Integral representation in the theory of continuous trading

This paper deals with predictable representation in continuous trading. First of all we give a positive answer to a conjecture of Harrison and Pliska [2]. Then we prove the completeness of a model of mixed type (see[2]). A slight modificationof this example shows that the continuous and purely discontinuous parts of a local martingale depend on the filtration.     

On the solution of stochastic ordinary differential equations via small delays

dx(t)=g(x{t))dW(t) is proved using an approximating sequence of stochastic delay equationsGeneralizations of the approximation scheme are indicated for the Stratonovich case and when the Brownian motion W is replaced by a continuous semi-martingale.     

Transition probabilities of Lévy‐type processes: Parametrix construction

We present an existence result for Lévy‐type processes which requires only weak regularity assumptions on the symbol with respect to the space variable x. Applications range from existence and uniqueness results for Lévy‐driven SDEs with Hölder continuous coefficients to existence results for stable‐like processes and Lévy‐type processes with symbols of variable order. Moreover, we obtain heat kernel estimates for a class of Lévy and Lévy‐type processes. The paper includes an extensive list of Lévy(‐type) processes satisfying the assumptions of our results.     

BSDE approach to utility maximization with square-root factor processes

We consider the utility-based portfolio selection problem in a continuous-time setting. We assume the market price of risk depends on a stochastic factor that satisfies an affine-form, square-root, Markovian model. This financial market framework includes the classical geometric Brownian motion, CEV model, and Heston’s model as special cases. Adopting the BSDE approach, we obtain closed-form solutions for the optimal portfolio strategies and value functions for the logarithmic, power, and exponential utility functions.     

Asymptotic analysis for multi-objective sequential stochastic assignment problems

ABSTRACT

We provide an asymptotic analysis of multi-objective sequential stochastic assignment problems (MOSSAP). In MOSSAP, a fixed number of tasks arrive sequentially, with an n-dimensional value vector revealed upon arrival. Each task is assigned to one of a group of known workers immediately upon arrival, with the reward given by an n-dimensional product-form vector. The objective is to maximize each component of the expected reward vector. We provide expressions for the asymptotic expected reward per task for each component of the reward vector and compare the convergence rates for three classes of Pareto optimal policies.     

Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates

This article proposes a global, chaos-based procedure for the discretization of functionals of Brownian motion into functionals of a Poisson process with intensity $\lambda >0$. Under this discretization we study the weak convergence, as the intensity of the underlying Poisson process goes to infinity, of Poisson functionals and their corresponding Malliavin-type derivatives to their Wiener counterparts. In addition, we derive a convergence rate of $O\left({\lambda }^{?1∕4}\right)$ for the Poisson discretization of Wiener functionals by combining the multivariate Chen–Stein method with the Malliavin calculus. Our proposed sufficient condition for establishing the mentioned convergence rate involves the kernel functions in the Wiener chaos, yet we provide examples, especially the discretization of some common path dependent Wiener functionals, to which our results apply without committing the explicit computations of such kernels. To the best our knowledge, these are the first results in the literature on the universal convergence rate of a global discretization of general Wiener functionals.     

The martingale problem for a class of nonlocal operators of diagonal type

We consider systems of stochastic differential equations of the form $$\begin{array}{c}\hfill d{X}_t^i=\sum _{j=1}^d{A}_{ij}\left(X_{t?}\right)d{Z}_t^j\end{array}$$ for $i=1,?,d$ with continuous, bounded and non‐degenerate coefficients. Here $Z_t^1,?,Z_t^d$ are independent one‐dimensional stable processes with ${\alpha }_1,?,{\alpha }_d\in (0,2)$. In this article we research on uniqueness of weak solutions to such systems by studying the corresponding martingale problem. We prove the uniqueness of weak solutions in the case of diagonal coefficient matrices.     

Allostatic load as a complex clinical construct: A case‐based computational modeling approach

Allostatic load (AL) is a complex clinical construct, providing a unique window into the cumulative impact of stress. However, due to its inherent complexity, AL presents two major measurement challenges to conventional statistical modeling (the field's dominant methodology): it is comprised of a complex causal network of bioallostatic systems, represented by an even larger set of dynamic biomarkers; and, it is situated within a web of antecedent socioecological systems, linking AL to differences in health outcomes and disparities. To address these challenges, we employed case‐based computational modeling (CBM), which allowed us to make four advances: (1) we developed a multisystem, 7‐factor (20 biomarker) model of AL's network of allostatic systems; (2) used it to create a catalog of nine different clinical AL profiles (causal pathways); (3) linked each clinical profile to a typology of 23 health outcomes; and (4) explored our results (post hoc) as a function of gender, a key socioecological factor. In terms of highlights, (a) the Healthy clinical profile had few health risks; (b) the pro‐inflammatory profile linked to high blood pressure and diabetes; (c) Low Stress Hormones linked to heart disease, TIA/Stroke, diabetes, and circulation problems; and (d) high stress hormones linked to heart disease and high blood pressure. Post hoc analyses also found that males were overrepresented on the High Blood Pressure (61.2%), Metabolic Syndrome (63.2%), High Stress Hormones (66.4%), and High Blood Sugar (57.1%); while females were overrepresented on the Healthy (81.9%), Low Stress Hormones (66.3%), and Low Stress Antagonists (stress buffers) (95.4%) profiles. © 2015 Wiley Periodicals, Inc. Complexity 21: 291–306, 2016