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

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Adjoint equation and Lyapunov regularity for linear stochastic differential algebraic equations of index 1 指标1的线性随机微分代数方程的伴随方程和Lyapunov正则性
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-08-05 DOI: 10.1080/17442508.2013.879141
N. D. Cong, S. Siegmund, N. The
{"title":"Adjoint equation and Lyapunov regularity for linear stochastic differential algebraic equations of index 1","authors":"N. D. Cong, S. Siegmund, N. The","doi":"10.1080/17442508.2013.879141","DOIUrl":"https://doi.org/10.1080/17442508.2013.879141","url":null,"abstract":"We introduce a concept of adjoint equation and Lyapunov regularity of a stochastic differential algebraic Equation (SDAE) of index 1. The notion of adjoint SDAE is introduced in a similar way as in the deterministic differential algebraic equation case. We prove a multiplicative ergodic theorem for the adjoint SDAE and the adjoint Lyapunov spectrum. Employing the notion of adjoint equation and Lyapunov spectrum of an SDAE, we are able to define Lyapunov regularity of SDAEs. Some properties and an example of a metal oxide semiconductor field-effect transistor ring oscillator under thermal noise are discussed.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2014-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90822368","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: 0
Monotonicity of the collateralized debt obligations term structure model 债务抵押债券期限结构模型的单调性
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-08-05 DOI: 10.1080/17442508.2013.879145
M. Barski
{"title":"Monotonicity of the collateralized debt obligations term structure model","authors":"M. Barski","doi":"10.1080/17442508.2013.879145","DOIUrl":"https://doi.org/10.1080/17442508.2013.879145","url":null,"abstract":"The problem of existence of arbitrage-free and monotone collateralized debt obligations term structure models is studied. Conditions for positivity and monotonicity of the corresponding Heath–Jarrow–Morton–Musiela equation for the -forward rates with the use of the Milian-type result are formulated. Two state spaces are taken into account – of square integrable functions and a Sobolev space. For the first the regularity results concerning pointwise monotonicity are proven. Arbitrage-free and monotone models are characterized in terms of the volatility of the model and characteristics of the driving Lévy process.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2014-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76612862","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
The wavelet transform for Wiener functionals and some applications 维纳泛函的小波变换及其应用
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-08-05 DOI: 10.1080/17442508.2013.879144
M. Claude
{"title":"The wavelet transform for Wiener functionals and some applications","authors":"M. Claude","doi":"10.1080/17442508.2013.879144","DOIUrl":"https://doi.org/10.1080/17442508.2013.879144","url":null,"abstract":"The wavelet transform is defined for Wiener functionals. We characterize global and local regularities of Wiener functionals and we give a criterion for the existence and regularity of densities. Such a criterion is applied to diffusion processes and to the solutions to backward stochastic differential equations.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2014-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87262811","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
Some path properties of weighted-fractional Brownian motion 加权分数布朗运动的一些路径性质
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-08-05 DOI: 10.1080/17442508.2013.878345
Litan Yan, Zhi Wang, Huiting Jing
{"title":"Some path properties of weighted-fractional Brownian motion","authors":"Litan Yan, Zhi Wang, Huiting Jing","doi":"10.1080/17442508.2013.878345","DOIUrl":"https://doi.org/10.1080/17442508.2013.878345","url":null,"abstract":"In this paper we consider the weighted-fractional Brownian motion with indexes a, b () and narrow the focus to obtain some properties of sample paths. Motivated by the asymptotic propertyfor all s>0, we consider the -strong variation of the principal value type defined by the limitwith for all t>0, where the limits are uniform in probability on each compact interval. We show that is strongly locally -non-deterministic with , and by applying this property we study Chung's law of the iterated logarithm for and intersection local time on .","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2014-08-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84745128","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: 11
Construction of weak solutions of a certain stochastic Navier–Stokes equation 一类随机Navier-Stokes方程弱解的构造
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-07-04 DOI: 10.1080/17442508.2013.848864
Satoshi Yokoyama
{"title":"Construction of weak solutions of a certain stochastic Navier–Stokes equation","authors":"Satoshi Yokoyama","doi":"10.1080/17442508.2013.848864","DOIUrl":"https://doi.org/10.1080/17442508.2013.848864","url":null,"abstract":"We prove the existence of weak solutions of stochastic Navier–Stokes equation on a two-dimensional torus, which appears in a certain variational problem. Our equation does not satisfy the coercivity condition. We construct its weak solutions due to an approximation by a sequence of solutions of equations with enlarged viscosity terms and then by showing an a priori estimate for them.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2014-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82858764","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: 11
A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach 解决相关死亡率和利息风险的广义定价框架:一种概率度量方法的变化
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-07-04 DOI: 10.1080/17442508.2013.859388
Xiaoming Liu, R. Mamon, Huan Gao
