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On differential equations and inclusions with mean derivatives on a compact manifold

S.V. Azarina, Yu.E. Gliklikh (2007)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

We introduce and investigate a new sort of stochastic differential inclusions on manifolds, given in terms of mean derivatives of a stochastic process, introduced by Nelson for the needs of the so called stochastic mechanics. This class of stochastic inclusions is ideologically the closest one to ordinary differential inclusions. For inclusions with forward mean derivatives on manifolds we prove some results on the existence of solutions.

On European option pricing under partial information

Meng Wu, Jue Lu, Nan-jing Huang (2016)

Applications of Mathematics

We consider a European option pricing problem under a partial information market, i.e., only the security's price can be observed, the rate of return and the noise source in the market cannot be observed. To make the problem tractable, we focus on gap option which is a generalized form of the classical European option. By using the stochastic analysis and filtering technique, we derive a Black-Scholes formula for gap option pricing with dividends under partial information. Finally, we apply filtering...

On Existence of Local Martingale Measures for Insiders who Can Stop at Honest Times

Jakub Zwierz (2007)

Bulletin of the Polish Academy of Sciences. Mathematics

We consider a market with two types of agents with different levels of information. In addition to a regular agent, there is an insider whose additional knowledge consists of being able to stop at an honest time Λ. We show, using the multiplicative decomposition of the Azéma supermartingale, that if the martingale part of the price process has the predictable representation property and Λ satisfies some mild assumptions, then there is no equivalent local martingale measure for the insider. This...

On forward and inverse uncertainty quantification for a model for a magneto mechanical device involving a hysteresis operator

Olaf Klein (2023)

Applications of Mathematics

Modeling real world objects and processes one may have to deal with hysteresis effects but also with uncertainties. Following D. Davino, P. Krejčí, and C. Visone (2013), a model for a magnetostrictive material involving a generalized Prandtl-Ishlinski-operator is considered here. Using results of measurements, some parameters in the model are determined and inverse Uncertainty Quantification (UQ) is used to determine random densities to describe the remaining parameters and their uncertainties....

On Henstock-Kurzweil method to Stratonovich integral

Haifeng Yang, Tin Lam Toh (2016)

Mathematica Bohemica

We use the general Riemann approach to define the Stratonovich integral with respect to Brownian motion. Our new definition of Stratonovich integral encompass the classical Stratonovich integral and more importantly, satisfies the ideal Itô formula without the “tail” term, that is, f ( W t ) = f ( W 0 ) + ∫ 0 t f ' ( W s ) ∘ d W s . Further, the condition on the integrands in this paper is weaker than the classical one.

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