Stochastic Models最新文献

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A stochastic log-logistic diffusion process: Statistical computational aspects and application to real data 随机对数逻辑扩散过程：统计计算方面及其在实际数据中的应用

IF 0.7 4区数学 Q3 Mathematics

Stochastic Models

Pub Date : 2023-08-09 DOI: 10.1080/15326349.2023.2241070

Abdenbi El Azri, Nafidi Ahmed

引用次数: 0

Gambler’s ruin with random stopping 赌徒的毁灭与随机停止

IF 0.7 4区数学 Q3 Mathematics

Stochastic Models

Pub Date : 2023-08-03 DOI: 10.1080/15326349.2023.2241066

G. J. Morrow

. Let { X j , j ≥ 0 } denote a Markov process on [ − N − 1 , N +1] ∪{ c } . Suppose P ( X j +1 = m +1 | X j = m ) = ph , P ( X j +1 = m − 1 | X j = m ) = (1 − p ) h , all j ≥ 1 and | m | ≤ N , where p = 12 + bN and h = 1 − c N for c N = 12 a 2 /N 2 . Deﬁne P ( X j +1 = c | X j = m ) = c N , j ≥ 0, | m | ≤ N . { X j } terminates at the ﬁrst j such that X j ∈ {− N − 1 , N + 1 , c } . Let L = max { j ≥ 0 : X j = 0 } . On Ω ◦ = { X j terminates at c } , denote by R ◦ , V ◦ , and L ◦ respectively, as the numbers of runs, short runs, and steps from L until termination. Denote Y ◦ = R ◦ − 2 V ◦ and Z ◦ = L ◦ − 3 R ◦ +2 V ◦ . Then lim N →∞ E { e i 1 N ( s Y ◦ + t Z ◦ ) | Ω ◦ } = C a,b

设{Xj，j≥0}表示[−N−1，N+1]Ş{c}上的马尔可夫过程。假设P（Xj+1=m+1|Xj=m）=ph，P（XJ+1=m−1|Xj=m）=（1−P）h，所有j≥1，|m|≤N，其中P=12+bN，h=1−c N，c N=12a2/N 2。定义P（X j+1=c|X j=m）=c N，j≥0，|m|≤N。{Xj}终止于第一个j，使得Xj∈{−N−1，N+1，c}。设L=max｛j≥0:Xj=0｝。在…上Ω ◦ = {Xj终止于c}，用R表示◦ , 五、◦ , 和L◦ 分别为从L到终止的运行次数、短运行次数和步数。表示Y◦ = R◦ − 2伏◦ 和Z◦ = L◦ − 3 R◦ +2伏◦ . 然后lim N→∞ E｛E i 1 N（s Y◦ + t Z◦ ) | Ω ◦ } = C a，b

引用次数: 0

Optimizing Erlangization-based approximations for finite discrete distributions and discrete phase-type distributions 有限离散分布和离散相位型分布的基于Erlangization的近似优化

IF 0.7 4区数学 Q3 Mathematics

Stochastic Models

Pub Date : 2023-07-07 DOI: 10.1080/15326349.2023.2222463

Haoran Wu, Qi-Ming He

引用次数: 0

Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach 平方根因素过程和模型模糊下的稳健最优资产负债管理:一种BSDE方法

IF 0.7 4区数学 Q3 Mathematics

Stochastic Models

Pub Date : 2023-07-07 DOI: 10.1080/15326349.2023.2221822

Yumo Zhang

Abstract

This article studies robust optimal asset-liability management problems for an ambiguity-averse manager in a possibly non-Markovian environment with stochastic investment opportunities. The manager has access to one risk-free asset and one risky asset in a financial market. The market price of risk relies on a stochastic factor process satisfying an affine-form, square-root, Markovian model, whereas the risky asset’s return rate and volatility are potentially given by general non-Markovian, unbounded stochastic processes. This financial framework includes, but is not limited to, the constant elasticity of variance (CEV) model, the family of 4/2 stochastic volatility models, and some path-dependent non-Markovian models, as exceptional cases. As opposed to most of the papers using the Hamilton-Jacobi-Bellman-Issacs (HJBI) equation to deal with model ambiguity in the Markovian cases, we address the non-Markovian case by proposing a backward stochastic differential equation (BSDE) approach. By solving the associated BSDEs explicitly, we derive, in closed form, the robust optimal controls and robust optimal value functions for power and exponential utility, respectively. In addition, analytical solutions to some particular cases of our model are provided. Finally, the effects of model ambiguity and market parameters on the robust optimal investment strategies are illustrated under the CEV model and 4/2 model with numerical examples.

