考虑成交量的股票收益率的渐近分布

在本文中, 我们提出了一类直接描述多只股票收益率受股票本身的量价影响及其它股票的量价影响下的非线性统计模型. 我们证明了在不同的参数取值下, 收益率序列分别依分布收敛于L\'evy指数稳定分布和L\'evy稳定分布.     

二参数L{\'e}vy区域在Holder 范数下的局部Strassen重对数律

利用大偏差,得到了二参数L\'evy区域在H\"older 范数下的局部Strassen重对数律.     

随机环境中分枝过程灭绝概率的性质

本文给出了随机环境中分枝过程概率母函数以及灭绝概率的性质.     

Galton-Watson分支过程的谱半径的概率刻画

谱半径是不可约马尔可夫链的一个很重要的特征数字.Galton-Watson分支过程是一类特殊的马尔可夫链,我们已经证明了在不可约的条件下,Galton-Watson分支过程的谱半径等于其对应的概率母函数f(s)在灭绝概率q点的导数值.本文主要从理论上刻画从过程的任何状态逃离速度的Galton-Watson分支过程的谱半径的概率意义.     

随机环境中依赖年龄的分枝过程

考虑随机环境中依赖年龄的分枝过程.
环境$\xi = (\xi_0,\xi_1, \ldots)$是平稳遍历的随机变量序列.
给定环境$\xi$, 该过 程是非齐次的Galton-Watson过程,
第$n$代粒子的寿命分布为$\R_+$上的概率分布$G(\xi_n)$,
每个粒子根据$\N$上的概率分布 $p(\xi_n)$独立地产生后代.
令$Z(t)$表示$t$时刻存活的粒子数. 首先,
以一个函数方程给出了在环境$\xi$下$Z(t)$的条件概率母函数的性质;
通过与一个嵌入分枝过程作比较, 得到了过程几乎必然灭绝的判别准则.
然后, 得到条件均值$E_\xi Z(t)$和
整体均值$EZ(t)$的表达式,并通过研究随机环境中的更新过程,给出了两均值的指数增长率.     

应用推广的比较法得到的概率估计的几个结果

我们推广了比较法, 提出一个新方法得到 概率$\pr(X\leq t)$的可达的半参数界, 这里$X\in[0,M]$有给定的\, $\ep X=m_1$和$\ep X^2=m_2$. 我们的证明是初等的.     

在风险投资下破产概率的一个渐近显式

在本文中, 我们研究了一个离散时间风险模型的破产概率\bd 在此风险模型中, 保险公司的剩余资本被用于进行风险投资\bd 我们运用纯概率的手法建立了无限时间破产概率的渐近显式, 从而将Tang和Tsitsiashvili (2003)近期的一个结果推广到了无限时间的场合.     

非灭绝条件下超过程的一些性质

在不灭绝的条件概率下的超过程简称为条件超过程. 考虑条件超过程(下临界或临界的情形)的一些性质. 首先, 对条件超过程总占位时测度在紧集上有限这一随机事件的概率给出了一个等价刻画, 并且给了这个等价刻画的一个应用. 我们的结果是已有结果从特殊分支机制 $r^{1+\beta}$到一般分支机制的推广. 还给出已有结果中一 个论断在 $d=3,4$ 时的新证明. 然后, 研究条件二分支超Brown运动的局部灭绝性质. 当$d=1$时, $\,X_t/\sqrt{t}\,$ 弱收敛到 $\eta\lambda$, 其中$\eta$ 是正的随机变量, $\lambda$是$\R$上的Lebesgue 测度; 当 $d\geq 2$ 时, 条件二分支超Brown运动 $\{X_t\}$ 在依概率意义下是局部灭绝的.     

树上路径过程的随机路径条件概率的极限性质

本文研究了树上路径过程的极限性质.利用构造鞅的方法得到了树上路径过程的条件概率调和平均的极限性质.所得结果推广了树上非齐次马氏链随机转移概率和任意随机变量序列随机条件概率的调和平均极限性质.     

竞争型二元风险模型破产概率

本文研究了竞争型的二元风险模型,定义了两类破产概率以及状态过程,利用经典风险模型的已有结果和条件期望的性质,得到两类破产概率表达式,以及单个保险公司有限时间破产概率和最终破产概率,并给出两个保险公司的状态过程的概率分布列.     

