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作者：Budhiraja, A; Ghosh, AP
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：In this work we study the problem of asymptotically optimal control of a well-known multi-class queuing network, referred to as the crisscross network, in heavy traffic. We consider exponential inter-arrival and service times, linear holding cost and an infinite horizon discounted cost criterion. In a suitable parameter regime, this problem has been studied in detail by Martins, Shreve and Soner [SIAM J. Control Optim. 34 (1996) 21332171] using viscosity solution methods. In this work, using t...
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作者：Hu, Y; Imkeller, P; Müller, M
作者单位：Universite de Rennes; Humboldt University of Berlin
摘要：We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by closed, but not necessarily convex, sets. The final wealths obtained by trading under these constraints are identified as stochastic processes which usually are supermartingales, and even martingales for particular strategies. These strategies are seen to be opti...
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作者：Zhang, JF
作者单位：University of Southern California
摘要：In this paper we investigate a class of decoupled forward-backward SDEs, where the volatility of the FSDE is degenerate and the terminal value of the BSDE is a discontinuous function of the FSDE. Such an FBSDE is associated with a degenerate parabolic PDE with discontinuous terminal condition. We first establish a Feynman-Kac type representation formula for the spatial derivative of the solution to the PDE. As a consequence, we show that there exists a stopping time tau such that the martingal...
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作者：Morrow, GJ; Zhang, Y
作者单位：University of Colorado System; University of Colorado at Colorado Springs
摘要：Let L-n denote the lowest crossing of a square 2n x 2n box for critical site percolation on the triangular lattice imbedded in Z(2). Denote also by F-n the pioneering sites extending below this crossing, and Q(n) the pivotal sites on this crossing. Combining the recent results of Smimov and Werner [Math. Res. Lett. 8 (2001) 729-744] on asymptotic probabilities of multiple arm paths in both the plane and half-plane, Kesten's [Comm. Math. Phys. 109 (1987) 109-156] method for showing that certain...
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作者：Alili, L; Kyprianou, AE
作者单位：University of Warwick; Utrecht University
摘要：The purpose of this article is to provide, with the help of a fluctuation identity, a generic link between a number of known identities for the first passage time and overshoot above/below a fixed level of a Levy process and the solution of Gerber and Shiu [Astin Bull. 24 (1994) 195-220], Boyarchenko and Levendorskii [Working paper series EERS 98/02 (1998), Unpublished manuscript (1999), SIAM J Control Optim. 40 (2002) 1663-1696], Chan [Original unpublished manuscript (2000)], Avram, Chan and ...
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作者：Wagner, W
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics
摘要：First we establish explosion criteria for jump processes with an arbitrary locally compact separable metric state space. Then these results are applied to two stochastic coagulation-fragmentation models-the direct simulation model and the mass flow model. In the pure coagulation case, there is almost sure explosion in the mass flow model for arbitrary homogeneous coagulation kernels with exponent bigger than 1. In the case of pure multiple fragmentation with a continuous size space, explosion ...
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作者：Bovier, A; Faggionato, A
作者单位：Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics; Technical University of Berlin
摘要：We review the aging phenomenon in the context of the simplest trap model, Bouchaud's REM-like trap model, from a spectral theoretic point of view. We show that the generator of the dynamics of this model can be diagonalized exactly. Using this result, we derive closed expressions for correlation functions in terms of complex contour integrals that permit an easy investigation into their large time asymptotics in the thermodynamic limit. We also give a grand canonical representation of the mode...
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作者：Cheridito, P; Filipovic, D; Yor, M
作者单位：Princeton University; University of Munich; Universite Paris Cite; Sorbonne Universite
摘要：We provide explicit sufficient conditions for absolute continuity and equivalence between the distributions of two jump-diffusion processes that can explode and be killed by a potential.
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作者：Gobet, E; Lemor, JP; Warin, X
作者单位：Institut Polytechnique de Paris; ENSTA Paris; Ecole Polytechnique; Electricite de France (EDF)
摘要：We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo simulations. A full convergence analysis is derived. Numerical experiments about finance are included, in particular, concerning option pricing with differential interest rates.
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作者：Baudoin, F; Teichmann, J
作者单位：Technische Universitat Wien
摘要：We apply methods from Malliavin calculus to prove an infinite-dimensional version of Hormander's theorem for stochastic evolution equations in the spirit of Da Prato-Zabczyk. This result is used to show that HJM-equations from interest rate theory, which satisfy the Hormander condition, have the conceptually undesirable feature that any selection of yields admits a density as multi-dimensional random variable.
