Valeurs extrémales de suites stationnaires de variables aléatoires m-dépendantes
Valuation and optimal design to defaultable security
Herein, we develop a backward stochastic differential equation (BSDE) valuation of securities with default risk. Consequently, the optimal recovery problem with quasi-linear utility functions is discussed with the help of the stochastic maximum principle. Finally, two important examples: the exponential and power utility cases are studied and their business implications are considered.
Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets
This paper addresses the two-asset Merton model for option pricing represented by non-stationary integro-differential equations with two state variables. The drawback of most classical methods for solving these types of equations is that the matrices arising from discretization are full and ill-conditioned. In this paper, we first transform the equation using logarithmic prices, drift removal, and localization. Then, we apply the Galerkin method with a recently proposed orthogonal cubic spline-wavelet...
Variance-Constrained finite-horizon filtering for multi-rate time-varying networked systems based on stochastic protocols
In this paper, the variance-constrained finite-horizon filtering problem is investigated for a class of time-varying nonlinear system under muti-rate communication network and stochastic protocol (SP). The stochastic protocol is employed to determine which sensor obtains access to the muti-rate communication network in order to relieve communication burden. A novel mapping technology is applied to characterize the randomly switching behavior of the data transmission resulting from the utilization...
Variation conditionnelle des processus stochastiques
Variation des processus mesurables
Variation des solutions d'une E.D.S., d'après J. M. Bismut
Variational characterisation of Gibbs measures with Delaunay triangle interaction.
Variational representations for continuous time processes
A variational formula for positive functionals of a Poisson random measure and brownian motion is proved. The formula is based on the relative entropy representation for exponential integrals, and can be used to prove large deviation type estimates. A general large deviation result is proved, and illustrated with an example.
Variations sur une formule de Paul Lévy
Vector-Valued Singular Integrals Revisited-with Random Dyadic Cubes
The vector-valued T(1) theorem due to Figiel, and a certain square function estimate of Bourgain for translations of functions with a limited frequency spectrum, are two cornerstones of harmonic analysis in UMD spaces. In this paper, a simplified approach to these results is presented, exploiting Nazarov, Treil and Volberg's method of random dyadic cubes, which allows one to circumvent the most subtle parts of the original arguments.
Vervaat et Lévy
Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type.
Vitesse de convergence en loi de l'estimateur des moindres carrés d'un modèle autorégressif (Cas mixte)
Vitesse de dispersion pour une classe de martingales