In this paper, we investigate the convergence behavior of the asymmetric Deffuant-Weisbuch (DW) models during the opinion evolution. Based on the convergence of the asymmetric DW model that generalizes the conventional DW model, we first propose a new concept, the separation time, to study the transient behavior during the DW model's opinion evolution. Then we provide an upper bound of the expected separation time with the help of stochastic analysis. Finally, we show relations of the separation...

This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities we...

We introduce a new condition which extends the definition of sticky particle dynamics to the case of discontinuous initial velocities $u_0$ with negative jumps. We show the existence of a stochastic process and a forward flow $\phi$ satisfying $X_{s+t}=\phi (X_s,t,P_s,u_s)$ and $\mathrm{d}{X}_t=\mathrm{E}[u_0\left(X_0\right)/X_t]\mathrm{d}t$, where $P_s=P{X}_s^{-1}$ is the law of $X_s$ and $u_s\left(x\right)=\mathrm{E}[u_0\left(X_0\right)/X_s=x]$ is the velocity of particle $x$ at time $s\ge 0$. Results on the flow characterization and Lipschitz continuity are also given.Moreover, the map $(x,t)\mapsto M(x,t):=P(X_t\le x)$ is the entropy solution of a scalar conservation law ${\partial }_{t}M+{\partial }_x\left(A\left(M\right)\right)=0$ where the flux $A$ represents the particles...

A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes rating migrations driven by a Markov chain. All basic types of recovery are investigated. We formulate necessary and sufficient conditions (generalized HJM conditions) under which the market is arbitrage-free. Connections with consistency conditions are discussed.

We study the numerical approximation of doubly reflected backward stochastic differential equations with intermittent upper barrier (RIBSDEs). These denote reflected BSDEs in which the upper barrier is only active on certain random time intervals. From the point of view of financial interpretation, RIBSDEs arise as pricing equations of game options with constrained callability. In a Markovian set-up we prove a convergence rate for a time-discretization scheme by simulation to an RIBSDE. We also...

This paper considers dynamic term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We study general forward rate curves driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the literature. A precise characterization of absence of arbitrage in such markets is given in terms of a suitable criterion for no asymptotic free lunch (NAFL). From this, we obtain drift conditions which are equivalent...

In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying (e.g. electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential...

Let us consider a solution of a one-dimensional stochastic differential equation driven by a standard Brownian motion with time-inhomogeneous drift coefficient ${\rho sgn\left(x\right)\left|x\right|}^{\alpha }/t^{\beta }$. This process can be viewed as a Brownian motion evolving in a potential, possibly singular, depending on time. We prove results on the existence and uniqueness of solution, study its asymptotic behaviour and made a precise description, in terms of parameters $\rho$, $\alpha$ and $\beta$, of the recurrence, transience and convergence. More precisely, asymptotic...