A note on arbitrage,approximate arbitrage and the fundamental theorem of asset pricing

We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing by B. Wong and C.C. Heyde [Stochastics 82 (2010), pp. 189–200] in the context of incomplete Itô-process models. We show that their approach can only work in the known case of a complete financial market model and give an explicit counter example.     

股票价格随机变动的内生性解释及其应用

建立了一个非对称信息下的重复博弈模型来刻画股票市场中庄家和散户的博弈行为,推导出股票价格的折现过程服从一个由布朗运动驱动的鞅过程,并给出股票价格随机变动的内生性解释:在博弈过程中庄家为了隐藏散户所不知道的信息采用随机化策略来迷惑对手,从而导致股票价格的随机变动.在此基础上,进一步研究了相应的期权定价问题并给出期权定价公式.     

有随机投资回报的随机保费模型的渐近破产概率(英文)

本文研究了随机投资回报环境下扰动的随机保费模型的破产问题.利用鞅方法和随机分析的理论讨论了盈余过程的一些基本性质,得到了一个可以用来求解破产时刻的Laplace变换的积分微分方程,结果推广了已有的随机投资问报风险模型的结论.     

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??In this paper, we consider the optimal investment strategy which maximizes the utility of the terminal wealth of an insurer with SAHARA utility functions. This class of utility functions has non-monotone absolute risk aversion, which is more flexible than the CARA and CRRA utility functions. In the case that the risk process is modeled as a Brownian motion and the stock process is modeled as a geometric Brownian motion, we get the closed-form solutions for our problem by the martingale method for both the constant threshold and when the threshold evolves dynamically according to a specific process. Finally, we show that the optimal strategy is state-dependent.     

一个风险模型的研究

研究了索赔到达过程为平稳无后效流,保单到达过程为平稳无后效流,并带扩散扰动项的盈余过程．讨论了该盈余过程的马尔科夫性和鞅性．然后用鞅方法得到其破产概率的表达式及其相应的Lundberg不等式．     

Densely defined non‐closable curl on carpet‐like metric measure spaces

The paper deals with the possibly degenerate behaviour of the exterior derivative operator defined on 1‐forms on metric measure spaces. The main examples we consider are the non self‐similar Sierpinski carpets recently introduced by Mackay, Tyson and Wildrick. Although topologically one‐dimensional, they may have positive two‐dimensional Lebesgue measure and carry nontrivial 2‐forms. We prove that in this case the curl operator (and therefore also the exterior derivative on 1‐forms) is not closable, and that its adjoint operator has a trivial domain. We also formulate a similar more abstract result. It states that for spaces that are, in a certain way, structurally similar to Sierpinski carpets, the exterior derivative operator taking 1‐forms into 2‐forms cannot be closable if the martingale dimension is larger than one.