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Risk-sensitive discounted Markov decision processes with unbounded reward functions and Borel spaces 具有无约束奖励函数和 Borel 空间的风险敏感贴现马尔可夫决策过程
Pub Date : 2024-03-12 DOI: 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...
本文试图研究 Borel 空间中的风险敏感贴现离散时间马尔可夫决策过程,其中允许奖励函数从上至下都是无界的。
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引用次数: 0
First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses 通过时变椭圆的二维维纳过程和奥恩斯坦-乌伦贝克过程的首次出口时间问题
Pub Date : 2024-03-12 DOI: 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。...
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引用次数: 0
Optimal exercise of American options under time-dependent Ornstein–Uhlenbeck processes 在随时间变化的 Ornstein-Uhlenbeck 过程下美式期权的最佳行使方式
Pub Date : 2024-03-12 DOI: 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...
我们研究了根据时间相关的奥恩斯坦-乌伦贝克(Ornstein-Uhlenbeck)过程书写的美式期权的最佳行权时间的障碍。
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引用次数: 0
Stochastic near-optimal controls for treatment and vaccination in a COVID-19 model with transmission incorporating Lévy jumps COVID-19 传播模型中治疗和疫苗接种的随机近优控制包含莱维跃变
Pub Date : 2024-03-12 DOI: 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...
COVID-19 大流行引发了对数学模型的突破性依赖,将其作为自病毒出现以来研究和管理病毒传播的重要工具。公共卫生预...
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引用次数: 0
Asymptotic properties for the parameter estimation in stochastic (functional) differential equations with Hölder drift 具有霍尔德漂移的随机(函数)微分方程参数估计的渐近特性
Pub Date : 2024-03-12 DOI: 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。
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引用次数: 0
Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses 二维离散时间风险模型中毁坏概率的渐近性,该模型具有依赖性和持续变化的尾部净损失
Pub Date : 2024-03-12 DOI: 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...
考虑一家经营两种业务的保险公司,因此会收到两种类型的保险净损失。在利率不变的二维离散时间风险模型中,净损失...
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引用次数: 0
Limit theorems for a class of processes generalizing the U-empirical process 一类泛化 U 经验过程的极限定理
Pub Date : 2024-03-12 DOI: 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...
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引用次数: 0
Criteria for what makes a local optional martingale a true martingale 使局部可选马丁格尔成为真正马丁格尔的标准
Pub Date : 2024-01-31 DOI: 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 ...
在底层过滤不正确连续也不完整的概率空间中,是什么使得可选随机指数成为真正的可选马丁格尔?在本文中,我们将 ...
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引用次数: 0
Low-dimensional Cox-Ingersoll-Ross process 低维 Cox-Ingersoll-Ross 过程
Pub Date : 2024-01-10 DOI: 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 ...
本文研究了维数小于 1 的 Cox-Ingersoll-Ross (CIR) 过程,重点是获得一种新型方程,其中包括 CIR 平方根的局部时间。
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引用次数: 0
On weighted pseudo almost automorphic mild solutions for some mean field stochastic evolution equations 论某些均值场随机演化方程的加权伪几乎自动温和解
Pub Date : 2024-01-09 DOI: 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...
当演化族是双曲的并满足Acquistapace-Terreni条件时,一个近似自形温和解和一个加权伪近似自形解的存在性和唯一性...
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引用次数: 0
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Stochastics
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