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Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process 广义Wiener-Hermite积分与粗糙非高斯Ornstein-Uhlenbeck过程
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2022-04-30 DOI: 10.1080/17442508.2022.2068955
Obayda Assaad, Charles-Philippe Diez, C. Tudor
{"title":"Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process","authors":"Obayda Assaad, Charles-Philippe Diez, C. Tudor","doi":"10.1080/17442508.2022.2068955","DOIUrl":"https://doi.org/10.1080/17442508.2022.2068955","url":null,"abstract":"We discuss several properties of the generalized Hermite process, which is a non-Gaussian self-similar processes with self-similarity index belonging to the whole interval . We also define Wiener integral with respect to this process and as an application, we define and study its associated Ornstein–Uhlenbeck process.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"1 1","pages":"191 - 210"},"PeriodicalIF":1.7,"publicationDate":"2022-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76688833","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Martingale Schrödinger bridges and optimal semistatic portfolios Martingale-Schrödinger桥与最优半静态投资组合
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2022-04-26 DOI: 10.1007/s00780-022-00490-x
Marcel Nutz, J. Wiesel, Longxiao Zhao
{"title":"Martingale Schrödinger bridges and optimal semistatic portfolios","authors":"Marcel Nutz, J. Wiesel, Longxiao Zhao","doi":"10.1007/s00780-022-00490-x","DOIUrl":"https://doi.org/10.1007/s00780-022-00490-x","url":null,"abstract":"","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"27 1","pages":"233-254"},"PeriodicalIF":1.7,"publicationDate":"2022-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45703504","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Existence and stability results of mild solutions for random impulsive stochastic partial differential equations with noncompact semigroups 非紧半群随机脉冲随机偏微分方程温和解的存在性和稳定性结果
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2022-04-01 DOI: 10.1080/17442508.2022.2056415
Quancheng Yang, Dan Wu, X. Shu
{"title":"Existence and stability results of mild solutions for random impulsive stochastic partial differential equations with noncompact semigroups","authors":"Quancheng Yang, Dan Wu, X. Shu","doi":"10.1080/17442508.2022.2056415","DOIUrl":"https://doi.org/10.1080/17442508.2022.2056415","url":null,"abstract":"In this paper, we study the existence and some stability results of mild solutions for random impulsive stochastic partial differential equations with noncompact semigroups in Hilbert spaces. Initially, we prove the existence of mild solutions by using Hausdorff measures of noncompactness and the Mönch fixed point theorem. Then, we explore the stability with continuous dependence of initial conditions, Hyers–Ulam stability and mean-square stability of the system by developing some new analysis techniques and establishing an improved inequality. Finally, an example is given to illustrate the abstract results obtained in this paper.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"31 5","pages":"168 - 190"},"PeriodicalIF":1.7,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72593009","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Risk-hedging a European option with a convex risk measure and without no-arbitrage condition 风险套期保值是一种带有凸风险度量且无套利条件的欧式期权
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2022-04-01 DOI: 10.1080/17442508.2022.2055966
E. Lépinette, Jun Zhao
{"title":"Risk-hedging a European option with a convex risk measure and without no-arbitrage condition","authors":"E. Lépinette, Jun Zhao","doi":"10.1080/17442508.2022.2055966","DOIUrl":"https://doi.org/10.1080/17442508.2022.2055966","url":null,"abstract":"In this article, we revisit the discrete-time problem of pricing a contingent claim with respect to a dynamic risk measure defined by its acceptance sets. Without any no-arbitrage condition, we show that it is possible to characterize the prices of a European claim. Our analysis reveals a natural weak no-arbitrage condition that we study. This is a condition formulated in terms of the (risk) hedging prices instead of the attainable claims. Our approach is not based on a robust representation of the risk measure and we do not suppose the existence of a risk-neutral probability measure.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"19 1","pages":"118 - 155"},"PeriodicalIF":1.7,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85665489","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bilateral birth and death process in q-calculus q-微积分的双侧生灭过程
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2022-03-29 DOI: 10.1080/17442508.2022.2055967
L. Dhaouadi
{"title":"Bilateral birth and death process in q-calculus","authors":"L. Dhaouadi","doi":"10.1080/17442508.2022.2055967","DOIUrl":"https://doi.org/10.1080/17442508.2022.2055967","url":null,"abstract":"In this paper, we shall give the complete solution of the equations governing the bilateral birth and death process on the path set in which the birth and death rates and where 0<q<1 and . The mathematical methods employed here are based on q-Bessel Fourier analysis.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"39 1","pages":"157 - 167"},"PeriodicalIF":1.7,"publicationDate":"2022-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80118523","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dynamic mean–variance problem with frictions 带摩擦的动态均方差问题
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2022-03-15 DOI: 10.1007/s00780-022-00474-x
A. Bensoussan, Guiyuan Ma, Chi Chung Siu, S. Yam
