一类非齐次树上的Shannon-McMillan定理

通过构造适当的辅助鞅差序列,利用鞅差序列的收敛定理给出了一类特殊非齐次树上具有a.e.收敛性质的Shannon-M cM illan定理.     

Asymptotic analysis of option pricing in a Markov modulated market

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.     

马尔可夫过程H-值可加泛函的向前向后鞅分解

本文研究了马尔可夫H-值可加泛函的向前向后鞅分解.利用Lyons-Meyer-Zheng鞅分解得到了泛函数极限定理所必需的极大不等式和紧性结果,在最小条件限度内得到了马尔可夫过程经验测度的泛函中心极限定理,将该定理从实值情形推广到了希尔伯特值情形.     

Pseudo-localization of singular integrals and noncommutative Calderón-Zygmund theory

The weak type (1,1) boundedness of singular integrals acting on matrix-valued functions has remained open since the 1980s, mainly because the methods provided by the vector-valued theory are not strong enough. In fact, we can also consider the action of generalized Calderón-Zygmund operators on functions taking values in any other von Neumann algebra. Our main tools for its solution are two. First, the lack of some classical inequalities in the noncommutative setting forces to have a deeper knowledge of how fast a singular integral decreases—L₂ sense—outside of the support of the function on which it acts. This gives rise to a pseudo-localization principle which is of independent interest, even in the classical theory. Second, we construct a noncommutative form of Calderón-Zygmund decomposition by means of the recent theory of noncommutative martingales. This is a corner stone in the theory. As application, we obtain the sharp asymptotic behavior of the constants for the strong Lp inequalities, also unknown up to now. Our methods settle some basics for a systematic study of a noncommutative Calderón-Zygmund theory.     

Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes

In this paper, a new class of generalized backward doubly stochastic differential equations (GBDSDEs in short) driven by Teugels martingales associated with Lévy process and the integral with respect to an adapted continuous increasing process is investigated. We obtain the existence and uniqueness of solutions to these equations. A probabilistic interpretation for solutions to a class of stochastic partial differential integral equations (PDIEs in short) with a nonlinear Neumann boundary condition is given.     

Piecewise linear processes with Poisson‐modulated exponential switching times

We consider the jump telegraph process when switching intensities depend on external shocks also accompanying with jumps. The incomplete financial market model based on this process is studied. The Esscher transform, which changes only unobservable parameters, is considered in detail. The financial market model based on this transform can price switching risks as well as jump risks of the model.     

Martingale property of empirical processes

It is shown that for a large collection of independent martingales, the martingale property is preserved on the empirical processes. Under the assumptions of independence and identical finite-dimensional distributions, it is proved that a large collection of stochastic processes are martingales essentially if and only if the empirical processes are also martingales. These two results have implications on the testability of the martingale property in scientific modeling. Extensions to submartingales and supermartingales are given.

     

Vector-valued weak martingale Hardy spaces and atomic decompositions

Some atomic decomposition theorems are proved in vector-valued weak martingale Hardy spaces w _p Σ_α(X), w _p Q _α(X) and wD _α(X). As applications of atomic decompositions, a sufficient condition for sublinear operators defined on some vector-valued weak martingale Hardy spaces to be bounded is given. In particular, some weak versions of martingale inequalities for the operators f*, S ^(p)(f) and σ^(p)(f) are obtained. This research was supported by the National Science Foundation of China (No. 10371093).     

考虑死亡风险下权益指数年金的定价

权益指数年金(Equity Indexed Annuities)是欧美市场近十年发展起来的一类新型年金产品,有最小收益保证,在最小保证基础上与预先设定好的某类股指收益相关联．本文在考虑死亡风险情况下,对简单点对点和年度重设两种指数计算方法下权益指数年金的定价问题作了研究,给出了定价公式并对参与率作了敏感性分析．     

Generalized jump-type Ornstein-Uhlenbeck processes as limits of infinite-particle systems

We prove the existence and uniquencess of the solution to the martingale problem associated with jump-type Ornstein-Uhlenbeck processes in the Schwartz space of distributions onR ^d. An example of a noninteracting infinite-particle system is given, which after rescaling has such a process as a limit. Cases when such a process has an invariant measure are identified.