Zobrazeno 1 - 10
of 21
pro vyhledávání: '"60G40, 60H30"'
In this article, we consider joint returns to zero of $n$ Bessel processes ($n\geq 2$): our main goal is to estimate the probability that they avoid having joint returns to zero for a long time. More precisely, considering $n$ independent Bessel proc
Externí odkaz:
http://arxiv.org/abs/2406.19344
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is stochastic
Externí odkaz:
http://arxiv.org/abs/2308.02276
We consider the optimal stopping time problem under model uncertainty $R(v)= {\text{ess}\sup\limits}_{ \mathbb{P} \in \mathcal{P}} {\text{ess}\sup\limits}_{\tau \in \mathcal{S}_v} E^\mathbb{P}[Y(\tau) \vert \mathcal{F}_v]$, for every stopping time $v
Externí odkaz:
http://arxiv.org/abs/2303.16847
We consider a class of Backward Stochastic Differential Equations with superlinear driver process $f$ adapted to a filtration supporting at least a $d$ dimensional Brownian motion and a Poisson random measure on ${\mathbb R}^m- \{0\}.$ We consider th
Externí odkaz:
http://arxiv.org/abs/1911.07016
The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the final value is available a priori. This information may proceed, for exa
Externí odkaz:
http://arxiv.org/abs/1909.02916
We solve a class of BSDE with a power function $f(y) = y^q$, $q > 1$, driving its drift and with the terminal boundary condition $ \xi = \infty \cdot \mathbf{1}_{B(m,r)^c}$ (for which $q > 2$ is assumed) or $ \xi = \infty \cdot \mathbf{1}_{B(m,r)}$,
Externí odkaz:
http://arxiv.org/abs/1611.09022
Autor:
Shigeta, Yuki
In this paper, we study optimal switching problems under ambiguity. To characterize the optimal switching under ambiguity in the finite horizon, we use multidimensional reflected backward stochastic differential equations (multidimensional RBSDEs) an
Externí odkaz:
http://arxiv.org/abs/1608.06045
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We study several cases where the solutions can be solved explicitly by str
Externí odkaz:
http://arxiv.org/abs/1409.2226
Publikováno v:
Electronic Journal of Probability, 20 (2015), no. 127, 1-38
We solve the Skorokhod embedding problem for a class of Gaussian processes including Brownian motion with non-linear drift. Our approach relies on solving an associated strongly coupled system of Forward Backward Stochastic Differential Equation (FBS
Externí odkaz:
http://arxiv.org/abs/1408.6390
In this paper, we deal with a class of multivalued backward doubly stochastic differential equations with time delayed coefficients. Based on a slight extension of the existence and uniqueness of solutions for backward doubly stochastic differential
Externí odkaz:
http://arxiv.org/abs/1308.2748