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Random Operators and Stochastic Equations最新文献

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On the stochastic flow generated by the one default model in one-dimensional case 一维情况下由一个默认模型生成的随机流
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2023-01-30 DOI: 10.1515/rose-2022-2093
Yamina Khatir, Fatima Benziadi, A. Kandouci
{"title":"On the stochastic flow generated by the one default model in one-dimensional case","authors":"Yamina Khatir, Fatima Benziadi, A. Kandouci","doi":"10.1515/rose-2022-2093","DOIUrl":"https://doi.org/10.1515/rose-2022-2093","url":null,"abstract":"Abstract In this paper, we will study an important property on the regularity of the trajectories of the stochastic flow generated by a famous model in finance. More precisely, we prove the differentiability with respect to initial data of the solution of the stochastic differential equation associated with this model based on Gronwall’s lemma, Itô’s isometry and Burkholder–Davis–Gundy’s and Hölder’s inequalities. This is the main motivation of our research.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"31 1","pages":"9 - 23"},"PeriodicalIF":0.4,"publicationDate":"2023-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46925508","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
Fractional backward SDEs with locally monotone coefficient and application to PDEs 具有局部单调系数的分数阶倒向SDEs及其在偏微分方程中的应用
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2023-01-30 DOI: 10.1515/rose-2022-2095
M. A. Saouli
{"title":"Fractional backward SDEs with locally monotone coefficient and application to PDEs","authors":"M. A. Saouli","doi":"10.1515/rose-2022-2095","DOIUrl":"https://doi.org/10.1515/rose-2022-2095","url":null,"abstract":"Abstract In this work, we will try to weaken the hypothesis imposed by Hu and Peng. We will be concerned with finding the solution of locally monotone BSDEs associated to fBm. As an auxiliary step, we study the existence and uniqueness of a solution to the monotone backward SDEs associated to fBm. Then we connect these two kinds of fractional backward SDEs with the corresponding semilinear partial differential equations (PDEs for short).","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"31 1","pages":"25 - 45"},"PeriodicalIF":0.4,"publicationDate":"2023-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48665850","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
On a flexible class of asymmetric mixture normal distribution and its applications 关于一类柔性的非对称混合正态分布及其应用
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2023-01-30 DOI: 10.1515/rose-2022-2092
C. Satheesh Kumar, G. V. Anila
{"title":"On a flexible class of asymmetric mixture normal distribution and its applications","authors":"C. Satheesh Kumar, G. V. Anila","doi":"10.1515/rose-2022-2092","DOIUrl":"https://doi.org/10.1515/rose-2022-2092","url":null,"abstract":"Abstract Here we consider a more flexible class of asymmetric mixture normal distribution and investigate some of its important statistical properties. We define its location-scale extension and discuss the method of maximum likelihood for estimating its parameters. Two real life data sets are considered for illustrating the usefulness of the model. Further, a simulation study is carried out for examining the efficiency of maximum likelihood estimators of the parameters of the distribution.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"31 1","pages":"1 - 8"},"PeriodicalIF":0.4,"publicationDate":"2023-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49477867","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
Stochastic zero-sum differential games and backward stochastic differential equations 随机零和微分对策与后向随机微分方程
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2023-01-30 DOI: 10.1515/rose-2022-2097
Khalid Oufdil
{"title":"Stochastic zero-sum differential games and backward stochastic differential equations","authors":"Khalid Oufdil","doi":"10.1515/rose-2022-2097","DOIUrl":"https://doi.org/10.1515/rose-2022-2097","url":null,"abstract":"Abstract In this paper, we study the stochastic zero-sum differential game in finite horizon in a general case. We first prove that the BSDE associated with a specific generator (the Hamiltonian function for the game) has a unique solution. Then we characterize the value function as that solution to prove the existence of a saddle point for the game. Finally, in the Markovian framework, we show that the value function is the unique viscosity solution for the related partial differential equation.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"31 1","pages":"65 - 86"},"PeriodicalIF":0.4,"publicationDate":"2023-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43790705","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
An optimal result on localization in random displacements models 随机位移模型局部化的一个最优结果
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-11-24 DOI: 10.1515/rose-2022-2091
V. Chulaevsky
{"title":"An optimal result on localization in random displacements models","authors":"V. Chulaevsky","doi":"10.1515/rose-2022-2091","DOIUrl":"https://doi.org/10.1515/rose-2022-2091","url":null,"abstract":"Abstract We study random displacements models with a long-range particle-media interaction potential 𝔲 ⁢ ( r , θ ) = 𝔣 ⁢ ( θ ) ⁢ r - A {mathfrak{u}(r,theta)=mathfrak{f}(theta)r^{-A}} in polar coordinates, with a smooth function 𝔣 {mathfrak{f}} which can be sign-indefinite. Spectral and dynamical localization, with an asymptotically exponential decay of eigenfunction correlators, is proved under the optimal condition A > d {A>d} .","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"301 - 314"},"PeriodicalIF":0.4,"publicationDate":"2022-11-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42992956","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
