Optimal stopping with advanced information flow: selected examples

Yaozhong Hu; Bernt Øksendal

Displaying similar documents to “Optimal stopping with advanced information flow: selected examples”

Characterizations of processes with stationary and independent increments under $G$ -expectation

Yongsheng Song (2013)

Annales de l'I.H.P. Probabilités et statistiques

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Our purpose is to investigate properties for processes with stationary and independent increments under $G$ -expectation. As applications, we prove the martingale characterization of $G$ -Brownian motion and present a pathwise decomposition theorem for generalized $G$ -Brownian motion.

Superdiffusivity for brownian motion in a poissonian potential with long range correlation II: Upper bound on the volume exponent

Hubert Lacoin (2012)

Annales de l'I.H.P. Probabilités et statistiques

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This paper continues a study on trajectories of Brownian Motion in a field of soft trap whose radius distribution is unbounded. We show here that for both point-to-point and point-to-plane model the volume exponent (the exponent associated to transversal fluctuation of the trajectories) $ξ$ is strictly less than $1$ and give an explicit upper bound that depends on the parameters of the problem. In some specific cases, this upper bound matches the lower bound proved in the first part of this...

The brownian cactus I. Scaling limits of discrete cactuses

Nicolas Curien, Jean-François Le Gall, Grégory Miermont (2013)

Annales de l'I.H.P. Probabilités et statistiques

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The cactus of a pointed graph is a discrete tree associated with this graph. Similarly, with every pointed geodesic metric space $E$ , one can associate an $ℝ$ -tree called the continuous cactus of $E$ . We prove under general assumptions that the cactus of random planar maps distributed according to Boltzmann weights and conditioned to have a fixed large number of vertices converges in distribution to a limiting space called the Brownian cactus, in the Gromov–Hausdorff sense. Moreover, the Brownian...

Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case

Krzysztof Dębicki, Grzegorz Sikora (2011)

Applicationes Mathematicae

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Motivated by applications in queueing fluid models and ruin theory, we analyze the asymptotics of $ℙ (s u p_{t \in [0, T]} (\sum_{i = 1}^{n} λ_{i} B_{H_{i}} (t) - c t) > u)$ , where $B_{H_{i}} (t) : t \geq 0$ , i = 1,...,n, are independent fractional Brownian motions with Hurst parameters $H_{i} \in (0, 1]$ and λ₁,...,λₙ > 0. The asymptotics takes one of three different qualitative forms, depending on the value of $m i n_{i = 1, . . ., n} H_{i}$ .

The Dyson Brownian Minor Process

Mark Adler, Eric Nordenstam, Pierre Van Moerbeke (2014)

Annales de l’institut Fourier

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Consider an $n \times n$ Hermitean matrix valued stochastic process ${H_{t}}_{t \geq 0}$ where the elements evolve according to Ornstein-Uhlenbeck processes. It is well known that the eigenvalues perform a so called Dyson Brownian motion, that is they behave as Ornstein-Uhlenbeck processes conditioned never to intersect. In this paper we study not only the eigenvalues of the full matrix, but also the eigenvalues of all the principal minors. That is, the eigenvalues of the $k \times k$ minors in the upper left corner...

The number of absorbed individuals in branching brownian motion with a barrier

Pascal Maillard (2013)

Annales de l'I.H.P. Probabilités et statistiques

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We study supercritical branching Brownian motion on the real line starting at the origin and with constant drift $c$ . At the point $x g t; 0$ , we add an absorbing barrier, i.e. individuals touching the barrier are instantly killed without producing offspring. It is known that there is a critical drift $c_{0}$ , such that this process becomes extinct almost surely if and only if $c \geq c_{0}$ . In this case, if $Z_{x}$ denotes the number of individuals absorbed at the barrier, we give an asymptotic for $P (Z_{x} = n)$ as $n$ goes to infinity....

An application of fine potential theory to prove a Phragmen Lindelöf theorem

Terry J. Lyons (1984)

Annales de l'institut Fourier

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We give a new proof of a Phragmén Lindelöf theorem due to W.H.J. Fuchs and valid for an arbitrary open subset $U$ of the complex plane: if $f$ is analytic on $U$ , bounded near the boundary of $U$ , and the growth of $j$ is at most polynomial then either $f$ is bounded or $U \supset {| z | > r}$ for some positive $r$ and $f$ has a simple pole.

Generators of Brownian motions on abstract Wiener spaces

Kei Harada (2010)

Banach Center Publications

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We prove that Brownian motion on an abstract Wiener space B generates a locally equicontinuous semigroup on $C_{b} (B)$ equipped with the $T_{t}$ -topology introduced by L. Le Cam. Hence we obtain a “Laplace operator” as its infinitesimal generator. Using this Laplacian, we discuss Poisson’s equation and heat equation, and study its properties, especially the difference from the Gross Laplacian.

Minkowski sums and Brownian exit times

Christer Borell (2007)

Annales de la faculté des sciences de Toulouse Mathématiques

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If $C$ is a domain in $^{n},$ the Brownian exit time of $C$ is denoted by $T_{C} .$ Given domains $C$ and $D$ in $^{n}$ this paper gives an upper bound of the distribution function of $T_{C + D}$ when the distribution functions of $T_{C}$ and $T_{D}$ are known. The bound is sharp if $C$ and $D$ are parallel affine half-spaces. The paper also exhibits an extension of the Ehrhard inequality

Hedging in complete markets driven by normal martingales

Youssef El-Khatib, Nicolas Privault (2003)

Applicationes Mathematicae

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This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket $⟨ M, M ⟩_{t}$ , including Brownian motion and the Poisson process as particular cases. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark-Ocone formula or an extension of the delta hedging method, depending on which is most appropriate.

Images of Gaussian random fields: Salem sets and interior points

Narn-Rueih Shieh, Yimin Xiao (2006)

Studia Mathematica

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Let $X = X (t), t \in ℝ^{N}$ be a Gaussian random field in $ℝ^{d}$ with stationary increments. For any Borel set $E \subset ℝ^{N}$ , we provide sufficient conditions for the image X(E) to be a Salem set or to have interior points by studying the asymptotic properties of the Fourier transform of the occupation measure of X and the continuity of the local times of X on E, respectively. Our results extend and improve the previous theorems of Pitt [24] and Kahane [12,13] for fractional Brownian motion.

The generalized Holditch theorem for the homothetic motions on the planar kinematics

Nuri Kuruoğlu, Salim Yüce (2004)

Czechoslovak Mathematical Journal

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W. Blaschke and H. R. Müller [4, p. 142] have given the following theorem as a generalization of the classic Holditch Theorem: Let $E / E^{'}$ be a 1-parameter closed planar Euclidean motion with the rotation number $ν$ and the period $T$ . Under the motion $E / E^{'}$ , let two points $A = (0, 0)$ , $B = (a + b, 0) \in E$ trace the curves $k_{A}, k_{B} \subset E^{'}$ and let $F_{A}, F_{B}$ be their orbit areas, respectively. If $F_{X}$ is the orbit area of the orbit curve $k$ of the point $X = (a, 0)$ which is collinear with points $A$ and $B$ then $F_{X} = \frac{[a F_{B} + b F_{A}]}{a + b} - π ν a b .$ In this paper, under the 1-parameter closed planar homothetic...