Feynman-Kac Formula for Left Continuous Additive Functionals and Extended Kato Class Measures

The perturbation of the generator of a Borel right process by a signed measure is investigated, using probabilistic and analytic potential theoretical methods. We establish a Feynman-Kac formula associated with measures charging no polar set and belonging to an extended Kato class. A main tool of this approach is the validity of a Khas’minskii Lemma for Stieltjes exponentials of positive left continuous additive functionals.      

Reflected BSDE's with discontinuous barrier and application

We deal with reflected backward stochastic differential equations with right continuous and left limited barrier. We show the existence and uniqueness of the solution and we give a comparison theorem. As an application, we study the link between such an equations with stochastic mixed control problems.     

Stochastic integral representation theorem for quantum semimartingales

The quantum stochastic integral of Itô type formulated by Hudson and Parthasarathy is extended to a wider class of adapted quantum stochastic processes on Boson Fock space. An Itô formula is established and a quantum stochastic integral representation theorem is proved for a class of unbounded semimartingales which includes polynomials and (Wick) exponentials of the basic martingales in quantum stochastic calculus.     

Two stochastic dominance criteria based on tail comparisons

Actuarial risks and financial asset returns are typically heavy tailed. In this paper, we introduce 2 stochastic dominance criteria, called the right‐tail order and the left‐tail order, to compare these variables stochastically. The criteria are based on comparisons of expected utilities, for 2 classes of utility functions that give more weight to the right or the left tail (depending on the context) of the distributions. We study their properties, applications, and connections with other classical criteria, including the increasing convex and the second‐order stochastic dominance. Finally, we rank some parametric families of distributions and provide empirical evidence of the new stochastic dominance criteria with an example using real data.     

Reflected backward stochastic differential equation with jumps and RCLL obstacle

In this paper we study one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process when the solution is forced to stay above a right continuous left limits obstacle. We prove existence and uniqueness of the solution by using a penalization method combined with a monotonic limit theorem.     

利用传染模型对含有对手风险的信用证券定价(英文)

本文利用传染模型研究了可违约债券和含有对手风险的信用违约互换的定价。我们在约化模型中引入具有违约相关性的传染模型,该模型假设违约过程的强度依赖于由随机微分方程驱动的随机利率过程和交易对手的违约过程.本文模型可视为Jarrow和Yu(2001)及Hao和Ye(2011)中模型的推广.进一步地,我们利用随机指数的性质导出了可违约债券和含有对手风险的信用违约互换的定价公式并进行了数值分析.     

Reflected BSDEs with regulated trajectories

We consider reflected backward stochastic different equations with optional barrier and so-called regulated trajectories, i.e. trajectories with left and right finite limits. We prove existence and uniqueness results. We also show that the solution corresponds to the value of an optimal stopping problem and may be approximated by a modified penalization method.     

A recursive approach to mortality-linked derivative pricing

In this paper, we develop a recursive method to derive an exact numerical and nearly analytical representation of the Laplace transform of the transition density function with respect to the time variable for time-homogeneous diffusion processes. We further apply this recursion algorithm to the pricing of mortality-linked derivatives. Given an arbitrary stochastic future lifetime T, the probability distribution function of the present value of a cash flow depending on T can be approximated by a mixture of exponentials, based on Jacobi polynomial expansions. In case of mortality-linked derivative pricing, the required Laplace inversion can be avoided by introducing this mixture of exponentials as an approximation of the distribution of the survival time T in the recursion scheme. This approximation significantly improves the efficiency of the algorithm.     

Reflected backward doubly stochastic differential equations with discontinuous coefficients

In this paper, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous (left or right continuous) generator. We obtain an existence theorem and a comparison theorem for solutions of the class of RBDSDEs.     

Reflected backward doubly stochastic differential equations driven by a Lévy process

We prove the existence and uniqueness of a solution for reflected backward doubly stochastic differential equations (RBDSDEs) driven by Teugels martingales associated with a Lévy process, in which the obstacle process is right continuous with left limits (càdlàg), via Snell envelope and the fixed point theorem.     

Left-symmetric algebras and homogeneous improper affine spheres

The nonzero level sets in n-dimensional flat affine space of a translationally homogeneous function are improper affine spheres if and only if the Hessian determinant of the function is equal to a nonzero constant multiple of the nth power of the function. The exponentials of the characteristic polynomials of certain left-symmetric algebras yield examples of such functions whose level sets are analogues of the generalized Cayley hypersurface of Eastwood–Ezhov. There are found purely algebraic conditions sufficient for the characteristic polynomial of the left-symmetric algebra to have the desired properties. Precisely, it suffices that the algebra has triangularizable left multiplication operators and the trace of the right multiplication is a Koszul form for which right multiplication by the dual idempotent is projection along its kernel, which equals the derived Lie subalgebra of the left-symmetric algebra.     

