Log-gamma motion as flexible model for generalized interest rates

Negative, oscillating, and near zero interest rates are changing financial modeling completely. To address this situation, we introduce novel, flexible, and estimable model of interest rate. This model is based on recent developments of so-called Inv-Log-Gamma process. This model is much easier to be estimated as the continuous time models for interest rates with dampings, where interest rate r_t possesses a martingale property. Even though the estimation of continuous time interest rates is a difficult task. Therefore, more flexible and estimable model for interest rate is needed, which motivates our developments. Simulation and real data examples illustrate usefulness of our development.     

Interpolating between random walk and rotor walk

We introduce a family of stochastic processes on the integers, depending on a parameter and interpolating between the deterministic rotor walk () and the simple random walk (). This p‐rotor walk is not a Markov chain but it has a local Markov property: for each the sequence of successive exits from is a Markov chain. The main result of this paper identifies the scaling limit of the p‐rotor walk with two‐sided i.i.d. initial rotors. The limiting process takes the form , where is a doubly perturbed Brownian motion, that is, it satisfies the implicit equation (1) for all . Here is a standard Brownian motion and are constants depending on the marginals of the initial rotors on and respectively. Chaumont and Doney have shown that Equation 1 has a pathwise unique solution , and that the solution is almost surely continuous and adapted to the natural filtration of the Brownian motion. Moreover, and . This last result, together with the main result of this paper, implies that the p‐rotor walk is recurrent for any two‐sided i.i.d. initial rotors and any .     

Complex martingales and asymptotic enumeration

Many enumeration problems in combinatorics, including such fundamental questions as the number of regular graphs, can be expressed as high‐dimensional complex integrals. Motivated by the need for a systematic study of the asymptotic behavior of such integrals, we establish explicit bounds on the exponentials of complex martingales. Those bounds applied to the case of truncated normal distributions are precise enough to include and extend many enumerative results of Barvinok, Canfield, Gao, Greenhill, Hartigan, Isaev, McKay, Wang, Wormald, and others. Our method applies to sums as well as integrals. As a first illustration of the power of our theory, we considerably strengthen existing results on the relationship between random graphs or bipartite graphs with specified degrees and the so‐called β‐model of random graphs with independent edges, which is equivalent to the Rasch model in the bipartite case.     

On the convergence properties of measurable multifunctions with values in a separable Banach space

In this paper we prove some convergence theorems for Banach space valued multifunctions. First we consider the notion of weak convergence of sets and prove a weak completeness and a weak compactness result of the Dunford-Pettis type for weakly compact, convex valued integrable multifunctions. Then we consider set valued martingales and establish two convergence theorems. One using the Kuratowski-Mosco mode of convergence and for the other the Hausdorff mode.     

Backward stochastic differential equation with random measures

1. IntroductionPardoux and Peng[1], Peng[2'3] have discussed backward stochastic differential equations(BSDE) driven by Brownian motioll. Tangl4], Tang and Li[5] have considered BSDEdriven by Brownian motion and Poisson process. We will extend many results of them inthis paper.The main reference is [6].Let (fi, F, (R),P) be a filtered probability space, where the filtration (R) satisfies theusual conditions. Define (fi,F) ~ (fi x N x R,X x B(N) x B(R)),P ~ P x B(R), O =O x B(R),…     

The martingale hardy type inequality for Marcinkiewicz-Fejér means of two-dimensional conjugate Walsh-Fourier series

The main aim of this paper is to prove that for any 0 < p ≤ 2/3 there exists a martingale f ∈ H _p such that Marcinkiewicz-Fejér means of the two-dimensional conjugate Walsh-Fourier series of the martingale f is not uniformly bounded in the space L _p .     

Maximal Estimates of Schrödinger Equations on Rearrangement Invariant Sobolev Spaces

We establish the maximal estimates for the solutions of some initial value problems on rearrangement-invariant quasi-Banach function spaces. Our result covers the cases for which the initial value problem is given by the Schrödinger equation.     

A representation for a process governed by a system of stochastic equations of filtration type

This paper concerns the problem of reduction of stochastic differential equations of a special type to ordinary differential equations parametrized by ω?Ω New representations for the optimal filtration estimate of a conditional Gaussian process are obtained.     

借款利率大于债券利率同时投资策略受限情况下期权的定价

分析了期权的定价,研究了借款利率大于债券利率同时投资策略受限制情况下期权的定价．     

THE DYADIC DERIVATIVE AND CESARO MEAN OF BANACH-VALUED MARTINGALES

In this article, the Banach space X and the martingales with values in it are considered. It is shown that the maximal operators of the one-dimensional dyadic derivative of the dyadic integral and Cesaro means are bounded from the dyadic Hardy- Lorentz space pH^-ra（X） to Lra（X） when X is isomorphic to a p-uniformly smooth space （1 〈p ≤ 2）. And it is also bounded from Hra（X） to Lra（X） （0 〈 r 〈 ∞,0 〈 a≤oc） when X has Radon-Nikodym property. In addition, some weak-type inequalities are given.