All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Previous Page 19 Next

Displaying 361 – 380 of 392

Showing per page

Optimal stopping of a 2-vector risk process

Krzysztof Szajowski (2010)

Banach Center Publications

The following problem in risk theory is considered. An insurance company, endowed with an initial capital a > 0, receives insurance premiums and pays out successive claims from two kind of risks. The losses occur according to a marked point process. At any time the company may broaden or narrow down the offer, which entails the change of the parameters of the underlying risk process. These changes concern the rate of income, the intensity of the renewal process and the distribution of claims....

Optimal stopping of a risk process

Elżbieta Ferenstein, Andrzej Sierociński (1997)

Applicationes Mathematicae

Optimal stopping time problems for a risk process U t = u + c t - ∑ n = 0 N ( t ) X n where the number N(t) of losses up to time t is a general renewal process and the sequence of X i ’s represents successive losses are studied. N(t) and X i ’s are independent. Our goal is to maximize the expected return before the ruin time. The main results are closely related to those obtained by Boshuizen and Gouweleew [2].

Optimal stopping with advanced information flow: selected examples

Yaozhong Hu, Bernt Øksendal (2008)

Banach Center Publications

We study optimal stopping problems for some functionals of Brownian motion in the case when the decision whether or not to stop before (or at) time t is allowed to be based on the δ-advanced information ℱ t + δ , where ℱ s is the σ-algebra generated by Brownian motion up to time s, s ≥ -δ, δ > 0 being a fixed constant. Our approach involves the forward integral and the Malliavin calculus for Brownian motion.

Optimal transportation for multifractal random measures and applications

Rémi Rhodes, Vincent Vargas (2013)

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

In this paper, we study optimal transportation problems for multifractal random measures. Since these measures are much less regular than optimal transportation theory requires, we introduce a new notion of transportation which is intuitively some kind of multistep transportation. Applications are given for construction of multifractal random changes of times and to the existence of random metrics, the volume forms of which coincide with the multifractal random measures.

Optimality of replication in the CRR model with transaction costs

Marek Rutkowski (1998)

Applicationes Mathematicae

Recently, there has been a growing interest in optimization problems associated with the arbitrage pricing of derivative securities in imperfect markets (in particular, in models with transaction costs). In this paper, we examine the valuation and hedging of European claims in the multiplicative binomial model proposed by Cox, Ross and Rubinstein [5] (the CRR model), in the presence of proportional transaction costs. We focus on the optimality of replication; in particular, we provide sufficient...

Optimisation in space of measures and optimal design

Ilya Molchanov, Sergei Zuyev (2004)

ESAIM: Probability and Statistics

The paper develops an approach to optimal design problems based on application of abstract optimisation principles in the space of measures. Various design criteria and constraints, such as bounded density, fixed barycentre, fixed variance, etc. are treated in a unified manner providing a universal variant of the Kiefer-Wolfowitz theorem and giving a full spectrum of optimality criteria for particular cases. Incorporating the optimal design problems into conventional optimisation framework makes...

Optimisation in space of measures and optimal design

Ilya Molchanov, Sergei Zuyev (2010)

ESAIM: Probability and Statistics

The paper develops an approach to optimal design problems based on application of abstract optimisation principles in the space of measures. Various design criteria and constraints, such as bounded density, fixed barycentre, fixed variance, etc. are treated in a unified manner providing a universal variant of the Kiefer-Wolfowitz theorem and giving a full spectrum of optimality criteria for particular cases. Incorporating the optimal design problems into conventional optimisation framework...

Optional splitting formula in a progressively enlarged filtration

Shiqi Song (2014)

ESAIM: Probability and Statistics

Let 𝔽 F be a filtration andτbe a random time. Let 𝔾 G be the progressive enlargement of 𝔽 F withτ. We study the following formula, called the optional splitting formula: For any 𝔾 G-optional processY, there exists an 𝔽 F-optional processY′ and a function Y′′ defined on [0,∞] × (ℝ+ × Ω) being ℬ [ 0 , ∞ ] ⊗ 𝒪 ( 𝔽 ) ℬ[0,∞]⊗x1d4aa;(F) measurable, such that Y = Y ' 1 [ 0 , τ ) + Y ' ' ( τ ) 1 [ τ , ∞ ) . Y=Y′1[0,τ)+Y′′(τ)1[τ,∞). (This formula can also be formulated for multiple random timesτ1,...,τk). We are interested in this formula because of its fundamental role in many...

Ordered random walks.

Eichelsbacher, Peter, König, Wolfgang (2008)

Electronic Journal of Probability [electronic only]

Currently displaying 361 – 380 of 392