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排序方式: 共有684条查询结果,搜索用时 26 毫秒
61.
In this article,we first prove the existence and uniqueness of the solution to the stochastic generalized porous medium equation perturbed by Lévy process,and then show the exponential convergence of(pt)t≥0 to equilibrium uniform on any bounded subset in H. 相似文献
62.
63.
Sergey G. Foss Anatolii A. Puhalskii 《Stochastic Processes and their Applications》2011,121(2):288-313
We consider a random walk with a negative drift and with a jump distribution which under Cramér’s change of measure belongs to the domain of attraction of a spectrally positive stable law. If conditioned to reach a high level and suitably scaled, this random walk converges in law to a nondecreasing Markov process which can be interpreted as a spectrally positive Lévy process conditioned not to overshoot level 1. 相似文献
64.
On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps 总被引:1,自引:0,他引:1
Friedrich Hubalek 《Journal of Computational and Applied Mathematics》2011,235(11):3355-3365
In the present paper we provide a semiexplicit valuation formula for Geometric Asian options, with fixed and floating strike under continuous monitoring, when the underlying stock price process exhibits both stochastic volatility and jumps. More precisely, we shall work in the Barndorff-Nielsen and Shephard (BNS) model framework. We shall provide some numerical illustrations of the results obtained. 相似文献
65.
In this paper, the dynamical behavior of a hybrid switching SIS epidemic model with vaccination and Lévy jumps is considered. Besides a standard geometric Brownian motion, another two driving processes are taken into account: a stationary Poisson point process and a continuous time finite-state Markov chain. Firstly, we establish sufficient conditions for persistence in the mean of the disease. Then we obtain sufficient conditions for extinction of the disease. In addition, we also establish sufficient conditions for the existence of positive recurrence of the solutions to the model by constructing a suitable stochastic Lyapunov function with regime switching. 相似文献
66.
《Stochastic Processes and their Applications》2019,129(9):3174-3206
A class of singular stochastic control problems whose value functions satisfy an invariance property was studied by Lasry and Lions (2000). They have shown that, within this class, any singular control problem is equivalent to the corresponding standard stochastic control problem. The equivalence is in the sense that their value functions are equal. In this work, we clarify their idea and extend their work to allow Lévy type noise. In addition, for the purpose of application, we apply our result to an optimal trade execution problem studied by Lasry and Lions (2007). 相似文献
67.
本文考虑了受L\''evy噪声扰动的Logistic方程. 在合适的条件下, 我们得到了解的全局存在性与唯一性; 我们证明了当初始值小于环境的容纳量时, 唯一的正的平衡态具有全局吸引性. 相似文献
68.
B. Tadić V. Priezzhev 《The European Physical Journal B - Condensed Matter and Complex Systems》2002,30(2):143-146
We investigate by random-walk simulations and a mean-field theory how growth by biased addition of nodes affects flow of the
current through the emergent conducting graph, representing a digital circuit. In the interior of a large network the voltage
varies with the addition time s < t of the node as V(s) ∼ ln(s)/s
θ when constant current enters the network at last added node t and leaves at the root of the graph which is grounded. The topological closeness of the conduction path and shortest path
through a node suggests that the charged random walk determines these global graph properties by using only local search algorithms. The results agree with mean-field theory on tree structures, while the numerical method is applicable
to graphs of any complexity.
Received 26 August 2002 Published online 29 November 2002 相似文献
69.
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
70.
Y. Marandet H. Capes L. Godbert-Mouret M. Koubiti J. Rosato R. Stamm 《The European Physical Journal D - Atomic, Molecular, Optical and Plasma Physics》2006,39(2):247-260
In this work we investigate the influence of low
frequency turbulence on Doppler spectral line shapes in magnetized
plasmas. Low frequency refers here to fluctuations whose typical
time scale is much larger than those characterizing the atomic
processes, such as radiative decay, collisions and charge exchange.
This ordering is in particular relevant for drift wave turbulence,
ubiquitous in edge plasmas of fusion devices. Turbulent fluctuations
are found to affect line shapes through both the spatial and time
averages introduced by the measurement process. The profile is
expressed in terms of the fluid fields describing the plasma.
Assuming the spectrometer acquisition time to be much larger than
the turbulent time scale, an ordering generally fulfilled in
experiments, allows to develop a statistical formalism. We proceed
by successively investigating the effects of density, fluid velocity
and temperature fluctuations on the Doppler profile of a spectral
line emitted by a charge exchange population of neutrals. Line
shapes, and especially line wings are found to be affected by ion
temperature or fluid velocity fluctuations, and can in some cases
exhibit a power-law behavior. These effects are shown to be
measurable with existing techniques, and their interpretation in
each particular case would rely on already existing tools. From a
fundamental point of view, this study gives some insights in the
appearance of non-Boltzmann statistics, such as Lévy statistics,
when dealing with averaged experimental data. 相似文献