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A branching particle system approximation for a class of FBSDEs 一类FBSDEs的分支粒子系统近似
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-12-01 DOI: 10.1186/S41546-016-0007-Y
Dejian Chang, Huili Liu, J. Xiong
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引用次数: 13
Optimal unbiased estimation for maximal distribution 最大分布的最优无偏估计
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-11-23 DOI: 10.3934/puqr.2021009
Hanqing Jin, S. Peng
{"title":"Optimal unbiased estimation for maximal distribution","authors":"Hanqing Jin, S. Peng","doi":"10.3934/puqr.2021009","DOIUrl":"https://doi.org/10.3934/puqr.2021009","url":null,"abstract":"Unbiased estimation for parameters of maximal distribution is a fundamental problem in the statistical theory of sublinear expectations. In this paper, we proved that the maximum estimator is the largest unbiased estimator for the upper mean and the minimum estimator is the smallest unbiased estimator for the lower mean.","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2016-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73817287","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 16
Backward stochastic differential equations with Young drift 杨氏漂移的倒向随机微分方程
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-10-12 DOI: 10.1186/S41546-017-0016-5
J. Diehl, Jianfeng Zhang
{"title":"Backward stochastic differential equations with Young drift","authors":"J. Diehl, Jianfeng Zhang","doi":"10.1186/S41546-017-0016-5","DOIUrl":"https://doi.org/10.1186/S41546-017-0016-5","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2016-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81242979","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 4
Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle 具有跳跃、可微性和对偶原理的路径相关倒向随机Volterra积分方程
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-09-09 DOI: 10.2139/ssrn.2836961
L. Overbeck, J. Röder
{"title":"Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle","authors":"L. Overbeck, J. Röder","doi":"10.2139/ssrn.2836961","DOIUrl":"https://doi.org/10.2139/ssrn.2836961","url":null,"abstract":"We study the existence and uniqueness of a solution to path-dependent backward stochastic Volterra integral equations (BSVIEs) with jumps, where path-dependence means the dependence of the free term and generator of a path of a càdlàg process. Furthermore, we prove path-differentiability of such a solution and establish the duality principle between a linear path-dependent forward stochastic Volterra integral equation (FSVIE) with jumps and a linear path-dependent BSVIE with jumps. As a result of the duality principle we get a comparison theorem and derive a class of dynamic coherent risk measures based on path-dependent BSVIEs with jumps.","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2016-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80121542","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 14
On approximation of BSDE and multi-step MLE-processes 关于BSDE和多步mle过程的逼近
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-08-16 DOI: 10.1186/S41546-016-0005-0
Y. Kutoyants
{"title":"On approximation of BSDE and multi-step MLE-processes","authors":"Y. Kutoyants","doi":"10.1186/S41546-016-0005-0","DOIUrl":"https://doi.org/10.1186/S41546-016-0005-0","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2016-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73297844","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 6
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA 多曲线仿射LIBOR模型的连续张量扩展及其在XVA中的应用
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-07-12 DOI: 10.1186/S41546-017-0025-4
A. Papapantoleon, Robert Wardenga
{"title":"Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA","authors":"A. Papapantoleon, Robert Wardenga","doi":"10.1186/S41546-017-0025-4","DOIUrl":"https://doi.org/10.1186/S41546-017-0025-4","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2016-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86420338","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 4
Information uncertainty related to marked random times and optimal investment 与标记随机时间和最优投资相关的信息不确定性
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-07-10 DOI: 10.1186/S41546-018-0029-8
Y. Jiao, Idris Kharroubi
{"title":"Information uncertainty related to marked random times and optimal investment","authors":"Y. Jiao, Idris Kharroubi","doi":"10.1186/S41546-018-0029-8","DOIUrl":"https://doi.org/10.1186/S41546-018-0029-8","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2016-07-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81807882","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 1
Uncertainty and filtering of hidden Markov models in discrete time 离散时间隐马尔可夫模型的不确定性与滤波
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-06-01 DOI: 10.1186/s41546-020-00046-x
Samuel N. Cohen
{"title":"Uncertainty and filtering of hidden Markov models in discrete time","authors":"Samuel N. Cohen","doi":"10.1186/s41546-020-00046-x","DOIUrl":"https://doi.org/10.1186/s41546-020-00046-x","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86777345","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 10
Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications 带随机系数的条件McKean-Vlasov方程线性二次最优控制及其应用
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-04-22 DOI: 10.1186/S41546-016-0008-X
H. Pham
{"title":"Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications","authors":"H. Pham","doi":"10.1186/S41546-016-0008-X","DOIUrl":"https://doi.org/10.1186/S41546-016-0008-X","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2016-04-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89236778","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 58
Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs 全非线性退化PPDEs的伪马尔可夫黏度解
IF 1.5 2区 数学
Probability Uncertainty and Quantitative Risk Pub Date : 2016-04-08 DOI: 10.1186/s41546-016-0010-3
Ibrahim Ekren, Jianfeng Zhang
{"title":"Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs","authors":"Ibrahim Ekren, Jianfeng Zhang","doi":"10.1186/s41546-016-0010-3","DOIUrl":"https://doi.org/10.1186/s41546-016-0010-3","url":null,"abstract":"","PeriodicalId":42330,"journal":{"name":"Probability Uncertainty and Quantitative Risk","volume":null,"pages":null},"PeriodicalIF":1.5,"publicationDate":"2016-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79675777","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"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: 17
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