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In this paper, we introduce a concept of Poisson $p$-mean almost automorphy for stochastic processes and give the composition theorems for (Poisson) $p$-mean almost automorphic functions under non-Lipschitz conditions. Our abstract results are, subsequently, applied to study a class of neutral stochastic evolution equations driven by L\'evy noise, and we present sufficient conditions for the existence of square-mean almost automorphic mild solutions. An example is provided to illustrate the effectiveness of the proposed result.     

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??In this paper, we consider the optimal dividend problem in the spectrally positive L\'{e}vy model with regime switching. By an auxiliary optimal problem, the principle of dynamic programming and the fluctuation theory of L\'{e}vy processes, we show that optimal strategy is a modulated barrier strategy. The value function and the optimal dividend barrier are obtained by iteration.     

Ruin probability and joint distributions of some actuarial random vectors in the compound pascal model

The compound negative binomial model,introduced in this paper,is a discrete time version.We discuss the Markov properties of the surplus process,and study the ruin probability and the joint distributions of actuarial random vectors in this model.By the strong Markov property and the mass function of a defective renewal sequence,we obtain the explicit expressions of the ruin probability,the finite-horizon ruin probability,the joint distributions of T,U(T-1),|U(T)| and 0≤inn相似文献   

基于傅里叶级数展开式的有效期权定价方法

A novel option pricing method based on Fourier-cosine series expansion was proposed by Fang and Oosterlee. Developing their idea, three new option pricing methods based on Fourier, Fourier-cosine and Fourier-sine series expansions are presented in this paper, which are more efficient when the option prices are calculated with many strike prices. A series of numerical experiments under different exp-L~vy models are also given to compare these new methods with the Fang and Oosterlee＇s method and other methods.     

Occupation times of spectrally negative Lévy processes with applications

In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results for standard Brownian motion and jump-diffusion processes. The results are expressed in terms of the so-called scale functions of the spectrally negative Lévy process and its Laplace exponent. Applications to insurance risk models are also presented.     

广义复合二项风险模型的若干大偏差结果

This paper is a further investigation of large deviation for partial and random sums of random variables, where {Xn,n ≥ 1} is non-negative independent identically distributed random variables with a common heavy-tailed distribution function F on the real line R and finite mean μ∈ R. {N（n）,n ≥ 0} is a binomial process with a parameter p ∈ （0,1） and independent of {Xn,n ≥ 1}; {M（n）,n ≥ 0} is a Poisson process with intensity λ 〉 0, Sn = ΣNn i=1 Xi-cM（n）. Suppose F ∈ C, we futher extend and improve some large deviation results. These results can apply to certain problems in insurance and finance.     

Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation

In this paper, we propose a nonparametric estimator for the ruin probability in a spectrally negative Lévy risk model based on low-frequency observation. The estimator is constructed via the Fourier transform of the ruin probability. The convergence rates of the estimator are studied for large sample size. Some simulation results are also given to show the performance of the proposed method when the sample size is finite.     

On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes

This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Poisson process while capital can be injected continuously in time. We show the optimality of the regime-modulated Parisian-classical reflection strategy when the underlying risk model follows a general spectrally negative Markov additive process. In order to verify the optimality, first we study an auxiliary problem driven by a single spectrally negative Lévy process with a final payoff at an exponential terminal time and characterize the optimal dividend strategy. Then, we use the dynamic programming principle to transform the global regime-switching problem into an equivalent local optimization problem with a final payoff up to the first regime switching time. The optimality of the regime modulated Parisian-classical barrier strategy can be proven by using the results from the auxiliary problem and approximations via recursive iterations.     

延迟Min(N,D)-策略的M/G/1排队系统的队长分布与数值计算

考虑延迟Min(N,D)-策略的M/G/1排队系统.运用更新过程理论、全概率分解技术和Laplace变换工具,从任意初始状态出发,研究了队长的瞬态和稳态性质,获得了瞬态队长分布的Laplace变换的递推表达式和稳态队长分布的递推表达式,同时求出了附加队长分布的显示表达式.进一步讨论了当N→∞,或D→∞,或N=1且P{Y=0}=1,或P{Y=0}=1时的特殊情形.最后通过数值实例,讨论了稳态队长分布对系统参数的敏感性,并阐述了稳态队长分布的表达式在系统容量优化设计中的重要价值.