{"title":"A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach","authors":"Xiaoming Liu, R. Mamon, Huan Gao","doi":"10.1080/17442508.2013.859388","DOIUrl":"https://doi.org/10.1080/17442508.2013.859388","url":null,"abstract":"Annuity-contingent derivatives involve both mortality and interest risks, which could have a correlation. In this article, we propose a generalized pricing framework in which the dependence between the two risks can be explicitly modelled. We also utilize the change of measure technique to simplify the valuation expressions. We illustrate our methodology in the valuation of a guaranteed annuity option (GAO). Using both forward measure associated with the bond price as numéraire and the newly introduced concept of endowment-risk-adjusted measure, we derive a simplified formula for the GAO price under the generalized framework. Numerical results show that the methodology proposed in this article is highly efficient and accurate.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2014-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87446731","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: 32
Appell pseudopolynomials and Erlang-type risk models 阿佩尔伪多项式和erlang型风险模型
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-07-04 DOI: 10.1080/17442508.2013.872645
C. Lefèvre, P. Picard
{"title":"Appell pseudopolynomials and Erlang-type risk models","authors":"C. Lefèvre, P. Picard","doi":"10.1080/17442508.2013.872645","DOIUrl":"https://doi.org/10.1080/17442508.2013.872645","url":null,"abstract":"Appell polynomials are known to play a key role in certain first-crossing problems. The present paper considers a rather general insurance risk model where the claim interarrival times are independent and exponentially distributed with different parameters, the successive claim amounts may be dependent and the premium income is an arbitrary deterministic function. It is shown that the non-ruin (or survival) probability over a finite horizon may be expressed in terms of a remarkable family of functions, named pseudopolynomials, that generalize the classical Appell polynomials. The presence of that underlying algebraic structure is exploited to provide a closed formula, almost explicit, for the non-ruin probability.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2014-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77022357","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: 8
Risk-sensitive control of continuous time Markov chains 连续时间马尔可夫链的风险敏感控制
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-07-04 DOI: 10.1080/17442508.2013.872644
M. K. Ghosh, Subhamay Saha
{"title":"Risk-sensitive control of continuous time Markov chains","authors":"M. K. Ghosh, Subhamay Saha","doi":"10.1080/17442508.2013.872644","DOIUrl":"https://doi.org/10.1080/17442508.2013.872644","url":null,"abstract":"We study risk-sensitive control of continuous time Markov chains taking values in discrete state space. We study both finite and infinite horizon problems. In the finite horizon problem we characterize the value function via Hamilton Jacobi Bellman equation and obtain an optimal Markov control. We do the same for infinite horizon discounted cost case. In the infinite horizon average cost case we establish the existence of an optimal stationary control under certain Lyapunov condition. We also develop a policy iteration algorithm for finding an optimal control.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2014-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78826815","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: 56
Asymptotic stability of impulsive stochastic partial integrodifferential equations with delays 带时滞的脉冲随机偏积分微分方程的渐近稳定性
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-07-04 DOI: 10.1080/17442508.2013.879143
M. Diop, K. Ezzinbi, Modou Lo
{"title":"Asymptotic stability of impulsive stochastic partial integrodifferential equations with delays","authors":"M. Diop, K. Ezzinbi, Modou Lo","doi":"10.1080/17442508.2013.879143","DOIUrl":"https://doi.org/10.1080/17442508.2013.879143","url":null,"abstract":"In this paper, we study the existence and asymptotic stability in the p-th moment of mild solutions of nonlinear impulsive stochastic partial functional integrodifferential equations with delays. We suppose that the linear part possesses a resolvent operator in the sense given in Grimmer [R. Grimmer, Resolvent operators for integral equations in a Banach space, Trans. Am. Math. Soc. 273(1) (1982), 333–349] and the nonlinear terms are assumed to be Lipschitz continuous. A fixed point approach is employed for achieving the required result. An example is provided to illustrate the results of this work.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2014-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88994946","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
On complete convergence for arrays of rowwise AANA random variables 关于行AANA随机变量数组的完全收敛性
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-05-04 DOI: 10.1080/17442508.2013.797423
Huai Xu, L. Tang
{"title":"On complete convergence for arrays of rowwise AANA random variables","authors":"Huai Xu, L. Tang","doi":"10.1080/17442508.2013.797423","DOIUrl":"https://doi.org/10.1080/17442508.2013.797423","url":null,"abstract":"Let be an array of rowwise asymptotically almost negatively associated (NA) random variables which is stochastically dominated by a random variable X. Wang et al. [11] studied the complete convergence for arrays of rowwise asymptotically almost NA random variables under the condition that X has an index-order moment, which seems too strong. We will further study the complete convergence for arrays of rowwise asymptotically almost NA random variables under the condition that X has a power-order moment, which is weaker than index-order moment. Our results improve the corresponding ones of Wang et al. [11].","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":null,"pages":null},"PeriodicalIF":0.9,"publicationDate":"2014-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73505755","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
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