Viability property of jump diffusion processes on manifolds

In this note, we give a necessary and sufficient condition for viability property of diffusion processes with jumps on closed submanifolds of R ^m . Our result is the system is viable in a closed submanifold K iff the coefficients are tangent to K along K if the equation is in the sense of stratonovich integral and the solution jumps from K to K.     

Periodic solutions of hybrid jump diffusion processes

We investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to stochastic differential equations corresponding to the hybrid system. Then, we derive the strong Feller property and irreducibility of the associated time-inhomogeneous semigroups. Finally, we establish the existence and uniqueness of periodic solutions. Concrete examples are presented to illustrate the results.     

Robust numerical methods for contingent claims under jump diffusion processes

An implicit method is developed for the numerical solution ofoption pricing models where it is assumed that the underlyingprocess is a jump diffusion. This method can be applied to avariety of contingent claim valuations, including American options,various kinds of exotic options, and models with uncertain volatilityor transaction costs. Proofs of timestepping stability and convergenceof a fixed-point iteration scheme are presented. For typicalmodel parameters, it is shown the error is reduced by two ordersof magnitude at each iteration. The correlation integral iscomputed using a fast Fourier transform method. Numerical testsof convergence for a variety of options are presented.     

The calibration of volatility for option pricing models with jump diffusion processes

This paper is devoted to calibrate smooth local volatility surface under jump-diffusion processes. This calibration problem is posed as an inverse problem: given a finite set of observed European option prices, find a local volatility function such that the theoretical option prices matches the observed ones optimally with respect to a prescribed performance criterion. Firstly, we obtain an Euler-Lagrange equation for the calibration problem using Tikhonov regularization method. Then we solve the Euler–Lagrange equation using an iterative algorithm and obtain the volatility. Finally, numerical experiments show the effectiveness of the proposed method.     

Existence of Time Periodic Solutions to Boundary Value Problem of One-dimensional Semilinear Viscoelastic Dynamic Equation with Memory

In this paper, we prove the existence of time-periodic solutions to the boundary value problem of semilinear one-dimensional dynamical equation for viscodastic materials.     

The probabilistic structure of controlled diffusion processes

This paper surveys those aspects of controlled diffusion processes wherein the control problem is treated as an optimization problem on a set of probability measures on the path space. This includes: (i) existence results for optimal admissible or Markov controls (both in nondegenerate and degenerate cases), (ii) a probabilistic treatment of the dynamic programming principle, (iii) the corresponding results for control under partial observations, (iv) a probabilistic approach to the ergodic control problem. The paper is expository in nature and aims at giving a unified treatment of several old and new results that evolve around certain central ideas.     

Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach

We present efficient partial differential equation methods for continuous time mean‐variance portfolio allocation problems when the underlying risky asset follows a jump‐diffusion. The standard formulation of mean‐variance optimal portfolio allocation problems, where the total wealth is the underlying stochastic process, gives rise to a one‐dimensional (1D) nonlinear Hamilton–Jacobi–Bellman (HJB) partial integrodifferential equation (PIDE) with the control present in the integrand of the jump term, and thus is difficult to solve efficiently. To preserve the efficient handling of the jump term, we formulate the asset allocation problem as a 2D impulse control problem, 1D for each asset in the portfolio, namely the bond and the stock. We then develop a numerical scheme based on a semi‐Lagrangian timestepping method, which we show to be monotone, consistent, and stable. Hence, assuming a strong comparison property holds, the numerical solution is guaranteed to converge to the unique viscosity solution of the corresponding HJB PIDE. The correctness of the proposed numerical framework is verified by numerical examples. We also discuss the effects on the efficient frontier of realistic financial modeling, such as different borrowing and lending interest rates, transaction costs, and constraints on the portfolio, such as maximum limits on borrowing and solvency. © 2013 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 30: 664–698, 2014     

带有无界时滞的积分微分方程的正解

我们得到一类带有无界时滞的积分微分方程存在正解的必要充分条件.     

Approximation and existence of periodic solutions for controlled diffusion equations

This paper concerns the existence of control functions such that a system of controlled stochastic differential equations (SDE) with periodic coefficients has a solution which is periodic in distribution. We show that bounded periodic controls acting in the same direction as the Driving Wiener process will achieve this under some nondegeneracy condition on the diffusion part. The main tool is an approximation theorem for solutions of SDEs which enables one to check certain stability conditions on a more suitable differential equation     

On the solution of a fractional diffusion integrodifferential equation with Rothe time discretization

This article deals with a fractional diffusion equation of the second-order differential Volterra operator and fractional integral condition. Existence and uniqueness of a weak solution in an appropriate sense as well as some regularity results are obtained by the use of Rothe’s method. Finally, an example is given to demonstrate the effectiveness of the proposed approach.     

Existence and uniqueness of perturbed reflected jump diffusion processes

In this article, we establish the existence of the solution to the càdlàg perturbed Skorohod problem. As an application, we obtain the existence and uniqueness of the solution to the perturbed reflected jump diffusion processes.     

A property of distributions of diffusion processes

Translated from Matematicheskie Zametki, Vol. 54, No. 3, pp. 106–113, September, 1993.     

(mM)∞算子及Hamilton-Jacobi方程粘性解

Hamilton-Jacobi equations are frequently encountered in applications, e.g. , in control theory, differential games, and theory of economics, construct viscosity solutions of Hamilton-Jacobi equations having a nonconvex flux and a nonconvex initial value. The main idea is. decomposit flux into convex flux plus concave flux, with the help of a newly designed operator (mM)^∞ and Legendre transform, the viscosity solutions of Hamilton-Jacobi equations can be exactly ex-pressed. The (mM)^∞ type Solutions is proved to be the viscosity solutions ofHamilton-Jacobi equations. In fact our ( (mM)^∞ ) formula is a nonconvex generalization of the convex Lax-Oleinik-Hopf’s formula.     

Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes

The problem of integrated volatility estimation for an Ito semimartingale is considered under discrete high-frequency observations in short time horizon. We provide an asymptotic expansion for the integrated volatility that gives us, in detail, the contribution deriving from the jump part. The knowledge of such a contribution allows us to build an unbiased version of the truncated quadratic variation, in which the bias is visibly reduced. In earlier results to have the original truncated realized volatility well-performed the condition $\beta >\frac{1}{2(2-\alpha )}$ on $\beta$ (that is such that ${\left(\frac{1}{n}\right)}^{\beta }$ is the threshold of the truncated quadratic variation) and on the degree of jump activity $\alpha$ was needed (see Mancini, 2011; Jacod, 2008). In this paper we theoretically relax this condition and we show that our unbiased estimator achieves excellent numerical results for any couple ($\alpha$, $\beta$).     

Existence and Regularity of Solutions for Some Partial Integrodifferential Equations Involving the Nonlocal Conditions

The aim of this work is to prove some results about the existence and regularity of solutions for some partial integrodifferential equations with nonlocal conditions. We suppose that the linear part has a resolvent operator in the sens given by Grimmer. The non linear part is assumed to be continuous and Lipschitzian with respect to the second argument.     

Stochastic viability of convex sets

We investigate necessary and sufficient conditions for viability of a closed convex set K under weak solutions of a stochastic differential equation. These conditions are expressed in terms of the distance function to K. When in addition the boundary of K is smooth, then our necessary and sufficient conditions reduce to two relations that have to be verified just on the boundary of K.