{"title":"Dynamic mean–variance problem with frictions","authors":"A. Bensoussan, Guiyuan Ma, Chi Chung Siu, S. Yam","doi":"10.1007/s00780-022-00474-x","DOIUrl":"https://doi.org/10.1007/s00780-022-00474-x","url":null,"abstract":"","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"26 1","pages":"267 - 300"},"PeriodicalIF":1.7,"publicationDate":"2022-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47725895","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Optimal execution with multiplicative price impact and incomplete information on the return 具有乘法价格影响和回报不完全信息的最优执行
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2022-02-21 DOI: 10.1007/s00780-023-00508-y
Felix Dammann, Giorgio Ferrari
{"title":"Optimal execution with multiplicative price impact and incomplete information on the return","authors":"Felix Dammann, Giorgio Ferrari","doi":"10.1007/s00780-023-00508-y","DOIUrl":"https://doi.org/10.1007/s00780-023-00508-y","url":null,"abstract":"","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"27 1","pages":"713 - 768"},"PeriodicalIF":1.7,"publicationDate":"2022-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42382780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Decoherence for Markov chains 马尔可夫链的退相干
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2022-02-16 DOI: 10.1080/17442508.2022.2124871
F. Fidaleo, E. Vincenzi
{"title":"Decoherence for Markov chains","authors":"F. Fidaleo, E. Vincenzi","doi":"10.1080/17442508.2022.2124871","DOIUrl":"https://doi.org/10.1080/17442508.2022.2124871","url":null,"abstract":"It is known that the subspace generated by the eigenvectors pertaining to the peripheral spectrum of any stochastic matrix is canonically equipped with a structure of a (finite-dimensional abelian) -algebra under a canonical new product introduced by E.G. Effros and M.-D. Choi. We prove that the restriction of the action of such a stochastic matrix to this subspace is indeed a -automorphism. The following new decoherence result is then established: any Markov chain encodes a conservative -dynamical system, after isolation of the persistent part from the transient one. This result gives a partial answer to the general and currently unsolved decoherence problem for a relevant class of systems.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"38 1","pages":"867 - 877"},"PeriodicalIF":1.7,"publicationDate":"2022-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79203536","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Tempered exponential dichotomies for linear random evolution equations 线性随机演化方程的回火指数二分类
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2022-02-10 DOI: 10.1080/17442508.2022.2034820
Le Duc Nhien, Nguyen Huu Du, Le Huy Tien, Nguyen Trong Hieu
{"title":"Tempered exponential dichotomies for linear random evolution equations","authors":"Le Duc Nhien, Nguyen Huu Du, Le Huy Tien, Nguyen Trong Hieu","doi":"10.1080/17442508.2022.2034820","DOIUrl":"https://doi.org/10.1080/17442508.2022.2034820","url":null,"abstract":"This paper is concerned with the tempered exponential dichotomy for random differential systems in Banach spaces. Based on the presentation of bounded solutions for a tempered exponential dichotomous system, we give a bound under which the tempered exponentially dichotomous property of perturbed systems is preserved. Some applications of our results to stochastic partial differential equations are considered.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"48 1","pages":"1 - 22"},"PeriodicalIF":1.7,"publicationDate":"2022-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86417479","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A contagion process with self-exciting jumps in credit risk applications 信用风险应用出现自激跳跃的传染过程
IF 1.7 2区 经济学
Finance and Stochastics Pub Date : 2022-02-08 DOI: 10.1080/17442508.2022.2041641
P. Pasricha, Dharmaraja Selvamuthu, Selvaraju Natarajan
{"title":"A contagion process with self-exciting jumps in credit risk applications","authors":"P. Pasricha, Dharmaraja Selvamuthu, Selvaraju Natarajan","doi":"10.1080/17442508.2022.2041641","DOIUrl":"https://doi.org/10.1080/17442508.2022.2041641","url":null,"abstract":"The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a significant role in allocating capital for solvency purposes. In this article, we derive a closed-form expression for the default probability of a single firm and probability of the total number of defaults by time $t$ in a homogeneous portfolio. We use a contagion process to model the arrival of credit events causing the default and develop a framework that allows firms to have resistance against default unlike the standard intensity-based models. We assume the point process driving the credit events is composed of a systematic and an idiosyncratic component, whose intensities are independently specified by a mean-reverting affine jump-diffusion process with self-exciting jumps. The proposed framework is competent of capturing the feedback effect. We further demonstrate how the proposed framework can be used to price synthetic collateralized debt obligation (CDO). Finally, we present the sensitivity analysis to demonstrate the effect of different parameters governing the contagion effect on the spread of tranches and the expected loss of the CDO.","PeriodicalId":50447,"journal":{"name":"Finance and Stochastics","volume":"68 1","pages":"79 - 98"},"PeriodicalIF":1.7,"publicationDate":"2022-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88106374","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","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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