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Theory of Probability and Mathematical Statistics最新文献

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Non-local logistic equations from the probability viewpoint 概率视角下的非局部逻辑方程
IF 0.9
Theory of Probability and Mathematical Statistics Pub Date : 2021-05-03 DOI: 10.1090/tpms/1146
M. D’Ovidio
{"title":"Non-local logistic equations from the probability viewpoint","authors":"M. D’Ovidio","doi":"10.1090/tpms/1146","DOIUrl":"https://doi.org/10.1090/tpms/1146","url":null,"abstract":"We investigate the solution to the logistic equation involving non-local operators in time. In the linear case such operators lead to the well-known theory of time changes. We provide the probabilistic representation for the non-linear logistic equation with non-local operators in time. The so-called fractional logistic equation has been investigated by many researchers, the problem to find the explicit representation of the solution on the whole real line is still open. In our recent work the solution on compact sets has been written in terms of Euler's numbers.","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46224658","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
Mild solutions to semilinear stochastic partial differential equations with locally monotone coefficients 具有局部单调系数的半线性随机偏微分方程的温和解
IF 0.9
Theory of Probability and Mathematical Statistics Pub Date : 2021-04-21 DOI: 10.1090/tpms/1149
Stefan Tappe
{"title":"Mild solutions to semilinear stochastic partial differential equations with locally monotone coefficients","authors":"Stefan Tappe","doi":"10.1090/tpms/1149","DOIUrl":"https://doi.org/10.1090/tpms/1149","url":null,"abstract":"In this addendum we provide an existence and uniqueness result for mild solutions to semilinear stochastic partial differential equations driven by Wiener processes and Poisson random measures in the framework of the semigroup approach with locally monotone coefficients, where the semigroup is allowed to be pseudo-contractive. This improves an earlier paper of the author, where the equation was only driven by Wiener processes, and where the semigroup was only allowed to be a semigroup of contractions.","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49649252","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: 1
Limit theorems for prices of options written on semi-Markov processes 半马尔可夫过程上的期权价格的极限定理
IF 0.9
Theory of Probability and Mathematical Statistics Pub Date : 2021-04-10 DOI: 10.1090/tpms/1153
E. Scalas, Bruno Toaldo
{"title":"Limit theorems for prices of options written on semi-Markov processes","authors":"E. Scalas, Bruno Toaldo","doi":"10.1090/tpms/1153","DOIUrl":"https://doi.org/10.1090/tpms/1153","url":null,"abstract":"We consider plain vanilla European options written on an underlying asset that follows a continuous time semi-Markov multiplicative process. We derive a formula and a renewal type equation for the martingale option price. In the case in which intertrade times follow the Mittag-Leffler distribution, under appropriate scaling, we prove that these option prices converge to the price of an option written on geometric Brownian motion time-changed with the inverse stable subordinator. For geometric Brownian motion time changed with an inverse subordinator, in the more general case when the subordinator’s Laplace exponent is a special Bernstein function, we derive a time-fractional generalization of the equation of Black and Scholes.","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46774692","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
Approximation of the solution to the parabolic equation driven by stochastic measure 由随机测量驱动的抛物方程解的近似
IF 0.9
Theory of Probability and Mathematical Statistics Pub Date : 2021-03-29 DOI: 10.1090/TPMS/1131
B. Manikin, V. Radchenko
{"title":"Approximation of the solution to the parabolic equation driven by stochastic measure","authors":"B. Manikin, V. Radchenko","doi":"10.1090/TPMS/1131","DOIUrl":"https://doi.org/10.1090/TPMS/1131","url":null,"abstract":"","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41968258","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
The equation for vibrations of a fixed string driven by a general stochastic measure 由一般随机测量驱动的固定弦的振动方程
IF 0.9
Theory of Probability and Mathematical Statistics Pub Date : 2021-01-05 DOI: 10.1090/tpms/1108
I. Bodnarchuk, V. Radchenko
{"title":"The equation for vibrations of a fixed string driven by a general stochastic measure","authors":"I. Bodnarchuk, V. Radchenko","doi":"10.1090/tpms/1108","DOIUrl":"https://doi.org/10.1090/tpms/1108","url":null,"abstract":"","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44192288","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
The Wold decomposition of Hilbertian periodically correlated processes Hilbertian周期性相关过程的Wold分解
IF 0.9
Theory of Probability and Mathematical Statistics Pub Date : 2021-01-05 DOI: 10.1090/tpms/1116
A. Zamani, Z. Sajjadnia, M. Hashemi
{"title":"The Wold decomposition of Hilbertian periodically correlated processes","authors":"A. Zamani, Z. Sajjadnia, M. Hashemi","doi":"10.1090/tpms/1116","DOIUrl":"https://doi.org/10.1090/tpms/1116","url":null,"abstract":"","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47259133","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: 1
Differential and integral equations for jump random motions 跳跃随机运动的微分和积分方程
IF 0.9
Theory of Probability and Mathematical Statistics Pub Date : 2021-01-05 DOI: 10.1090/tpms/1123
A. Pogorui, R. Rodríguez-Dagnino
{"title":"Differential and integral equations for jump random motions","authors":"A. Pogorui, R. Rodríguez-Dagnino","doi":"10.1090/tpms/1123","DOIUrl":"https://doi.org/10.1090/tpms/1123","url":null,"abstract":"","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42251311","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 limit theorem for extreme values of discrete random variables and its applications 离散随机变量极值的一个极限定理及其应用
IF 0.9
Theory of Probability and Mathematical Statistics Pub Date : 2021-01-05 DOI: 10.1090/tpms/1122
I. Matsak
{"title":"A limit theorem for extreme values of discrete random variables and its applications","authors":"I. Matsak","doi":"10.1090/tpms/1122","DOIUrl":"https://doi.org/10.1090/tpms/1122","url":null,"abstract":"","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43946447","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
Properties of strictly $varphi $-sub-Gaussian quasi-shot-noise processes 严格$varphi$-亚高斯拟散粒噪声过程的性质
IF 0.9
Theory of Probability and Mathematical Statistics Pub Date : 2021-01-05 DOI: 10.1090/tpms/1111
O. Vasylyk
{"title":"Properties of strictly $varphi $-sub-Gaussian quasi-shot-noise processes","authors":"O. Vasylyk","doi":"10.1090/tpms/1111","DOIUrl":"https://doi.org/10.1090/tpms/1111","url":null,"abstract":"","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47982289","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: 1
Bounded in the mean of order $p$ solutions of a difference equation with a jump of the operator coefficient 具有算子系数跳跃的差分方程的p阶解的均值有界
IF 0.9
Theory of Probability and Mathematical Statistics Pub Date : 2021-01-05 DOI: 10.1090/tpms/1114
M. Gorodnii, I. Gonchar
{"title":"Bounded in the mean of order $p$ solutions of a difference equation with a jump of the operator coefficient","authors":"M. Gorodnii, I. Gonchar","doi":"10.1090/tpms/1114","DOIUrl":"https://doi.org/10.1090/tpms/1114","url":null,"abstract":"","PeriodicalId":42776,"journal":{"name":"Theory of Probability and Mathematical Statistics","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2021-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46312482","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
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