Pub Date : 2024-09-05DOI: 10.1080/15326349.2024.2394818
Humayra Shoshi, Indranil SenGupta
Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In this article, we use the large deviations theory for the analys...
{"title":"Some asymptotics for short maturity Asian options","authors":"Humayra Shoshi, Indranil SenGupta","doi":"10.1080/15326349.2024.2394818","DOIUrl":"https://doi.org/10.1080/15326349.2024.2394818","url":null,"abstract":"Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In this article, we use the large deviations theory for the analys...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192539","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-09-05DOI: 10.1080/15326349.2024.2393573
Offer Kella, Michel Mandjes
We study the stochastic properties of the area under some function of the difference between (i) a spectrally positive Lévy process Wtx that jumps to a level x > 0 whenever it hits zero and (ii) it...
{"title":"On the area between a Lévy process with secondary jump inputs and its reflected version","authors":"Offer Kella, Michel Mandjes","doi":"10.1080/15326349.2024.2393573","DOIUrl":"https://doi.org/10.1080/15326349.2024.2393573","url":null,"abstract":"We study the stochastic properties of the area under some function of the difference between (i) a spectrally positive Lévy process Wtx that jumps to a level x > 0 whenever it hits zero and (ii) it...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192540","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-08-18DOI: 10.1080/15326349.2024.2375201
Xin Deng, Yang Ding, Yi Wu, Xuejun Wang
In this article, by means of Rosenthal-type inequality, we study the complete convergence and strong law of large numbers for weighted sums of m-widely accpetable random variables under sub-linear ...
{"title":"On complete convergence for weighted sums of m-widely acceptable random variables under sub-linear expectations and its statistical applications","authors":"Xin Deng, Yang Ding, Yi Wu, Xuejun Wang","doi":"10.1080/15326349.2024.2375201","DOIUrl":"https://doi.org/10.1080/15326349.2024.2375201","url":null,"abstract":"In this article, by means of Rosenthal-type inequality, we study the complete convergence and strong law of large numbers for weighted sums of m-widely accpetable random variables under sub-linear ...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192541","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-08-04DOI: 10.1080/15326349.2024.2375195
Hiska M. Boelema, Daan J.J. Dams, Małgorzata M. O’Reilly, Werner R.W. Scheinhardt, Peter G. Taylor
We consider a two-class priority queue in which the priority of a customer increases linearly at some constant, class-dependent rate. We describe the related maximum priority process {(M1(t),M2(t))...
{"title":"A stochastic fluid model approach to the stationary distribution of the maximal priority process","authors":"Hiska M. Boelema, Daan J.J. Dams, Małgorzata M. O’Reilly, Werner R.W. Scheinhardt, Peter G. Taylor","doi":"10.1080/15326349.2024.2375195","DOIUrl":"https://doi.org/10.1080/15326349.2024.2375195","url":null,"abstract":"We consider a two-class priority queue in which the priority of a customer increases linearly at some constant, class-dependent rate. We describe the related maximum priority process {(M1(t),M2(t))...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141933469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-31DOI: 10.1080/15326349.2024.2376223
Guixin Hu, Bingqing Li, Zhihao Geng
This article investigates a stochastic hybrid Gompertz tumor growth model driven by Lévy noise. The global existence of a unique positive solution, extinction, non-persistence in mean, and persiste...
{"title":"Analysis of a stochastic hybrid Gompertz tumor growth model driven by Lévy noise","authors":"Guixin Hu, Bingqing Li, Zhihao Geng","doi":"10.1080/15326349.2024.2376223","DOIUrl":"https://doi.org/10.1080/15326349.2024.2376223","url":null,"abstract":"This article investigates a stochastic hybrid Gompertz tumor growth model driven by Lévy noise. The global existence of a unique positive solution, extinction, non-persistence in mean, and persiste...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141880410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-07-31DOI: 10.1080/15326349.2024.2375203
Arindam Panja, Pradip Kundu, Biswabrata Pradhan
Frailty and resilience models provide a way to introduce random effects in hazard and reversed hazard rate modeling by random variables, called frailty and resilience random variables, respectively...
{"title":"Some stochastic comparison results for frailty and resilience models","authors":"Arindam Panja, Pradip Kundu, Biswabrata Pradhan","doi":"10.1080/15326349.2024.2375203","DOIUrl":"https://doi.org/10.1080/15326349.2024.2375203","url":null,"abstract":"Frailty and resilience models provide a way to introduce random effects in hazard and reversed hazard rate modeling by random variables, called frailty and resilience random variables, respectively...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141886513","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-06-02DOI: 10.1080/15326349.2024.2353062
Yi Wu, Xuejun Wang, Aiting Shen
In this article, some general results on the rates of strong consistency for the least squares estimators and weighted least squares estimators in heteroscedastic partially linear errors-in-variabl...
本文提出了一些关于异方差部分线性变异误差中最小二乘估计和加权最小二乘估计的强一致性率的一般结果。
{"title":"The rates of strong consistency for estimators in heteroscedastic partially linear errors-in-variables model for widely orthant dependent samples","authors":"Yi Wu, Xuejun Wang, Aiting Shen","doi":"10.1080/15326349.2024.2353062","DOIUrl":"https://doi.org/10.1080/15326349.2024.2353062","url":null,"abstract":"In this article, some general results on the rates of strong consistency for the least squares estimators and weighted least squares estimators in heteroscedastic partially linear errors-in-variabl...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141257228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-23DOI: 10.1080/15326349.2024.2355537
Omid Kharazmi, N. Balakrishnan
{"title":"Fisher and Bayes-Fisher information measures for finite mixture distributions","authors":"Omid Kharazmi, N. Balakrishnan","doi":"10.1080/15326349.2024.2355537","DOIUrl":"https://doi.org/10.1080/15326349.2024.2355537","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141103021","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-23DOI: 10.1080/15326349.2024.2353061
Panpan Zhang, Hosam Mahmoud
{"title":"The Sackin index and depth of leaves in generalized Schröder trees","authors":"Panpan Zhang, Hosam Mahmoud","doi":"10.1080/15326349.2024.2353061","DOIUrl":"https://doi.org/10.1080/15326349.2024.2353061","url":null,"abstract":"","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141104242","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-05-21DOI: 10.1080/15326349.2024.2353045
Tomasz R. Bielecki, Igor Cialenco, Hao Liu
The aim of this work is to study risk measures generated by distortion functions in a dynamic discrete time setup and to investigate the corresponding dynamic coherent acceptability indices (DCAIs)...
{"title":"Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions","authors":"Tomasz R. Bielecki, Igor Cialenco, Hao Liu","doi":"10.1080/15326349.2024.2353045","DOIUrl":"https://doi.org/10.1080/15326349.2024.2353045","url":null,"abstract":"The aim of this work is to study risk measures generated by distortion functions in a dynamic discrete time setup and to investigate the corresponding dynamic coherent acceptability indices (DCAIs)...","PeriodicalId":21970,"journal":{"name":"Stochastic Models","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2024-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141150384","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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