The estimators G 9 and G 10 for the solutions of~the Kolmogorov–Wiener filter ~ Kolmogorov–Wiener滤波器解的估计量G9和G10
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-11-23 DOI: 10.1515/rose-2022-2090
V. Girko, B. Shevchuk, L. Shevchuk
{"title":"The estimators G 9 and G 10 for the solutions of~the Kolmogorov–Wiener filter","authors":"V. Girko, B. Shevchuk, L. Shevchuk","doi":"10.1515/rose-2022-2090","DOIUrl":"https://doi.org/10.1515/rose-2022-2090","url":null,"abstract":"Abstract The limit theorems for the estimators G 9 {G_{9}} and G 10 {G_{10}} for the solutions of the Kolmogorov–Wiener filter are proved.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"295 - 300"},"PeriodicalIF":0.4,"publicationDate":"2022-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48972747","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
Large deviation principle for a mixed fractional and jump diffusion process 分数阶和跳跃扩散混合过程的大偏差原理
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-11-11 DOI: 10.1515/rose-2022-2083
R. Diatta, C. Manga, A. Diédhiou
{"title":"Large deviation principle for a mixed fractional and jump diffusion process","authors":"R. Diatta, C. Manga, A. Diédhiou","doi":"10.1515/rose-2022-2083","DOIUrl":"https://doi.org/10.1515/rose-2022-2083","url":null,"abstract":"Abstract We study the asymptotic behavior of a solution of a mixed differential equation driven by independent fractional Brownian motion with Hurst index H ∈ ( 0 ; 1 ) {Hin(0;1)} and compensated Poisson process. This study consists in determining the uniform Freidlin–Wentzell estimates in a temporal distribution space.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"241 - 249"},"PeriodicalIF":0.4,"publicationDate":"2022-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48055738","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
Two-barriers reflected backward doubly SDEs beyond right continuity 双障碍反映了超越右连续性的反向双SDEs
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-10-26 DOI: 10.1515/rose-2022-2089
M. Marzougue
{"title":"Two-barriers reflected backward doubly SDEs beyond right continuity","authors":"M. Marzougue","doi":"10.1515/rose-2022-2089","DOIUrl":"https://doi.org/10.1515/rose-2022-2089","url":null,"abstract":"Abstract In this paper, we formulate a specific kind of reflected backward doubly stochastic differential equation with two barriers not necessarily right continuous. We prove the existence and uniqueness of the solution under Mokobodzki’s condition on the barriers and a Lipschitz driver through a Picard’s iteration method in an appropriate Banach space. Moreover, we show that the solution of such equations is characterized in terms of the value function of an extension of the corresponding stochastic Dynkin game.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"271 - 293"},"PeriodicalIF":0.4,"publicationDate":"2022-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47404700","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
On the existence and the Hölder regularity of the local time of the Brownian bridge 关于Brownian桥局部时间的存在性和Hölder正则性
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-10-26 DOI: 10.1515/rose-2022-2087
O. Allaoui, A. Sghir, S. Hadiri
{"title":"On the existence and the Hölder regularity of the local time of the Brownian bridge","authors":"O. Allaoui, A. Sghir, S. Hadiri","doi":"10.1515/rose-2022-2087","DOIUrl":"https://doi.org/10.1515/rose-2022-2087","url":null,"abstract":"Abstract In this paper, we will establish the existence and the Hölder regularity of the local time of the Brownian bridge. Our results are obtained by using a result on Malliavin calculus in [K. Es-Sebaiy, D. Nualart, Y. Ouknine and C. A. Tudor, Occupation densities for certain processes related to fractional Brownian motion, Stochastics 82 2010, 1–3, 133–147] for a Gaussian process with an absolutely continuous random drift, jointly with the classical approach based on the concept of local nondeterminism for Gaussian processes introduced by Berman [S. M. Berman, Local nondeterminism and local times of Gaussian processes, Indiana Univ. Math. J. 23 1973/74, 69–94].","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"259 - 270"},"PeriodicalIF":0.4,"publicationDate":"2022-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41754210","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
One generalization of the main probability G-density 主要概率g密度的一个推广
IF 0.4
Random Operators and Stochastic Equations Pub Date : 2022-10-21 DOI: 10.1515/rose-2022-2086
V. Girko
{"title":"One generalization of the main probability G-density","authors":"V. Girko","doi":"10.1515/rose-2022-2086","DOIUrl":"https://doi.org/10.1515/rose-2022-2086","url":null,"abstract":"Abstract One generalization of the G-density of the global law for random matrices whose entries are independent is founded","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"251 - 257"},"PeriodicalIF":0.4,"publicationDate":"2022-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46516297","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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