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Stochastics-An International Journal of Probability and Stochastic Processes最新文献

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Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure 由布朗运动和泊松随机测度驱动的马尔可夫切换倒向随机微分方程
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-01-02 DOI: 10.1080/17442508.2014.914514
Jingtao Shi, Zhen Wu
{"title":"Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure","authors":"Jingtao Shi, Zhen Wu","doi":"10.1080/17442508.2014.914514","DOIUrl":"https://doi.org/10.1080/17442508.2014.914514","url":null,"abstract":"This paper is concerned with backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure. The motivation is a constrained stochastic Riccati equation derived from a stochastic linear quadratic optimal control problem with both Poisson and Markovian jumps. The existence and uniqueness of an adapted solution under global Lipschitz condition on the generator is obtained. The continuous dependence of the solution on parameters is proved. Two comparison theorems are also derived by a generalized Girsanov transformation theorem.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"47 1","pages":"1 - 29"},"PeriodicalIF":0.9,"publicationDate":"2015-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89157940","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: 5
Large deviations for neutral functional SDEs with jumps 具有跳跃的中性功能SDEs的大偏差
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-01-02 DOI: 10.1080/17442508.2014.914516
J. Bao, C. Yuan
{"title":"Large deviations for neutral functional SDEs with jumps","authors":"J. Bao, C. Yuan","doi":"10.1080/17442508.2014.914516","DOIUrl":"https://doi.org/10.1080/17442508.2014.914516","url":null,"abstract":"In this paper, by the weak convergence method, based on a variational representation for positive functionals of a Poisson random measure and Brownian motion, we establish uniform large deviation principles (LDPs) for a class of neutral stochastic differential equations driven by jump processes. As a byproduct, we also obtain uniform LDPs for neutral stochastic differential delay equations which, in particular, allow the coefficients to be highly nonlinear with respect to the delay argument.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"25 1","pages":"48 - 70"},"PeriodicalIF":0.9,"publicationDate":"2015-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74105404","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: 44
On the differential equation satisfied by the random measure density of a jump-type Fleming–Viot process 跳跃型Fleming-Viot过程的随机测量密度所满足的微分方程
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-01-02 DOI: 10.1080/17442508.2014.915972
T. T. da Silva, M. Fragoso
{"title":"On the differential equation satisfied by the random measure density of a jump-type Fleming–Viot process","authors":"T. T. da Silva, M. Fragoso","doi":"10.1080/17442508.2014.915972","DOIUrl":"https://doi.org/10.1080/17442508.2014.915972","url":null,"abstract":"The subject matter of this paper is the so-called jump-type Fleming–Viot process. The main result shows that the density of the process has a representation as the solution of a stochastic partial differential equation. When reduced to the Fleming–Viot process, our result recovers the result of N. Konno and T. Shiga [Stochastic partial differential equations for some measure-valued diffusions, Probab. Theory Relat. Fields 79 (1988), pp. 201–225].","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"68 1","pages":"71 - 84"},"PeriodicalIF":0.9,"publicationDate":"2015-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90576016","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: 2
Stochastic Volterra integro-differential equations driven by fractional Brownian motion in a Hilbert space 希尔伯特空间中分数布朗运动驱动的随机Volterra积分微分方程
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-01-02 DOI: 10.1080/17442508.2014.924938
N. Dung
{"title":"Stochastic Volterra integro-differential equations driven by fractional Brownian motion in a Hilbert space","authors":"N. Dung","doi":"10.1080/17442508.2014.924938","DOIUrl":"https://doi.org/10.1080/17442508.2014.924938","url":null,"abstract":"In this article, we consider a class of stochastic Volterra integro-differential equations with infinite delay and impulsive effects, driven by fractional Brownian motion with the Hurst index in a Hilbert space. The cases of Lipschitz and bounded impulses are studied separately. The existence and uniqueness of mild solutions are proved by using different fixed-point theorems. An example is given to illustrate the theory.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"8 1","pages":"142 - 159"},"PeriodicalIF":0.9,"publicationDate":"2015-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78525239","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: 17
Combined probabilistic algorithm for solving high dimensional problems 求解高维问题的组合概率算法
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-01-02 DOI: 10.1080/17442508.2014.914515
R. Farnoosh, Mahboubeh Aalaei, M. Ebrahimi
{"title":"Combined probabilistic algorithm for solving high dimensional problems","authors":"R. Farnoosh, Mahboubeh Aalaei, M. Ebrahimi","doi":"10.1080/17442508.2014.914515","DOIUrl":"https://doi.org/10.1080/17442508.2014.914515","url":null,"abstract":"The present study establishes an accurate and efficient algorithm based on Monte Carlo (MC) simulation for solving high dimensional linear systems of algebraic equations (LSAEs) and two-dimensional Fredholm integral equations of the second kind (FIESK). This new combined numerical-probabilistic algorithm is based on Jacobi over-relaxation method and MC simulation in conjunction with the iterative refinement technique to find the unique solution of the large sparse LSAEs. It has an excellent accuracy, low cost and simple structure. Theoretical results are established to justify the convergence of the algorithm. To confirm the accuracy and efficiency of the present work, the proposed algorithm is used for solving and LSAEs. Furthermore, the algorithm is coupled with Galerkin's method to illustrate the power and effectiveness of the proposed algorithm for solving two-dimensional FIESK.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"28 1","pages":"30 - 47"},"PeriodicalIF":0.9,"publicationDate":"2015-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74850404","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: 2
