On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps

We compute and then discuss the Esscher martingale transform for exponential processes, the Esscher martingale transform for linear processes, the minimal martingale measure, the class of structure preserving martingale measures, and the minimum entropy martingale measure for stochastic volatility models of the Ornstein–Uhlenbeck type as introduced by Barndorff-Nielsen and Shephard. We show that in the model with leverage, with jumps both in the volatility and in the returns, all those measures are different, whereas in the model without leverage, with jumps in the volatility only and a continuous return process, several measures coincide, some simplifications can be made and the results are more explicit. We illustrate our results with parametric examples used in the literature.     

有资助的消费和最终资产的效用最大化

本文主要讨论带有随机资助过程的消费和终端财富效用最大化问题 .当对偶域为 (L∞) 时 ,利用对偶方法 ,求得问题的最优解对().     

Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows

In this article, we shall explore the state of art of stochastic flows to derive an exponential affine form of the bond price when the short rate process is governed by a Markovian regime-switching jump-diffusion version of the Vasicek model. We provide the flexibility that the market parameters, including the mean-reversion level, the volatility rate and the intensity of the jump component switch over time according to a continuous-time, finite-state Markov chain. The states of the chain may be interpreted as different states of an economy or different stages of a business cycle. We shall provide a representation for the exponential affine form of the bond price in terms of fundamental matrix solutions of linear matrix differential equations.     

First and second order linear dynamic equations on time scales

We consider first and second order linear dynamic equations on a time scale. Such equations contain as special cases differential equations, difference equationsq— difference equations, and others. Important properties of the exponential function for a time scale are presented, and we use them to derive solutions of first and second order linear dyamic equations with constant coefficients. Wronskians are used to study equations with non—constant coefficients. We consider the reduction of order method as well as the method of variation of constants for the nonhomogeneous case. Finally, we use the exponential function to present solutions of the Euler—Cauchy dynamic equation on a time scale.     

保险公司和再保险公司之间的停止损失再保险策略选择博弈

本文在扩散逼近风险模型下考虑保险公司和再保险公司之间的停止损失再保险策略选择博弈问题.假设保险公司和再保险公司都以期望终端盈余效用增加作为购买停止损失再保险和接受承保的条件.在保险公司和再保险公司都具有指数效用函数条件下,运用动态规划原理,通过求解其对应的Hamilton-Jacobi-Bellman方程,得到了三种博...     

有限区间上的分数阶扩散-波方程定解问题与Laplace变换

求解了如下的分数阶扩散-波方程定解问题0Dαtu=2ux2,00,0<α≤2,u(0,t;α)=0,u(1,t;α)=θ(t),u(x,0+;α)=0,当1<α≤2时,还有ut(x,0+;α)=0.其中θ(t)是Heaviside单位阶跃函数,0Dαt为关于时间t的α阶Caputo分数阶导数算子,u=u(x,t;α)为时间t的因果函数(即t<0时恒为零的函数).利用Laplace变换的复围道积分反演和离散化反演及FoxH函数理论,给出在计算上对大的t和小的t分别适用的解的表达式.     

基于傅立叶变换的SVJ模型的欧式期权定价

为了更加精确的计算期权价格,将结合随机波动和跳扩散模型(以下简称SVJ模型)以更好的描述期权标的资产价格过程,然而这样的价格过程无法得到概率密度函数的封闭形式,而只能得到包含特殊函数和无限求和的复杂的表达式.不过它们的特征函数都是封闭且是唯一的,因而可以通过它们的特征函数,并运用两种傅立叶变换的方法来求出期权价格.其中FFT算法计算的结果将与Monte Carlo模拟得出的结果进行比较,然后再将SVJ模型的计算结果和Black-Scholes模型进行比较.     

Exact and approximate solutions of time-fractional models arising from physics via Shehu transform

In this present investigation, we proposed a reliable and new algorithm for solving time-fractional differential models arising from physics and engineering. This algorithm employs the Shehu transform method, and then nonlinearity term is decomposed. We apply the algorithm to solve many models of practical importance and the outcomes show that the method is efficient, precise, and easy to use. Closed form solutions are obtained in many cases, and exact solutions are obtained in some special cases. Furthermore, solution profiles are presented to show the behavior of the obtained results in other to better understand the effect of the fractional order.     

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties

We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an external stochastic factor process. In particular, the market model is incomplete. Our main results give conditions on the minimal penalty function of the robust utility functional under which the value function of our problem can be identified with the unique classical solution of a quasilinear PDE within a class of functions satisfying certain growth conditions. The fact that we obtain classical solutions rather than viscosity solutions facilitates the use of numerical algorithms, whose applicability is demonstrated in examples.     

Perturbation theory for games in normal form and stochastic games

In this paper, the effect on values and optimal strategies of perturbations of game parameters (payoff function, transition probability function, and discount factor) is studied for the class of zero-sum games in normal form and for the class of stationary, discounted, two-person, zero-sum stochastic games.A main result is that, under certain conditions, the value depends on these parameters in a pointwise Lipschitz continuous way and that the sets of -optimal strategies for both players are upper semicontinuous multifunctions of the game parameters.Extensions to general-sum games and nonstationary stochastic games are also indicated.     

Stability of stochastic SIRS epidemic models with saturated incidence rates and delay

In this article, we consider stochastic susceptible-infected-removed-susceptible (SIRS) epidemic models with saturated incidence rates and delay. We investigate the stochastic stability in probability of the disease-free and endemic equilibria for the stochastic dynamic model with variability in the natural death rate, and the stochastic stability in probability of the endemic equilibrium for the dynamic model when the variability in the environment is proportional to a deviation between the state of the system and the endemic equilibrium. The numerical experiments are provided to support our theoretical results.