发布求助
文献互助 智能选刊 最新文献

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

筛选
英文 中文
Generalized grey Brownian motion local time: existence and weak approximation 广义灰色布朗运动局部时间:存在性和弱逼近
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2013-06-17 DOI: 10.1080/17442508.2014.945451
J. D. da Silva, M. Erraoui
{"title":"Generalized grey Brownian motion local time: existence and weak approximation","authors":"J. D. da Silva, M. Erraoui","doi":"10.1080/17442508.2014.945451","DOIUrl":"https://doi.org/10.1080/17442508.2014.945451","url":null,"abstract":"In this paper we investigate the class of generalized grey Brownian motions (ggBms) (, ). We show that ggBm admits different representations in terms of certain known processes, such as fractional Brownian motion, multivariate elliptical distribution or as a subordination. We establish almost-sure weak convergence of the increments of in the measure space . We also obtain weak convergence of the weighted power variation of process . Using the Berman criterion we show that admits a -square integrable local time almost surely ( denoting Lebesgue measure). Moreover, we prove that this local time can be weak-approximated by the number of crossings , of level x, of the convolution approximation of ggBm.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"57 1","pages":"347 - 361"},"PeriodicalIF":0.9,"publicationDate":"2013-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90824377","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 class of infinite dimensional stochastic processes with unbounded diffusion 一类具有无界扩散的无限维随机过程
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2013-02-04 DOI: 10.1080/17442508.2014.959952
J. Karlsson, J. Löbus
{"title":"A class of infinite dimensional stochastic processes with unbounded diffusion","authors":"J. Karlsson, J. Löbus","doi":"10.1080/17442508.2014.959952","DOIUrl":"https://doi.org/10.1080/17442508.2014.959952","url":null,"abstract":"The paper studies Dirichlet forms on the classical Wiener space and the Wiener space over non-compact complete Riemannian manifolds. The diffusion operator is almost everywhere an unbounded operator on the Cameron–Martin space. In particular, it is shown that under a class of changes of the reference measure, quasi-regularity of the form is preserved. We also show that under these changes of the reference measure, derivative and divergence are closable with certain closable inverses. We first treat the case of the classical Wiener space and then we transfer the results to the Wiener space over a Riemannian manifold.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"28 1","pages":"424 - 457"},"PeriodicalIF":0.9,"publicationDate":"2013-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83888417","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
On differentiability with respect to the initial data of the solution to an SDE with a Lévy noise and discontinuous coefficients 带lsamvy噪声和不连续系数的SDE解对初始数据的可微性
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2012-11-21 DOI: 10.1080/17442508.2013.865133
O. Aryasova, A. Pilipenko
{"title":"On differentiability with respect to the initial data of the solution to an SDE with a Lévy noise and discontinuous coefficients","authors":"O. Aryasova, A. Pilipenko","doi":"10.1080/17442508.2013.865133","DOIUrl":"https://doi.org/10.1080/17442508.2013.865133","url":null,"abstract":"We construct a stochastic flow generated by an stochastic differential equation with its drift being a function of bounded variation and its noise being a stable process with exponent from (1,2). It is proved that the flow is non-coalescing and Sobolev differentiable with respect to the initial data. The representation for the derivative is given.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"1 1","pages":"643 - 654"},"PeriodicalIF":0.9,"publicationDate":"2012-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74766896","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
Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method 用布朗桥法估计非线性滤波模型中的条件命中时间
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2012-11-19 DOI: 10.1080/17442508.2014.924937
C. Profeta, Abass Sagna
{"title":"Conditional hitting time estimation in a nonlinear filtering model by the Brownian bridge method","authors":"C. Profeta, Abass Sagna","doi":"10.1080/17442508.2014.924937","DOIUrl":"https://doi.org/10.1080/17442508.2014.924937","url":null,"abstract":"We consider a model composed of a signal process X given by a classic stochastic differential equation and an observation process Y, which is supposed to be correlated to the signal process. We assume that process Y is observed from time 0 to s>0 at discrete times and aim to estimate, conditionally on these observations, the probability that the non-observed process X crosses a fixed barrier after a given time t>0. We formulate this problem as a usual nonlinear filtering problem and use optimal quantization and Monte Carlo simulations techniques to estimate the involved quantities.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"58 1","pages":"112 - 141"},"PeriodicalIF":0.9,"publicationDate":"2012-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73245593","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
A note on applications of stochastic ordering to control problems in insurance and finance 随机排序在保险和金融控制问题中的应用
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2012-10-14 DOI: 10.1080/17442508.2013.778861
N. Bäuerle, Erhan Bayraktar
{"title":"A note on applications of stochastic ordering to control problems in insurance and finance","authors":"N. Bäuerle, Erhan Bayraktar","doi":"10.1080/17442508.2013.778861","DOIUrl":"https://doi.org/10.1080/17442508.2013.778861","url":null,"abstract":"We consider a controlled diffusion process where the controller is allowed to choose drift and volatility from a set when . By choosing the largest at every point in time, an extremal process is constructed which is under suitable time changes stochastically larger than any other admissible process. This observation immediately leads to a very simple solution of problems where ruin or hitting probabilities have to be minimized. Under further conditions this extremal process also minimizes ‘drawdown’ probabilities.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"15 1","pages":"330 - 340"},"PeriodicalIF":0.9,"publicationDate":"2012-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90656074","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: 22
