle impulsionnel et inquations quasi variationnelles. (French) [Impulse control and quasivariational inequalities] Méthodes Mathématiques de l'Informatique [Mathematical Methods of Information Science], Vol. 11. (Gauthier-Villars, Paris), and Skorohod, A.V. (1965) [Studies in the theory of random processes (Addison-Wesley Publishing Company, Inc, Reading, MA), Translated from the Russian by Scripta Technica, Inc. ], to the case of Banach valued random functions. The relation between these two different notions of stochastic integrals is also discussed here.","PeriodicalId":289792,"journal":{"name":"Stochastics and Stochastic Reports","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114688638","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: 64

Two-time-scale Jump-Diffusion Models with Markovian Switching Regimes 具有马尔可夫切换区的双时间尺度跳跃-扩散模型

Stochastics and Stochastic Reports Pub Date : 2004-04-01 DOI: 10.1080/10451120410001696261

G. Yin, H. Yang

引用次数: 17