Pub Date : 2024-03-12DOI: 10.1080/17442508.2024.2314462
Xin Guo
This paper attempts to study the risk-sensitive discounted discrete-time Markov decision processes in Borel spaces, in which the reward functions are allowed to be unbounded from above and from bel...
{"title":"Risk-sensitive discounted Markov decision processes with unbounded reward functions and Borel spaces","authors":"Xin Guo","doi":"10.1080/17442508.2024.2314462","DOIUrl":"https://doi.org/10.1080/17442508.2024.2314462","url":null,"abstract":"This paper attempts to study the risk-sensitive discounted discrete-time Markov decision processes in Borel spaces, in which the reward functions are allowed to be unbounded from above and from bel...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"287 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140108181","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-12DOI: 10.1080/17442508.2024.2315274
Antonio Di Crescenzo, Virginia Giorno, Amelia G. Nobile, Serena Spina
We study the first-exit-time problem for the two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses which run according to specific rules depending on the processes. ...
我们通过时变椭圆来研究二维维纳过程和奥恩斯坦-乌伦贝克过程的首次退出时间问题。...
{"title":"First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses","authors":"Antonio Di Crescenzo, Virginia Giorno, Amelia G. Nobile, Serena Spina","doi":"10.1080/17442508.2024.2315274","DOIUrl":"https://doi.org/10.1080/17442508.2024.2315274","url":null,"abstract":"We study the first-exit-time problem for the two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses which run according to specific rules depending on the processes. ...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"76 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140107846","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-12DOI: 10.1080/17442508.2024.2325402
Abel Azze, Bernardo D'Auria, Eduardo García-Portugués
We study the barrier that gives the optimal time to exercise an American option written on a time-dependent Ornstein–Uhlenbeck process, a diffusion often adopted by practitioners to model commodity...
{"title":"Optimal exercise of American options under time-dependent Ornstein–Uhlenbeck processes","authors":"Abel Azze, Bernardo D'Auria, Eduardo García-Portugués","doi":"10.1080/17442508.2024.2325402","DOIUrl":"https://doi.org/10.1080/17442508.2024.2325402","url":null,"abstract":"We study the barrier that gives the optimal time to exercise an American option written on a time-dependent Ornstein–Uhlenbeck process, a diffusion often adopted by practitioners to model commodity...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"69 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140107994","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-12DOI: 10.1080/17442508.2024.2320846
Driss Bouggar, Mohamed El Fatini, Bouchra Nasri, Roger Petersson, Idriss Sekkak
The COVID-19 pandemic has triggered a groundbreaking reliance on mathematical modelling as an important tool for studying and managing the spread of the virus since its emergence. Public health pre...
{"title":"Stochastic near-optimal controls for treatment and vaccination in a COVID-19 model with transmission incorporating Lévy jumps","authors":"Driss Bouggar, Mohamed El Fatini, Bouchra Nasri, Roger Petersson, Idriss Sekkak","doi":"10.1080/17442508.2024.2320846","DOIUrl":"https://doi.org/10.1080/17442508.2024.2320846","url":null,"abstract":"The COVID-19 pandemic has triggered a groundbreaking reliance on mathematical modelling as an important tool for studying and managing the spread of the virus since its emergence. Public health pre...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"29 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140107845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-12DOI: 10.1080/17442508.2024.2320397
Yanyan Hu, Fubao Xi, Min Zhu
In this paper, by taking Zvonkin's transformation, we investigate parameter estimation for a class of multidimensional stochastic differential equations with small perturbation parameters in diffus...
本文通过 Zvonkin 变换，研究了一类具有小扰动参数的多维随机微分方程的参数估计问题。
{"title":"Asymptotic properties for the parameter estimation in stochastic (functional) differential equations with Hölder drift","authors":"Yanyan Hu, Fubao Xi, Min Zhu","doi":"10.1080/17442508.2024.2320397","DOIUrl":"https://doi.org/10.1080/17442508.2024.2320397","url":null,"abstract":"In this paper, by taking Zvonkin's transformation, we investigate parameter estimation for a class of multidimensional stochastic differential equations with small perturbation parameters in diffus...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"75 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140107991","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-12DOI: 10.1080/17442508.2024.2315272
Hongxia Wang, Qi Su, Yang Yang
Consider an insurer who operates two lines of businesses and hence receives two types of insurance net losses. In the bidimensional discrete-time risk model with a constant interest rate, the net l...
