463 research outputs found
GKW representation theorem and linear BSDEs under restricted information. An application to risk-minimization
In this paper we provide Galtchouk-Kunita-Watanabe representation results in
the case where there are restrictions on the available information. This allows
to prove existence and uniqueness for linear backward stochastic differential
equations driven by a general c\`adl\`ag martingale under partial information.
Furthermore, we discuss an application to risk-minimization where we extend the
results of F\"ollmer and Sondermann (1986) to the partial information framework
and we show how our result fits in the approach of Schweizer (1994).Comment: 22 page
Utility maximization with random horizon: a BSDE approach
International audienceIn this paper we study a utility maximization problem with random horizon and reduce it to the analysis of a specific BSDE, which we call BSDE with singular coefficients, when the support of the default time is assumed to be bounded. We prove existence and uniqueness of the solution for the equation under interest. Our results are illustrated by numerical simulations
Projections, Pseudo-Stopping Times and the Immersion Property
Given two filtrations , we study under which
conditions the -optional projection and the -dual
optional projection coincide for the class of -optional processes
with integrable variation. It turns out that this property is equivalent to the
immersion property for and , that is every -local martingale is a -local martingale, which, equivalently, may
be characterised using the class of -pseudo-stopping times. We also
show that every -stopping time can be decomposed into the minimum of
two barrier hitting times
Translations in the exponential Orlicz space with Gaussian weight
We study the continuity of space translations on non-parametric exponential
families based on the exponential Orlicz space with Gaussian reference density.Comment: Submitted to GSI 2017, Pari
Random Time Forward Starting Options
We introduce a natural generalization of the forward-starting options, first
discussed by M. Rubinstein. The main feature of the contract presented here is
that the strike-determination time is not fixed ex-ante, but allowed to be
random, usually related to the occurrence of some event, either of financial
nature or not. We will call these options {\bf Random Time Forward Starting
(RTFS)}. We show that, under an appropriate "martingale preserving" hypothesis,
we can exhibit arbitrage free prices, which can be explicitly computed in many
classical market models, at least under independence between the random time
and the assets' prices. Practical implementations of the pricing methodologies
are also provided. Finally a credit value adjustment formula for these OTC
options is computed for the unilateral counterparty credit risk.Comment: 19 pages, 1 figur
Convergence in measure under Finite Additivity
We investigate the possibility of replacing the topology of convergence in
probability with convergence in . A characterization of continuous linear
functionals on the space of measurable functions is also obtained
Optimal Multi-Modes Switching Problem in Infinite Horizon
This paper studies the problem of the deterministic version of the
Verification Theorem for the optimal m-states switching in infinite horizon
under Markovian framework with arbitrary switching cost functions. The problem
is formulated as an extended impulse control problem and solved by means of
probabilistic tools such as the Snell envelop of processes and reflected
backward stochastic differential equations. A viscosity solutions approach is
employed to carry out a finne analysis on the associated system of m
variational inequalities with inter-connected obstacles. We show that the
vector of value functions of the optimal problem is the unique viscosity
solution to the system. This problem is in relation with the valuation of firms
in a financial market
Palm pairs and the general mass-transport principle
We consider a lcsc group G acting properly on a Borel space S and measurably
on an underlying sigma-finite measure space. Our first main result is a
transport formula connecting the Palm pairs of jointly stationary random
measures on S. A key (and new) technical result is a measurable disintegration
of the Haar measure on G along the orbits. The second main result is an
intrinsic characterization of the Palm pairs of a G-invariant random measure.
We then proceed with deriving a general version of the mass-transport principle
for possibly non-transitive and non-unimodular group operations first in a
deterministic and then in its full probabilistic form.Comment: 26 page
Large closed queueing networks in semi-Markov environment and its application
The paper studies closed queueing networks containing a server station and
client stations. The server station is an infinite server queueing system,
and client stations are single-server queueing systems with autonomous service,
i.e. every client station serves customers (units) only at random instants
generated by a strictly stationary and ergodic sequence of random variables.
The total number of units in the network is . The expected times between
departures in client stations are . After a service completion
in the server station, a unit is transmitted to the th client station with
probability , and being processed in the th client
station, the unit returns to the server station. The network is assumed to be
in a semi-Markov environment. A semi-Markov environment is defined by a finite
or countable infinite Markov chain and by sequences of independent and
identically distributed random variables. Then the routing probabilities
and transmission rates (which are expressed via
parameters of the network) depend on a Markov state of the environment. The
paper studies the queue-length processes in client stations of this network and
is aimed to the analysis of performance measures associated with this network.
The questions risen in this paper have immediate relation to quality control of
complex telecommunication networks, and the obtained results are expected to
lead to the solutions to many practical problems of this area of research.Comment: 35 pages, 1 figure, 12pt, accepted: Acta Appl. Mat
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