Zobrazeno 1 - 10
of 102
pro vyhledávání: '"Ichiba, Tomoyuki"'
We analyze both finite and infinite systems of Riccati equations derived from stochastic differential games on infinite networks. We discuss a connection to the Catalan numbers and the convergence of the Catalan functions by Fourier transforms.
Externí odkaz:
http://arxiv.org/abs/2408.09079
We consider a weighted sum of a series of independent Poisson random variables and show that it results in a new compound Poisson distribution which includes the Poisson distribution and Poisson distribution of order k. An explicit representation for
Externí odkaz:
http://arxiv.org/abs/2407.18217
We study the gap processes in a degenerate system of three particles interacting through their ranks. We obtain the Laplace transform of the invariant measure of these gaps, and an explicit expression for the corresponding invariant density. To deriv
Externí odkaz:
http://arxiv.org/abs/2401.10734
This paper studies relative arbitrage opportunities in a market with infinitely many interacting investors. We establish a conditional McKean-Vlasov system to study the market dynamics coupled with investors. We then provide a theoretical framework t
Externí odkaz:
http://arxiv.org/abs/2311.02690
Real-world data can be multimodal distributed, e.g., data describing the opinion divergence in a community, the interspike interval distribution of neurons, and the oscillators natural frequencies. Generating multimodal distributed real-world data ha
Externí odkaz:
http://arxiv.org/abs/2304.13131
We study the maximization of the logarithmic utility of an insider with different anticipating techniques. Our aim is to compare the usage of the forward and Skorokhod integrals in this context with multiple assets. We show theoretically and with sim
Externí odkaz:
http://arxiv.org/abs/2211.07471
Autor:
Ichiba, Tomoyuki, Min, Ming
We study the smoothness of the solution of the directed chain stochastic differential equations, where each process is affected by its neighborhood process in an infinite directed chain graph, introduced by Detering et al. (2020). Because of the auxi
Externí odkaz:
http://arxiv.org/abs/2202.09354
We analyze the systemic risk for disjoint and overlapping groups (e.g., central clearing counterparties (CCP)) by proposing new models with realistic game features. Specifically, we generalize the systemic risk measure proposed in [F. Biagini, J.-P.
Externí odkaz:
http://arxiv.org/abs/2202.00662
We study the semimartingale properties for the generalized fractional Brownian motion (GFBM) introduced by Pang and Taqqu (2019) and discuss the applications of the GFBM and its mixtures to financial asset pricing. The GFBM is self-similar and has no
Externí odkaz:
http://arxiv.org/abs/2012.00975
The study of linear-quadratic stochastic differential games on directed networks was initiated in Feng, Fouque \& Ichiba \cite{fengFouqueIchiba2020linearquadratic}. In that work, the game on a directed chain with finite or infinite players was define
Externí odkaz:
http://arxiv.org/abs/2011.04279