共查询到10条相似文献,搜索用时 109 毫秒
1.
Lin Qingquan 《高校应用数学学报(英文版)》2000,15(3):289-296
In this paper the existence and uniqueness of the smallest g-supersolution for BSDE is discussed in the case without Lipschitz condition imposing on both constraint function and drift
coefficient in the different method from the one with Lipschitz condition. Then by considering (ξ, g) as a parameter of BSDE, and (ξ
α, g
α) as a class of parameters for BSDE, where α belongs to a set
, for every
there exists a pair of solution {Y
a, Za} for the BSDE, the properties of
which is also a solution for some BSDE is studied. This result may be used to discuss optimal problems with recursive utility.
This work was supported by NSFC (79790130) 相似文献
2.
Asset Pricing with Stochastic Volatility 总被引:1,自引:0,他引:1
In this paper we study the asset pricing problem when the volatility is random. First, we derive a PDE for the risk-minimizing
price of any contingent claim. Secondly, we assume that the volatility process \si
t
is observed through an observation process Y
t
subject to random error. A price formula and a PDE are then derived regarding the stock price S
t
and the observation process Y
t
as parameters. Finally, we assume that S
t
is observed. In this case we have a complete market and any contingent claim is then priced by an arbitrage argument instead
of by risk-minimizing.
Accepted 15 August 2000. Online publication 8 December 2000. 相似文献
3.
We establish a connection between the structure of a stationary symmetric α-stable random field (0<α<2) and ergodic theory of non-singular group actions, elaborating on a previous work by Rosiński (Ann. Probab. 28:1797–1813,
2000). With the help of this connection, we study the extreme values of the field over increasing boxes. Depending on the ergodic
theoretical and group theoretical structures of the underlying action, we observe different kinds of asymptotic behavior of
this sequence of extreme values.
Supported in part by NSF grant DMS-0303493, NSA grant MSPF-05G-049 and NSF training grant “Graduate and Postdoctoral Training
in Probability and Its Applications” at Cornell University. 相似文献
4.
It is shown that the unique solution of } can be represented as { } where X=(X
t
, t≥ 0) is a stable process whose generator is (-Δ)
α/2
with X
0
=0 .
Accepted 24 July 2000. Online publication 13 November 2000. 相似文献
5.
6.
7.
Tahir Choulli Christoph Stricker Leszek Krawczyk 《Probability Theory and Related Fields》1999,113(4):571-597
In a previous paper we introduced a new concept, the notion of ℰ-martingales and we extended the well-known Doob inequality
(for 1 < p < + ∞) and the Burkholder–Davis–Gundy inequalities (for p = 2) to ℰ-martingales. After showing new Fefferman-type inequalities that involve sharp brackets as well as the space bmo
q
, we extend the Burkholder–Davis–Gundy inequalities (for 1 < p < + ∞) to ℰ-martingales. By means of these inequalities we give sufficient conditions for the closedness in L
p
of a space of stochastic integrals with respect to a fixed ℝd-valued semimartingale, a question which arises naturally in the applications to financial mathematics. Finally we investigate
the relation between uniform convergence in probability and semimartingale topology.
Received: 22 July 1997 / Revised version: 3 July 1998 相似文献
8.
We consider a continuous time multivariate financial market with proportional transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in Bouchard and Touzi [B. Bouchard, N. Touzi, Explicit solution of the multivariate super-replication problem under transaction costs, The Annals of Applied Probability 10 (3) (2000) 685–708] except that some of the assets can be exchanged freely, i.e. without paying transaction costs. In this context, we generalize the result of the above paper and prove that the super-replication price is given by the cost of the cheapest hedging strategy in which the number of non-freely exchangeable assets is kept constant over time. Our proof relies on the introduction of a new auxiliary control problem whose value function can be interpreted as the super-hedging price in a model with unbounded stochastic volatility (in the directions where transaction costs are non-zero). In particular, it confirms the usual intuition that transaction costs play a similar role to stochastic volatility. 相似文献
9.
Let X be a Banach space and let
A be a closed linear operator on
X. It is shown that the abstract Cauchy problem
enjoys maximal regularity in weighted
L
p
-spaces with weights
, where
,
if and only if it has the property of maximal
L
p
-regularity.
Moreover, it is also shown that the derivation operator
admits an
-calculus in weighted
L
p
-spaces.
Received: 26 February 2003 相似文献