A full balance sheet two-mode optimal switching problem 一个全资产负债表双模式最优切换问题
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-11-21 DOI: 10.1080/17442508.2014.991324
Boualem Djehiche, Ali Hamdi
{"title":"A full balance sheet two-mode optimal switching problem","authors":"Boualem Djehiche, Ali Hamdi","doi":"10.1080/17442508.2014.991324","DOIUrl":"https://doi.org/10.1080/17442508.2014.991324","url":null,"abstract":"We formulate and solve a finite horizon full balance sheet of a two-mode optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the other mode or termination of the project, and this happens for both sides of the balance sheet. A novelty in this model is that the related obstacles are nonlinear in the underlying yields, whereas, they are linear in the standard optimal switching problem. The optimal switching problem is formulated in terms of a system of Snell envelopes for the profit and cost yields which act as obstacles to each other. We prove the existence of a continuous minimal solution of this system using an approximation scheme and fully characterize the optimal switching strategy.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"1 1","pages":"604 - 622"},"PeriodicalIF":0.9,"publicationDate":"2014-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91112916","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: 6
On a generalized optional decomposition theorem 关于一个广义可选分解定理
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-10-24 DOI: 10.1080/17442508.2014.895357
A. Berkaoui
{"title":"On a generalized optional decomposition theorem","authors":"A. Berkaoui","doi":"10.1080/17442508.2014.895357","DOIUrl":"https://doi.org/10.1080/17442508.2014.895357","url":null,"abstract":"First we consider a set of probabilities and denote by , the associated dynamic sublinear expectation, defined by for and a fixed filtration . We prove that for a positive -supermartingale X, there exits an increasing adapted process C such that is a local -martingale. Second we apply such a result to incomplete market under model misspecification, generalizing the results of Kramkov [D.O. Kramkov, Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets, Prob. Theor. Relat. Field. 15 (1996), pp. 459–479] and Riedel [F. Riedel, On optimal stopping under Ambiguity, Econometrica. 77 (2009), pp. 857–908].","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"193 1","pages":"906 - 921"},"PeriodicalIF":0.9,"publicationDate":"2014-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73679487","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: 3
On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay 具有指数延迟惩罚的序列检测问题的鞅和自由边界方法
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-10-24 DOI: 10.1080/17442508.2013.865132
B. Buonaguidi, P. Muliere
{"title":"On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay","authors":"B. Buonaguidi, P. Muliere","doi":"10.1080/17442508.2013.865132","DOIUrl":"https://doi.org/10.1080/17442508.2013.865132","url":null,"abstract":"We study the connection between the martingale and free-boundary approaches in sequential detection problems for the drift of a Brownian motion, under the assumption of exponential penalty for the delay. By means of the solution of a suitable free-boundary problem, we show that the reward process can be decomposed into the product between a gain function of the boundary point and a positive martingale inside the continuation region.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"12 1","pages":"865 - 869"},"PeriodicalIF":0.9,"publicationDate":"2014-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88181144","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: 1
Refinement of convergence rate for the strong law of large numbers in Banach space Banach空间中强数律收敛速率的改进
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-10-24 DOI: 10.1080/17442508.2014.883078
Deli Li, A. Spǎtaru
{"title":"Refinement of convergence rate for the strong law of large numbers in Banach space","authors":"Deli Li, A. Spǎtaru","doi":"10.1080/17442508.2014.883078","DOIUrl":"https://doi.org/10.1080/17442508.2014.883078","url":null,"abstract":"Let be a sequence of independent and identically distributed B-valued random variables, and set . Let , and q>0, and putWe strengthen the convergence rate for the Kolmogorov–Marcinkiewicz–Zygmund strong law of large numbers in Banach space, by showing that , if and only if and","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"14 1","pages":"882 - 888"},"PeriodicalIF":0.9,"publicationDate":"2014-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87361717","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: 1
Information on jump sizes and hedging 关于跳跃大小和对冲的信息
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-10-24 DOI: 10.1080/17442508.2014.895356
Wanmo Kang, Kiseop Lee
{"title":"Information on jump sizes and hedging","authors":"Wanmo Kang, Kiseop Lee","doi":"10.1080/17442508.2014.895356","DOIUrl":"https://doi.org/10.1080/17442508.2014.895356","url":null,"abstract":"We study a hedging problem in a market where traders have various levels of information. The exclusive information available only to informed traders is modelled by a diffusion process rather than discrete arrivals of new information. The asset price follows a jump–diffusion process and an information process affects jump sizes of the asset price. We find the local risk minimization hedging strategy of informed traders. Numerical examples as well as their comparison with the Black–Scholes strategy are provided via Monte Carlo.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"5 1","pages":"889 - 905"},"PeriodicalIF":0.9,"publicationDate":"2014-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72660826","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: 4
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