On certain integral functionals of squared Bessel processes 关于平方贝塞尔过程的若干积分泛函
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2012-09-21 DOI: 10.1080/17442508.2015.1026344
U. Çetin
{"title":"On certain integral functionals of squared Bessel processes","authors":"U. Çetin","doi":"10.1080/17442508.2015.1026344","DOIUrl":"https://doi.org/10.1080/17442508.2015.1026344","url":null,"abstract":"For a squared Bessel process, , the Laplace transforms of joint laws of are studied where is the first hitting time of by and is a random variable measurable with respect to the history of X until . A subset of these results are then used to solve the associated small ball problems for and to determine a Chung's law of the iterated logarithm. is also considered as a purely discontinuous increasing Markov process and its infinitesimal generator is found. The findings are then used to price a class of exotic derivatives on interest rates and to determine the asymptotics for the prices of some put options that are only slightly in-the-money.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"36 1","pages":"1033 - 1060"},"PeriodicalIF":0.9,"publicationDate":"2012-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75903232","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
Central limit theorem for an iterated integral with respect to fBm with H>1/2 关于H>1/2的fBm迭代积分的中心极限定理
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2012-08-09 DOI: 10.1080/17442508.2013.774403
D. Harnett, D. Nualart
{"title":"Central limit theorem for an iterated integral with respect to fBm with H>1/2","authors":"D. Harnett, D. Nualart","doi":"10.1080/17442508.2013.774403","DOIUrl":"https://doi.org/10.1080/17442508.2013.774403","url":null,"abstract":"We construct an iterated stochastic integral with respect to fractional Brownian motion (fBm) with H>1/2. The first integrand is a deterministic function, and each successive integral is with respect to an independent fBm. We show that this symmetric stochastic integral is equal to the Malliavin divergence integral. By a version of the Fourth Moment Theorem of Nualart and Peccati [10], we show that a family of such integrals converges in distribution to a scaled Brownian motion. An application is an approximation to the windings for a planar fBm, previously studied by Baudoin and Nualart [2].","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"24 1","pages":"187 - 202"},"PeriodicalIF":0.9,"publicationDate":"2012-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85330152","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
Mixed fractional stochastic differential equations with jumps 具有跳跃的混合分数阶随机微分方程
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2012-06-16 DOI: 10.1080/17442508.2013.774404
G. Shevchenko
{"title":"Mixed fractional stochastic differential equations with jumps","authors":"G. Shevchenko","doi":"10.1080/17442508.2013.774404","DOIUrl":"https://doi.org/10.1080/17442508.2013.774404","url":null,"abstract":"In this paper, we consider a stochastic differential equation driven by a fractional Brownian motion and a Wiener process and having jumps. We prove that this equation has a unique solution and show that all moments of the solution are finite.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"2 1","pages":"203 - 217"},"PeriodicalIF":0.9,"publicationDate":"2012-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89255420","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: 30
A stochastic approach to a new type of parabolic variational inequalities 一类新的抛物型变分不等式的随机方法
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2012-03-21 DOI: 10.1080/17442508.2014.989396
Tianyang Nie
{"title":"A stochastic approach to a new type of parabolic variational inequalities","authors":"Tianyang Nie","doi":"10.1080/17442508.2014.989396","DOIUrl":"https://doi.org/10.1080/17442508.2014.989396","url":null,"abstract":"We study the following quasilinear partial differential equation with two subdifferential operators:where for and The operator (resp. ) is the subdifferential of the convex lower semicontinuous function (resp. ). We define the viscosity solution for such kind of partial differential equation and prove the uniqueness of the viscosity solution when does not depend on . To prove the existence of a viscosity solution, a stochastic representation formula of Feymann–Kac type will be developed. For this end, we investigate a fully coupled forward–backward stochastic variational inequality.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"74 1","pages":"477 - 517"},"PeriodicalIF":0.9,"publicationDate":"2012-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85187629","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: 10
Dynkin games in a general framework Dynkin游戏的一般框架
IF 0.9 4区 数学
Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2012-02-09 DOI: 10.1080/17442508.2013.778860
M. Kobylanski, M. Quenez, Marc Roger de Campagnolle
{"title":"Dynkin games in a general framework","authors":"M. Kobylanski, M. Quenez, Marc Roger de Campagnolle","doi":"10.1080/17442508.2013.778860","DOIUrl":"https://doi.org/10.1080/17442508.2013.778860","url":null,"abstract":"We revisit the Dynkin game problem in a general framework and relax some assumptions. The pay-offs and the criterion are expressed in terms of families of random variables indexed by stopping times. We construct two non-negative supermartingale families J and whose finiteness is equivalent to the Mokobodski's condition. Under some weak right-regularity assumption on the pay-off families, the game is shown to be fair and is shown to be the common value function. Existence of saddle points is derived under some weak additional assumptions. All the results are written in terms of random variables and are proven by using only classical results of probability theory.","PeriodicalId":49269,"journal":{"name":"Stochastics-An International Journal of Probability and Stochastic Processes","volume":"466 1","pages":"304 - 329"},"PeriodicalIF":0.9,"publicationDate":"2012-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83073028","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: 37
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信