{"title":"Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses","authors":"Hongxia Wang, Qi Su, Yang Yang","doi":"10.1080/17442508.2024.2315272","DOIUrl":"https://doi.org/10.1080/17442508.2024.2315272","url":null,"abstract":"Consider an insurer who operates two lines of businesses and hence receives two types of insurance net losses. In the bidimensional discrete-time risk model with a constant interest rate, the net l...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"286 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140108021","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-12DOI: 10.1080/17442508.2024.2320402
Salim Bouzebda, Inass Soukarieh
In this paper, we develop theory and tools for studying U-processes, a natural higher-order generalization of the empirical processes. We introduce a class of random discrete U-measures that genera...
在本文中，我们开发了研究 U 过程的理论和工具，U 过程是经验过程的自然高阶概括。我们引入了一类随机离散的 U-度量，这些度量产生...
{"title":"Limit theorems for a class of processes generalizing the U-empirical process","authors":"Salim Bouzebda, Inass Soukarieh","doi":"10.1080/17442508.2024.2320402","DOIUrl":"https://doi.org/10.1080/17442508.2024.2320402","url":null,"abstract":"In this paper, we develop theory and tools for studying U-processes, a natural higher-order generalization of the empirical processes. We introduce a class of random discrete U-measures that genera...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140108005","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-31DOI: 10.1080/17442508.2024.2307015
Mohamed Abdelghani, Alexander Melnikov
What makes an optional stochastic exponential a true optional martingale in a probability space where the underlying filtration is not right continuous nor complete. In this paper, we are going to ...
{"title":"Criteria for what makes a local optional martingale a true martingale","authors":"Mohamed Abdelghani, Alexander Melnikov","doi":"10.1080/17442508.2024.2307015","DOIUrl":"https://doi.org/10.1080/17442508.2024.2307015","url":null,"abstract":"What makes an optional stochastic exponential a true optional martingale in a probability space where the underlying filtration is not right continuous nor complete. In this paper, we are going to ...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139665913","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-10DOI: 10.1080/17442508.2023.2300291
Yuliya Mishura, Andrey Pilipenko, Anton Yurchenko-Tytarenko
The present paper investigates Cox-Ingersoll-Ross (CIR) processes of dimension less than 1, with a focus on obtaining an equation of a new type including local times for the square root of the CIR ...
{"title":"Low-dimensional Cox-Ingersoll-Ross process","authors":"Yuliya Mishura, Andrey Pilipenko, Anton Yurchenko-Tytarenko","doi":"10.1080/17442508.2023.2300291","DOIUrl":"https://doi.org/10.1080/17442508.2023.2300291","url":null,"abstract":"The present paper investigates Cox-Ingersoll-Ross (CIR) processes of dimension less than 1, with a focus on obtaining an equation of a new type including local times for the square root of the CIR ...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"4 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139470193","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-09DOI: 10.1080/17442508.2023.2283554
Moustapha Dieye, Amadou Diop, Mamadou Moustapha Mbaye, Mark A. McKibben
When the evolution family is hyperbolic and satisfies the Acquistapace-Terreni conditions, the existence and uniqueness of an almost automorphic mild solution and a weighted pseudo almost automorph...
{"title":"On weighted pseudo almost automorphic mild solutions for some mean field stochastic evolution equations","authors":"Moustapha Dieye, Amadou Diop, Mamadou Moustapha Mbaye, Mark A. McKibben","doi":"10.1080/17442508.2023.2283554","DOIUrl":"https://doi.org/10.1080/17442508.2023.2283554","url":null,"abstract":"When the evolution family is hyperbolic and satisfies the Acquistapace-Terreni conditions, the existence and uniqueness of an almost automorphic mild solution and a weighted pseudo almost automorph...","PeriodicalId":501524,"journal":{"name":"Stochastics","volume":"15 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139409837","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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