The separability of the Hilbert space generated by a stochastic process

The separability of the Hilbert space generated by a stochastic process is one of the basic assumptions in the time-spectral analysis of stochastic processes. This assumption is either presupposed explicitly or, more often, obtained as a consequence of the assumption of existence of left and right limits of the process for any value of the time parameter. In this paper it is shown that the existence of a left limit only, for each value of the time parameter, is a sufficient condition for the separability of the Hilbert space generated by the process.     

The doubly stochastic matrix equations x:aty= A and X Aty=t

For a doubly stochastic matrix A, each of the equations x:a^ty= A and X A^ty=^t is shown to have doubly stochastic solutions X and Y if and only if A lies in a subgroup of the semigroup of all doubly stochastic matrices of a given order. All elements of this semigroup which are left regular, right regular, or intra-regular are identified.     

On separating the submajorization order into majorization and pointwise inequality

As is known, the Hardy–Littlewood–Pólya submajorization preorder among integrable real-valued functions separates into the concatenation of pointwise inequality and majorization, in this order, i.e., if $$ x\prec \prec y$$ , then there is a z with $$x\le z\prec y$$ . Submajorization also separates, in the other order, into majorization and inequality, i.e., if $$x\prec \prec y$$ , then there is a w with $$x\prec w\le y$$ and, as is shown here, such a w can be chosen to be nonnegative if both x and y are. It is also shown that the former separation result (existence of z) can be deduced from the latter one (existence of w) by using a doubly stochastic operator on the Banach space $$L^{\varrho }\left( T\right) $$ , where T is a finite measure space and $$\varrho \in \left[ 1,+\infty \right] $$ . The results are applied to a $$\prec \prec $$ -isotone real-valued function C on the nonnegative cone $$ L_{+}^{\varrho }\left( T\right) $$ and to its positive-part extension to all of $$L^{\varrho }\left( T\right) $$ , defined by $$C^{\dagger }\left( y\right) =C\left( y^{+}\right) $$ , whose economic interpretation, when $$ C\left( y\right) $$ is the joint cost of producing quantities $$\left( y\left( t\right) \right) _{t\in T}$$ of a spectrum of commodities, is that of adding free disposal to the technology.     

Multivalued backward stochastic differential equations with time delayed generators

Our aim is to study the following new type of multivalued backward stochastic differential equation: $$\left\{ \begin{gathered} - dY\left( t \right) + \partial \phi \left( {Y\left( t \right)} \right)dt \ni F\left( {t,Y\left( t \right),Z\left( t \right),Y_t ,Z_t } \right)dt + Z\left( t \right)dW\left( t \right), 0 \leqslant t \leqslant T, \hfill \\ Y\left( T \right) = \xi , \hfill \\ \end{gathered} \right.$$ where ? _φ is the subdifferential of a convex function and (Y _t , Z _t ):= (Y(t + θ), Z(t + θ)) _θ∈[?T,0] represent the past values of the solution over the interval [0, t]. Our results are based on the existence theorem from Delong & Imkeller, Ann. Appl. Probab., 2010, concerning backward stochastic differential equations with time delayed generators.     

Completeness and basis properties of systems of exponentials in weighted spaces L p(−π, π)

We consider the system of exponentials $e(\Lambda ) = \{ e^{i\lambda _n t} \} _{n \in \mathbb{Z}} $ , where $$\lambda _n = n + \left( {\frac{{1 + \alpha }}{p} + l(\left| n \right|)} \right) sign n,$$ l(t) is a slowly varying function, and l(t) → 0, t → ∞. We obtain an estimate for the generating function of the sequence {λ_n} and, with its help, find a completeness criterion and a basis condition for the system e(Λ) in the weight spaces L ^p(?π, π). We also study some special cases of the function l(t).     

Girsanov theorem for stochastic flows with interaction

We prove an analog of the Girsanov theorem for the stochastic differential equations with interaction

Continuous procedure of stochastic approximation in a semi-Markov medium

Using the Lyapunov function for an averaged system, we establish conditions for the convergence of the procedure of stochastic approximation

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??In this paper, we prove the existence and uniqueness of solutions for reflected backward stochastic differential equations driven by a Levy process, in which the reflecting barriers are just right continuous with left limits whose jumps are arbitrary. To derive the above results, the monotonic limit theorem of Backward SDE associated with Levy process is established.     

A Stochastic Filtering Approach To Survival Analysis

We connect some basic issues in survival analysis in biostatistics with estimation and convergence theories in stochastic filtering. Viewing censored data problems through a filtering perspective, we can derive estimators expressed using stochastic integral/differential equations. We then study statistical asymptotic using convergence theory of stochastic equations. We illustrate the effectiveness of such a program by revisiting the right censored and the doubly censored data problems.