摘要本文研究了具有随机投资机会的可能非马尔可夫环境中规避模糊性的管理者的鲁棒最优资产负债管理问题。经理可以在金融市场上使用一种无风险资产和一种风险资产。风险的市场价格依赖于满足仿射形式的平方根马尔可夫模型的随机因素过程，而风险资产的收益率和波动性则可能由一般的非马尔可夫无界随机过程给出。这个金融框架包括，但不限于，恒定弹性方差(CEV)模型，4/2随机波动模型家族，以及一些路径相关的非马尔可夫模型，作为例外情况。与大多数论文使用Hamilton-Jacobi-Bellman-Issacs (HJBI)方程来处理马尔可夫情况下的模型模糊不同，我们提出了一种倒向随机微分方程(BSDE)方法来解决非马尔可夫情况。通过显式求解相关的BSDEs，我们分别以封闭形式导出了幂效用和指数效用的鲁棒最优控制和鲁棒最优值函数。此外，对模型的一些特殊情况给出了解析解。最后，通过数值算例分析了CEV模型和4/2模型下模型模糊度和市场参数对稳健最优投资策略的影响。

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引用次数: 0

Asset-liability management with state-dependent utility in the regime-switching market 制度转换市场中具有国家依赖效用的资产负债管理

IF 0.7 4区数学 Q3 Mathematics

Stochastic Models

Pub Date : 2023-07-03 DOI: 10.1080/15326349.2022.2138440

Xiufang Li, Dongxu Zhao, Xiaowei Chen

Abstract This paper considers a state-dependent optimal asset-liability management problem in continuous-time settings. The investor maximizes the expected state-dependent utility of the terminal asset-liability ratio in a regime-switching market to better describe insurance companies’ needs for asset-liability matching and regulation with background risk. We apply the stochastic dynamic programming method to get closed-form results. We find that the optimal strategy in the state-dependent utility case is the same, and the optimal value function differs from the state-independent utility case. Finally, we study how the parameters impact the optimal investment strategy and corresponding value functions through numerical examples.

研究连续时间条件下的状态相关最优资产负债管理问题。在制度转换市场中，投资者最大化终端资产负债率的预期国家依赖效用，以更好地描述保险公司对资产负债匹配和背景风险监管的需求。我们应用随机动态规划方法得到封闭形式的结果。我们发现状态依赖效用情况下的最优策略与状态独立效用情况下的最优价值函数是相同的。最后，通过数值算例研究了参数对最优投资策略和相应的价值函数的影响。

引用次数: 1

A general result on complete f-moment convergence with its application to nonparametric regression models 完全f矩收敛的一个一般结果及其在非参数回归模型中的应用

IF 0.7 4区数学 Q3 Mathematics

Stochastic Models

Pub Date : 2023-06-10 DOI: 10.1080/15326349.2023.2210206

S. Zheng, Fei Zhang, Chunhua Wang, Xuejun Wang

引用次数: 1

On the Gaussian Volterra processes with power-type kernels 关于具有幂型核的Gaussian-Volterra过程

IF 0.7 4区数学 Q3 Mathematics

Stochastic Models

Pub Date : 2023-05-19 DOI: 10.1080/15326349.2023.2212763

Mohamed El Omari

引用次数: 1

Stochastic epidemic spreading: not all super-spreading processes are born equal, neither all lockdown strategies 流行病的随机传播:并非所有的超级传播过程都是天生平等的，也不是所有的封锁策略都是如此

IF 0.7 4区数学 Q3 Mathematics

Stochastic Models

Pub Date : 2023-05-12 DOI: 10.1080/15326349.2023.2201329

Jhonatan Tavori, H. Levy

引用次数: 0

Asymptotics for a diffusion-perturbed risk model with dependence structures, constant interest force, and a random number of delayed claims 具有依赖结构、常利率和随机数延迟索赔的扩散扰动风险模型的渐近性

IF 0.7 4区数学 Q3 Mathematics

Stochastic Models

Pub Date : 2023-05-09 DOI: 10.1080/15326349.2023.2209146

Xijun Liu, Qingwu Gao, Zimai Dong

引用次数: 0

Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise 平稳高斯噪声驱动的自回归过程的渐近效率

IF 0.7 4区数学 Q3 Mathematics

Stochastic Models

Pub Date : 2023-05-02 DOI: 10.1080/15326349.2023.2202227

M. Soltane

引用次数: 0

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