190 research outputs found

    An existence theorem for strong liftings

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    Supports for degenerate stochastic differential equations with jumps and applications

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    In the paper, we are concerned with degenerate stochastic differential equa- tions with jumps. Firstly, we establish two support theorems for the solutions of the degenerate stochastic equations, under different (sufficient) conditions. Secondly, we ap- ply one of our support theorems to a class of degenerate stochastic evolution equations (i.e., infinite-dimensional stochastic differential equations) with jumps to get a charac- terisation of path-independence for the densities of their Girsanov transformations

    Global existence of solutions for the relativistic Boltzmann equation with arbitrarily large initial data on a Bianchi type I space-time

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    We prove, for the relativistic Boltzmann equation on a Bianchi type I space-time, a global existence and uniqueness theorem, for arbitrarily large initial data.Comment: 17 page

    Constructing Sublinear Expectations on Path Space

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    We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a generalization of the random G-expectation, and an optional sampling theorem that holds without exceptional set. Our results also shed light on the inherent limitations to constructing sublinear expectations through aggregation.Comment: 28 pages; forthcoming in 'Stochastic Processes and their Applications

    The Bismut-Elworthy-Li type formulae for stochastic differential equations with jumps

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    Consider jump-type stochastic differential equations with the drift, diffusion and jump terms. Logarithmic derivatives of densities for the solution process are studied, and the Bismut-Elworthy-Li type formulae can be obtained under the uniformly elliptic condition on the coefficients of the diffusion and jump terms. Our approach is based upon the Kolmogorov backward equation by making full use of the Markovian property of the process.Comment: 29 pages, to appear in Journal of Theoretical Probabilit

    Balance, growth and diversity of financial markets

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    A financial market comprising of a certain number of distinct companies is considered, and the following statement is proved: either a specific agent will surely beat the whole market unconditionally in the long run, or (and this "or" is not exclusive) all the capital of the market will accumulate in one company. Thus, absence of any "free unbounded lunches relative to the total capital" opportunities lead to the most dramatic failure of diversity in the market: one company takes over all other until the end of time. In order to prove this, we introduce the notion of perfectly balanced markets, which is an equilibrium state in which the relative capitalization of each company is a martingale under the physical probability. Then, the weaker notion of balanced markets is discussed where the martingale property of the relative capitalizations holds only approximately, we show how these concepts relate to growth-optimality and efficiency of the market, as well as how we can infer a shadow interest rate that is implied in the economy in the absence of a bank.Comment: 25 page

    Design engineers and technical professionals at work: Observing information usage in the workplace

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    This exploratory study examines how design engineers and technical professionals (hereafter referred to as engineers) in innovative high-tech firms in the United States and India use information in their daily work activities including research, development, and management. The researchers used naturalistic observation to conduct a series of daylong workplace observations with 103 engineers engaged in product design and testing in four U.S.- and two India-based firms. A key finding is that engineers spend about one fourth of their day engaged in some type of information event, which was somewhat lower than the percentage identified in previous research. The explanation may be rooted in the significant change in the information environment and corporate expectations in the last 15 years, which is the time of the original study. Searching technology has improved, making searching less time consuming, and engineers are choosing the Internet as a primary source even though information may not be as focused, as timely, or as authoritative. The study extends our understanding of the engineering workplace, and the information environment in the workplace, and provides information useful for improving methods for accessing and using information, which could ultimately lead to better job performance, facilitate innovation, and encourage economic growth

    Global Solution to the Relativistic Enskog Equation With Near-Vacuum Data

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    We give two hypotheses of the relativistic collision kernal and show the existence and uniqueness of the global mild solution to the relativistic Enskog equation with the initial data near the vacuum for a hard sphere gas.Comment: 6 page
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