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1.
The non-equilibrium electron–positron–photon plasma thermalization process is studied using relativistic Boltzmann solver, taking into account quantum corrections both in non-relativistic and relativistic cases. Collision integrals are computed from exact QED matrix elements for all binary and triple interactions in the plasma. It is shown that in non-relativistic case (temperatures ) binary interaction rates dominate over triple ones, resulting in establishment of the kinetic equilibrium prior to final relaxation towards the thermal equilibrium, in agreement with the previous studies. On the contrary, in relativistic case (final temperatures ) triple interaction rates are fast enough to prevent the establishment of kinetic equilibrium. It is shown that thermalization process strongly depends on quantum degeneracy in initial state, but does not depend on plasma composition. 相似文献
2.
We fix a rich probability space (,F,P). Let (H,) be a separable Hilbert space and let be the canonical cylindrical Gaussian measure on H. Given any abstract Wiener space (H,B,) over H, and for every Hilbert–Schmidt operator T: HBH which is (|{}|,)-continuous, where |{}| stands for the (Gross-measurable) norm on B, we construct an Ornstein–Uhlenbeck process : (,F,P)×[0,1](B,|{}|) as a pathwise solution of the following infinite-dimensional Langevin equation d
t
=db
t
+T(
t
)dt with the initial data 0=0, where b is a B-valued Brownian motion based on the abstract Wiener space (H,B,). The richness of the probability space (,F,P) then implies the following consequences: the probability space is independent of the abstract Wiener space (H,B,) (in the sense that (,F,P) does not depend on the choice of the Gross-measurable norm |{}|) and the space C
B
consisting of all continuous B-valued functions on [0,1] is identical with the set of all paths of . Finally, we present a way to obtain pathwise continuous solutions :d
t
=
db
t
+
t
dt
with initial data 0=0, where ,R,0 and 0<. 相似文献
3.
The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd. 相似文献
4.
We introduce and study a class of random capacitor systems which are both charged and discharged stochastically. A capacitor is fed by a random inflow with stationary and independent increments. Discharging occurs according to a Markovian rate which is linear in the capacitors level. The resulting capacitor dynamics are Markovian, stochastically cyclic, and regenerative. We coin these systems Lévy-charged Ornstein–Uhlenbeck capacitors. Various random quantities associated with these systems are analyzed, including: the time-to- discharge; the duration of the charging cycle; the trajectory and the peak height of the capacitor level during a charging cycle; and, the capacitors stationary equilibrium level. Furthermore, we show that there are sharp distinctions between these capacitor systems and corresponding standard Lévy-driven Ornstein–Uhlenbeck systems. 相似文献
5.
In this paper we study ergodic properties of some classes of anomalous diffusion processes. Using the recently developed measure of dependence called the Correlation Cascade, we derive a generalization of the classical Khinchin theorem. This result allows us to determine ergodic properties of Lévy-driven stochastic processes. Moreover, we analyze the asymptotic behavior of two different fractional Ornstein–Uhlenbeck processes, both originating from subdiffusive dynamics. We show that only one of them is ergodic. 相似文献
6.
We extend and generalize some results on bounding security prices under two stochastic volatility models that provide closed-form expressions for option prices. In detail, we compute analytical expressions for benchmark and standard good-deal bounds. For both models, our findings show that our benchmark results generate much tighter bounds. A deep analysis of the properties of option prices and bounds involving a sensitivity analysis and analytical derivation of Greeks for both option prices and bounds is also presented. These results provide strong practical applications taking into account the relevance of pricing and hedging strategies for traders, financial institutions, and risk managers. 相似文献
7.
The paper gives conditions under which the transition semigroup corresponding to a large class of semilinear equations on a Hilbert space transforms Borel functions onto Frechet differentia hies ones. 相似文献
8.
Fred Espen Benth 《Applied Mathematical Finance》2018,25(1):36-65
The recent introduction of wind power futures written on the German wind power production index has brought with it new interesting challenges in terms of modelling and pricing. Some particularities of this product are the strong seasonal component embedded in the underlying, the fact that the wind index is bounded from both above and below and also that the futures are settled against a synthetically generated spot index. Here, we consider the non-Gaussian Ornstein–Uhlenbeck type processes proposed by Barndorff-Nielsen and Shephard in the context of modelling the wind power production index. We discuss the properties of the model and estimation of the model parameters. Further, the model allows for an analytical formula for pricing wind power futures. We provide an empirical study, where the model is calibrated to 37 years of German wind power production index that is synthetically generated assuming a constant level of installed capacity. Also, based on 1 year of observed prices for wind power futures with different delivery periods, we study the market price of risk. Generally, we find a negative risk premium whose magnitude decreases as the length of the delivery period increases. To further demonstrate the benefits of our proposed model, we address the pricing of European options written on wind power futures, which can be achieved through Fourier techniques. 相似文献
9.
We consider a class of Feller semigroups on Lie groups which fail to commute with left translation due to the existence of a cocycle h which is identically one for Lévy processes. Under certain conditions, we are able to show that the infinitesimal generator of such a semigroup has the Lévy–Khintchine–Hunt form but with variable characteristics, thus we obtain an extension of classical work in Euclidean space by Courrège. 相似文献
10.
The approximation of integral functionals with respect to a stationary Markov process by a Riemann sum estimator is studied. Stationarity and the functional calculus of the infinitesimal generator of the process are used to explicitly calculate the estimation error and to prove a general finite sample error bound. The presented approach admits general integrands and gives a unifying explanation for different rates obtained in the literature. Several examples demonstrate how the general bound can be related to well-known function spaces. 相似文献