### A general stochastic target problem with jump diffusion and an application to a hedging problem for large investors.

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The paper deals with the optimal inspections and maintenance problem with costly information for a Markov process with positive discount factor. The associated dynamic programming equation is a quasi-variational inequality with first order differential terms. In this paper we study its different formulations: strong, visousity and evolutionary. The case of impulsive control of purely jump Markov processes is studied as a special case.

With direct and simple proofs, we establish Poincaré type inequalities (including Poincaré inequalities, weak Poincaré inequalities and super Poincaré inequalities), entropy inequalities and Beckner-type inequalities for non-local Dirichlet forms. The proofs are efficient for non-local Dirichlet forms with general jump kernel, and also work for Lp(p> 1) settings. Our results yield a new sufficient condition for fractional Poincaré inequalities, which were recently studied in [P.T. Gressman,...

The biological theory of adaptive dynamics proposes a description of the long-time evolution of an asexual population, based on the assumptions of large population, rare mutations and small mutation steps. Under these assumptions, the evolution of a quantitative dominant trait in an isolated population is described by a deterministic differential equation called 'canonical equation of adaptive dynamics'. In this work, in order to include the effect of genetic drift in this model, we consider instead...

This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a minimal solution for these so-called constrained BSDEs with jumps via a penalization procedure. This new type of BSDE offers a nice and practical unifying framework to the notions of constrained BSDEs presented in [S. Peng and M. Xu, Preprint. (2007)] and BSDEs...

We introduce the analogue of Dunkl processes in the case of an affine root system of type ${\tilde{A}}_{1}$. The construction of the affine Dunkl process is achieved by a skew-product decomposition by means of its radial part and a jump process on the affine Weyl group, where the radial part of the affine Dunkl process is given by a Gaussian process on the ultraspherical hypergroup $[0,1]$. We prove that the affine Dunkl process is a càdlàg Markov process as well as a local martingale, study its jumps, and give a martingale...

Let $({X}_{t},\phantom{\rule{0.277778em}{0ex}}t\ge 0)$ be a Lévy process started at $0$, with Lévy measure $\nu $. We consider the first passage time ${T}_{x}$ of $({X}_{t},\phantom{\rule{0.277778em}{0ex}}t\ge 0)$ to level $x\>0$, and ${K}_{x}:={X}_{{T}_{x}}-\mathit{x}$ the overshoot and ${L}_{x}:=x-{X}_{{T}_{{\mathit{x}}^{-}}}$ the undershoot. We first prove that the Laplace transform of the random triple $({T}_{x},{K}_{x},{L}_{x})$ satisfies some kind of integral equation. Second, assuming that $\nu $ admits exponential moments, we show that $(\tilde{{T}_{x}},{K}_{x},{L}_{x})$ converges in distribution as $x\to \infty $, where $\tilde{{T}_{x}}$ denotes a suitable renormalization of ${T}_{x}$.

Let (Xt, t ≥ 0) be a Lévy process started at 0, with Lévy measure ν. We consider the first passage time Tx of (Xt, t ≥ 0) to level x > 0, and Kx := XTx - x the overshoot and Lx := x- XTx- the undershoot. We first prove that the Laplace transform of the random triple (Tx,Kx,Lx) satisfies some kind of integral equation. Second, assuming that ν admits exponential moments, we show that $(\tilde{{T}_{x}},{K}_{x},{L}_{x})$ converges in distribution as x → ∞, where $\tilde{{T}_{x}}$ denotes a suitable renormalization of Tx.

This article provides entropic inequalities for binomial-Poisson distributions, derived from the two point space. They appear as local inequalities of the M/M/∞ queue. They describe in particular the exponential dissipation of Φ-entropies along this process. This simple queueing process appears as a model of “constant curvature”, and plays for the simple Poisson process the role played by the Ornstein-Uhlenbeck process for Brownian Motion. Some of the inequalities are recovered by semi-group ...

The problem of valuation of American contingent claims for a jump-diffusion market model is considered. Financial assets are described by stochastic differential equations driven by Gaussian and Poisson random measures. In such setting the money market is incomplete, thus contingent claim prices are not uniquely defined. For different equivalent martingale measures different arbitrage free prices can be derived. The problem is to find exact bounds for the set of all possible prices obtained in this...