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91.
92.
Modelling financial and insurance time series with Lévy processes or with exponential Lévy processes is a relevant actual practice and an active area of research. It allows qualitatively and quantitatively good adaptation to the empirical statistical properties of asset returns. Due to model incompleteness it is a problem of considerable interest to determine the dependence of option prices in these models on the choice of pricing measures and to establish nontrivial price bounds. In this paper we review and extend ordering results of stochastic and convex type for this class of models. We also extend the ordering results to processes with independent increments (PII) and present several examples and applications as to α-stable processes, NIG-processes, GH-distributions, and others. Criteria are given for the Lévy measures which imply corresponding comparison results for European type options in (exponential) Lévy models. 相似文献
93.
94.
Zólomy A. Berceli T. Járó G. Hilt A. Marozsák T. 《Optical and Quantum Electronics》1998,30(11-12):969-983
Optical and Quantum Electronics - A new approach for the design and construction of low noise broadband optical receivers is presented utilizing distributed amplification based on hybrid integrated... 相似文献
95.
Let be a bounded, connected linearly convex set in with boundary. We show that the maximal ideal (both in ) and ) consisting of all functions vanishing at is generated by the coordinate functions .
Received: 2 July 2001; in final form: 26 September 2001 / Published online: 28 February 2002 相似文献
96.
Serguei Foss Takis Konstantopoulos Stan Zachary 《Journal of Theoretical Probability》2007,20(3):581-612
We consider a modulated process S which, conditional on a background process X, has independent increments. Assuming that S drifts to −∞ and that its increments (jumps) are heavy-tailed (in a sense made precise in the paper), we exhibit natural
conditions under which the asymptotics of the tail distribution of the overall maximum of S can be computed. We present results in discrete and in continuous time. In particular, in the absence of modulation, the
process S in continuous time reduces to a Lévy process with heavy-tailed Lévy measure. A central point of the paper is that we make
full use of the so-called “principle of a single big jump” in order to obtain both upper and lower bounds. Thus, the proofs
are entirely probabilistic. The paper is motivated by queueing and Lévy stochastic networks. 相似文献
97.
Jan J. Slawianowski 《General Relativity and Gravitation》2003,35(5):965-966
98.
Jan Andres Karel Pastor Pavla Šnyrychová 《Journal of Fixed Point Theory and Applications》2007,2(1):153-170
A multivalued version of Sharkovskiĭ’s theorem is formulated for M-maps on linear continua and, more generally, for triangular M-maps on a Cartesian product of linear continua. This improves the main result of [AP1] in the sense that our multivalued
analogue holds with at most two exceptions. A further specification requires some additional restrictions. For instance, 3-
orbits of m-maps imply the existence of k-orbits for all
k ? \mathbbNk \in {\mathbb{N}}
, except possibly for
k ?k \in
{4, 6}. It is also shown that, on every connected linearly ordered topological space, an M-map with orbits of all periods can always be constructed. This demonstrates that Baldwin’s classification of linear continua
in terms of admissible periods [Ba] is useless for multivalued maps. 相似文献
99.
We investigate traces of functions, belonging to a class of functions with dominating mixed smoothness in ℝ3, with respect to planes in oblique position. In comparison with the classical theory for isotropic spaces a few new phenomenona
occur. We shall present two different approaches. One is based on the use of the Fourier transform and restricted to p = 2. The other one is applicable in the general case of Besov-Lizorkin-Triebel spaces and based on atomic decompositions. 相似文献
100.