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作者：Detemple, J; Feng, S; Tian, WD
作者单位：Boston University; University of Waterloo; McMaster University
摘要：This paper examines the valuation of call options on the minimum of two dividend-paying assets. We show that the optimal exercise boundary consists of three components, two continuous curves and one component along the diagonal with empty interior. The option price is shown to satisfy the early exercise premium representation in which the gains from exercise involve the local time of the minimum of the two underlying asset prices. A system of recursive integral equations for the exercise bound...
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作者：Chen, MF; Wang, YZ
作者单位：Beijing Normal University
摘要：Algebraic convergence in the L-2-sense is studied for general time-continuous, reversible Markov chains with countable state space, and especially for birth-death chains. Some criteria for the convergence are presented. The results are effective since the convergence region can be completely covered, as illustrated by two examples.
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作者：Asselah, A; Castell, F
作者单位：Aix-Marseille Universite
摘要：We show the existence of nontrivial quasi-stationary measures for conservative attractive particle systems on Z(d) conditioned on avoiding an increasing local set A. Moreover, we exhibit a sequence of measures {nu(n)} whose omega-limit set consists of quasi-stationary measures. For zero-range processes, with stationary measure nu(rho), we prove the existence of an L-2(nu(rho)) nonnegative eigenvector for the generator with Dirichlet boundary on A, after establishing a priori bounds on the {nu(...
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作者：Klein, I
作者单位：University of Vienna
摘要：A large financial market is described by a sequence of traditional market models with finite numbers of assets. There are various concepts in the spirit of no asymptotic arbitrage related to the contiguity of a sequence of equivalent martingale measures with respect to the sequence of historical probabilities. In this article, I show that in the case of continuous price processes, the existence of a bicontiguous sequence of martingale measures is equivalent to the property of no asymptotic fre...
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作者：Duffie, D; Filipovic, D; Schachermayer, W
作者单位：Stanford University; Technische Universitat Wien; Princeton University
摘要：We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foundations for, a wide range of financial applications for regular affine processes.
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作者：Latouche, G; Remiche, MA; Taylor, P
作者单位：Universite Libre de Bruxelles; Universite Libre de Bruxelles; University of Melbourne
摘要：We define the family of transient Markov arrival processes (transient MAPS) which combine features of transient (or terminating) renewal processes and of the well-known MAPS: transient MAPS are point processes on the line, controlled by a finite Markov chain, which almost surely comprise a finite number of points. We analyze their basic properties.
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作者：Alanyali, M
作者单位：Boston University; Boston University
摘要：Two channel assignment policies are considered for a Kelly type loss network with an additional channel continuity requirement. It is assumed that the channels on any given link have distinct identities, and that a connection should be assigned channels with a common identity on all links of its route. Such constraints arise in circuit switched WDM optical networks and wireless cellular networks. A functional law of large numbers, which was previously developed by Hunt and Kurtz and later refi...
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作者：Alvarez, LHR
作者单位：University of Turku
摘要：We consider the convexity and comparative static properties of a class of r-harmonic mappings for a given linear, time-homogeneous and regular diffusion process. We present a set of weak conditions under which the minimal r-excessive mappings for the considered diffusion are convex and under which an arbitrary nontrivial r-excessive mapping is convex on the regions where it is r-harmonic. Consequently, we are able to present a set of usually satisfied, conditions under which increased volatili...
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作者：Stacey, A
作者单位：University of Cambridge
摘要：Partial immunization processes are generalizations of the contact process in which the susceptibility of a site to infection depends on whether or not it has been previously infected. Such processes can exhibit a phase of weak survival, in which the process survives but drifts off to infinity, even on graphs such as Z(d), where no such phase exists for the contact process. We establish that whether or not strong survival occurs depends only on the rate at which sites are reinfected and not on ...
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作者：Kramkov, D; Schachermayer, W
作者单位：Carnegie Mellon University; Technische Universitat Wien
摘要：Following Ann. Appl. Probab. 9 (1999) 904-950 we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true. In the previous paper we proved that a minimal condition on the utility function alone, that is, a minimal market independent condition, is that the asymptotic elasticity of the utility function is strictly less tha...
