17,495 research outputs found
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
This paper studies the properties of the optimal portfolio-consumption
strategies in a {finite horizon} robust utility maximization framework with
different borrowing and lending rates. In particular, we allow for constraints
on both investment and consumption strategies, and model uncertainty on both
drift and volatility. With the help of explicit solutions, we quantify the
impacts of uncertain market parameters, portfolio-consumption constraints and
borrowing costs on the optimal strategies and their time monotone properties.Comment: 35 pages, 8 tables, 1 figur
Second Order Backward Stochastic Differential Equations with Quadratic Growth
We extend the wellposedness results for second order backward stochastic
differential equations introduced by Soner, Touzi and Zhang \cite{stz} to the
case of a bounded terminal condition and a generator with quadratic growth in
the variable. More precisely, we obtain uniqueness through a representation
of the solution inspired by stochastic control theory, and we obtain two
existence results using two different methods. In particular, we obtain the
existence of the simplest purely quadratic 2BSDEs through the classical
exponential change, which allows us to introduce a quasi-sure version of the
entropic risk measure. As an application, we also study robust risk-sensitive
control problems. Finally, we prove a Feynman-Kac formula and a probabilistic
representation for fully nonlinear PDEs in this setting.Comment: 31 page
On Iterative Algorithms for Quantitative Photoacoustic Tomography in the Radiative Transport Regime
In this paper, we describe the numerical reconstruction method for
quantitative photoacoustic tomography (QPAT) based on the radiative transfer
equation (RTE), which models light propagation more accurately than diffusion
approximation (DA). We investigate the reconstruction of absorption coefficient
and/or scattering coefficient of biological tissues. Given the scattering
coefficient, an improved fixed-point iterative method is proposed to retrieve
the absorption coefficient for its cheap computational cost. And we prove the
convergence. To retrieve two coefficients simultaneously, Barzilai-Borwein (BB)
method is applied. Since the reconstruction of optical coefficients involves
the solution of original and adjoint RTEs in the framework of optimization, an
efficient solver with high accuracy is improved from~\cite{Gao}. Simulation
experiments illustrate that the improved fixed-point iterative method and the
BB method are the comparative methods for QPAT in two cases.Comment: 21 pages, 44 figure
Simulation-Based Hypothesis Testing of High Dimensional Means Under Covariance Heterogeneity
In this paper, we study the problem of testing the mean vectors of high
dimensional data in both one-sample and two-sample cases. The proposed testing
procedures employ maximum-type statistics and the parametric bootstrap
techniques to compute the critical values. Different from the existing tests
that heavily rely on the structural conditions on the unknown covariance
matrices, the proposed tests allow general covariance structures of the data
and therefore enjoy wide scope of applicability in practice. To enhance powers
of the tests against sparse alternatives, we further propose two-step
procedures with a preliminary feature screening step. Theoretical properties of
the proposed tests are investigated. Through extensive numerical experiments on
synthetic datasets and an human acute lymphoblastic leukemia gene expression
dataset, we illustrate the performance of the new tests and how they may
provide assistance on detecting disease-associated gene-sets. The proposed
methods have been implemented in an R-package HDtest and are available on CRAN.Comment: 34 pages, 10 figures; Accepted for biometric
Second order reflected backward stochastic differential equations
In this article, we build upon the work of Soner, Touzi and Zhang [Probab.
Theory Related Fields 153 (2012) 149-190] to define a notion of a second order
backward stochastic differential equation reflected on a lower c\`adl\`ag
obstacle. We prove existence and uniqueness of the solution under a
Lipschitz-type assumption on the generator, and we investigate some links
between our reflected 2BSDEs and nonclassical optimal stopping problems.
Finally, we show that reflected 2BSDEs provide a super-hedging price for
American options in a market with volatility uncertainty.Comment: Published in at http://dx.doi.org/10.1214/12-AAP906 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org). arXiv admin note: text
overlap with arXiv:1003.6053 by other author
The obstacle problem for semilinear parabolic partial integro-differential equations
This paper presents a probabilistic interpretation for the weak Sobolev
solution of the obstacle problem for semilinear parabolic partial
integro-differential equations (PIDEs).
The results of Leandre (1985) concerning the homeomorphic property for the
solution of SDEs with jumps are used to construct random test functions for the
variational equation for such PIDEs. This results in the natural connection
with the associated Reflected Backward Stochastic Differential Equations with
jumps (RBSDEs), namely Feynman Kac's formula for the solution of the PIDEs.
Moreover it gives an application to the pricing and hedging of contingent
claims with constraints in the wealth or portfolio processes in financial
markets including jumps.Comment: 31 page
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