-
作者：Korolyuk, VS; Limnios, N
作者单位：National Academy of Sciences Ukraine; Institute of Mathematics of NASU; Universite de Technologie de Compiegne
摘要：Stochastic evolutionary systems of additive functional type, described by processes with locally independent increments, are considered with Markov switching in an asymptotic split state space having a stoppage state. The average and diffusion approximation limit theorems are established in both single and double merging. The proofs of these results are obtained using a singular perturbation approach of linear reducible-invertible operators and the tightness of processes. Particular cases of t...
-
作者：Zhang, JF
作者单位：University of Southern California
摘要：In this paper we propose a numerical scheme for a class of backward stochastic differential equations (BSDEs) with possible path-dependent terminal values. We prove that our scheme converges in the strong L-2 sense and derive its rate of convergence. As an intermediate step we prove an L-2-type regularity of the solution to such BSDEs. Such a notion of regularity, which can be thought of as the modulus of continuity of the paths in an L-2 sense, is new. Some other features of our scheme includ...
-
作者：Dalang, RC; Hongler, MO
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：We consider the problem of finding the optimal time to sell a stock, subject to a fixed sales cost and an exponential discounting rate P. We assume that the price of the stock fluctuates according to the equation dY(t) = Y-t(mudt + sigmaxi(t)dt), where (xi(t)) is an alternating Markov renewal process with values in {+/-1}, with an exponential renewal time. We determine the critical value of p under which the value function is finite. We examine the validity of the principle of smooth fit and u...
-
作者：Schied, A
作者单位：Technical University of Berlin
摘要：Motivated by optimal investment problems in mathematical finance, we consider a variational problem of Neyman-Pearson type for law-invariant robust utility functionals and convex risk measures. Explicit solutions are found for quantile-based coherent risk measures and related utility functionals. Typically, these solutions exhibit a critical phenomenon: If the capital constraint is below some critical value, then the solution will coincide with a classical solution; above this critical value, ...
-
作者：Litvak, N; van Zwet, WR
作者单位：University of Twente; Leiden University - Excl LUMC; Leiden University
摘要：Consider n items located randomly on a circle of length 1. The locations of the items are assumed to be independent and uniformly distributed on [0, 1). A picker starts at point 0 and has to collect all n items by moving along the circle at unit speed in either direction. In this paper we study the minimal travel time of the picker. We obtain upper bounds and analyze the exact travel time distribution. Further, we derive closed-form limiting results when n tends to infinity. We determine the b...
-
作者：Goldstein, L
作者单位：University of Southern California
摘要：Given F: [a,b](k) --> [a,b] and a nonconstant X-0 with P(X-0 is an element of [a,b]) = 1, define the hierarchical sequence of random variables {X-n}(ngreater than or equal to0) by Xn+1 = F(X-n,X-1,...,X-n,X-k), where X-n,X-i are i.i.d. as X-n. Such sequences arise from hierarchical structures which have been extensively studied in the physics literature to model, for example, the conductivity of a random medium. Under an averaging and smoothness condition on nontrivial F, an upper bound of the...
-
作者：Albin, JMP; Samorodnitsky, G
作者单位：Chalmers University of Technology; Cornell University; Cornell University
摘要：Let {X(t)}(tgreater than or equal to0) be a locally bounded and infinitely divisible stochastic process, with no Gaussian component, that is self-similar with index H > 0. Pick constants gamma > H and c > 0. Let nu be the Levy measure on R-[0,R-infinity) of X, and suppose that R(u) equivalent to nu({y epsilon R-[0,R-infinity) :sup(tgreater than or equal to0) y(t)1/(1 + ct(gamma)) > u}) is suitably heavy tailed as u --> infinity (e.g., subexponential with positive decrease). For the storage pro...
-
作者：Konda, VR; Tsitsiklis, JN
作者单位：Massachusetts Institute of Technology (MIT)
摘要：We study the rate of convergence of linear two-time-scale stochastic approximation methods. We consider two-time-scale linear iterations driven by i.i.d. noise, prove some results on their asymptotic covariance and establish asymptotic normality. The well-known result [Polyak, B. T. (1990). Automat. Remote Contr 51 937-946; Ruppert, D. (1988). Technical Report 781, Cornell Univ.] on the optimality of Polyak-Ruppert averaging techniques specialized to linear stochastic approximation is establis...
-
作者：Biagini, S; Frittelli, M
作者单位：University of Perugia; University of Florence
摘要：In an incomplete market the price of a claim f in general cannot be uniquely identified by no arbitrage arguments. However, the classical super replication price is a sensible indicator of the (maximum selling) value of the claim. When f satisfies certain pointwise conditions (e.g., f is bounded from below), the super replication price is equal to sup(Q) E-Q[f], where Q varies on the whole set of pricing measures. Unfortunately, this price is often too high: a typical situation is here discuss...
-
作者：Lasserre, JB
作者单位：Centre National de la Recherche Scientifique (CNRS)
