简介:Recently,ShiXianliangandHuLanpublishedthemethodofconcentrationfactorsfordeterminationofjumpsoffunctionsviaMCMconjugatewavelets.Usually,itisdiculttocalculatetheHilberttransformofgeneralwindowfunctions.TheaimofthispaperistodiscussdeterminationofjumpsforfunctionsbasedonderivativeGaborseries.Theresultswillsimplifythecalculationofjumpvalues.
简介:这篇论文为随机的中立Markov处理全球指数的稳定性问题跳有不明确的参数和多重时间延期的系统(MJS)。延期分别地被看作经常,时间变化盒子,和不确定性被假定是围住的标准。由选择适当Lyapunov-Krasovskii功能,它给足够的条件以便不明确的中立MJS是全球性为所有可被考虑的不确定性的指数地随机的联盟者马厩。稳定性标准在线性矩阵不平等(LMI)形式被提出,它能容易在实践被检查。最后,二个数字例子被利用说明发达技术的有效性。
简介:Thispaperproposesandmakesastudyofanewmodel(calledthe3/2plusjumpsmodel)forVIXoptionpricing.Themodelallowsthemean-reversionspeedandvolatilityofvolatilitytobehighlysensitivetotheactuallevelofVIX.Inparticular,thepositivevolatilityskewisaddressedbythe3/2plusjumpsmodel.Dailycalibrationisusedtoprovethattheproposedmodelpreservesitsvalidityandreliabilityforbothin-sampleandout-of-sampletests.Theresultsshowthatthemodelsarecapableoffittingthemarketpricewhilegeneratingpositivevolatilityskew.
简介:Inthispaperastochasticvolatilitymodelisconsidered.Thatis,alogpriceprocessYwhichisgivenintermsofavolatilityprocessVisstudied.ThelatterisdefinedsuchthatthelogpricepossessessomeofthepropertiesempiricallyobservedbyBarndorff-Nielsen&Jiang[6].Inthemodeltherearetwosetsofunknownparameters,onesetcorrespondingtothemarginaldistributionofVandonetoautocorrelationofV.Basedondiscretetimeobservationsofthelogpricetheauthorsdiscusshowtoestimatetheparametersappearinginthemarginaldistributionandfindtheasymptoticproperties.
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简介:这份报纸讨论吝啬地的向后的随机的微分方程(吝啬地的BSDE)与跳并且控制吝啬地的BSDE与的一种新类型跳,也就是吝啬地的BSDE与强烈跳结合了联系控制问题的价值功能。作者首先为BSDE的上述二种类型证明存在和唯一以及一条比较定理。为这,作者使用一个近似方法。在Peng在1997介绍的随机的向后的semigroups的观点的帮助下,然后,作者为值函数得到动态编程原则(DPP)。而且,作者证明值函数是integro部分的微分方程,它在连续函数的一个足够的空格唯一由Barles介绍了的联系非局部的Hamilton-Jacobi-Bellman(HJB)的一个粘性解决方案,等。在1997。
简介:Brownian运动和泊松过程(BDSDEP)在随机的时间间隔上与non-Lipschitz系数驾驶的向后的二倍地随机的微分方程被学习。为quasilinear的一个类的答案的概率的解释随机的部分微分积分的方程(SPDIE)与BDSDEP被对待。在non-Lipschitz条件下面,BDSDEP的可测量的答案的存在和唯一结果经由变光滑的技术被建立。然后,为BDSDEP的答案的连续依赖被导出。最后,为quasilinearSPDIE的一个班的答案的概率的解释被给。
简介:Somepreliminaryresultsonstrictboundedreallemmafortime-varyingcontinuouslinearsystemsareproposed,whereuncertaintyininitialconditions,terminalcostandextremeofthecostfunctionaredealtwithexplicitly.Basedontheseresults,anewrecursiveapproachisproposedinthenecessityproofofstrictboundedreallemmaforgeneralizedlinearsystemwithfinitediscretejumps.
简介:Bothnecessaryandsufficientmaximumprinciplesforoptimalcontrolofstochasticsystemwithrandomjumpsconsistingofforwardandbackwardstatevariablesareproved.Thecontrolvariableisallowedtoenterbothdiffusionandjumpcoefficients.Theresultisappliedtoamean-varianceportfolioselectionmixedwitharecursiveutilityfunctionaloptimizationproblem.Explicitexpressionoftheoptimalportfolioselectionstrategyisobtainedinthestatefeedbackform.
简介:Theexistenceofapathwiseuniquestrongsolutionforthestochasticdifferentialequation(S.D.E.)withPoissonjumpsinn-dimensionalspacewithoutcontinuityassumptionondriftcoefficient,whichevencanbegreaterthanlineargrowth,andwithoutLipschitzconditionondiffusioncoefficientsisobtained.ThentheexistenceofapathwisestochasticoptimalBang-Bangcontrolforaverymuchnon-linearsystemwithPoissonjumpsinn-dimensionalspaceisderived.Theresultisalsoappliedtoobtainamaximumlikelihoodestimate(MLE)ofparameterforsomecontinuous,S.D.E.withnon-Lipschitzoeffieientsinn-dimensionalspace.
简介:Thisworkdevelopsnear-optimalcontrolsforsystemsgivenbydifferentialequationswithwidebandnoiseandrandomswitching.Therandomswitchingismodeledbyacontinuous-time,time-inhomogeneousMarkovchain.Underbroadconditions,itisshownthatthereisanassociatedlimitproblem,whichisaswitchingjumpdiffusion.Usingnear-optimalcontrolsofthelimitsystem,wethenbuildcontrolsfortheoriginalsystems.Itisshownthatsuchconstructedcontrolsarenearlyoptimal.
简介:THECHANGESANDCLIMATICJUMPSINFERREDFROMTHEAGRICULTURALDRYNESSANDWETNESSINTHECHANGJIANG-HUAIHEVALLEYFORTHELAST500YEARSXueHeng(薛...