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发表于 2025-3-25 06:59:56
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发表于 2025-3-25 15:35:11
,On Certain Distributions Associated with the Range of Martingales,imum) reaches a certain threshold. The laws and the conditional laws of its value, maximum, and minimum at this time are simple and do not depend on the local martingale in question. As a consequence, the price and hedge of options which mature when the range reaches a given level are both model-fre
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发表于 2025-3-26 01:33:38
Immersion Property and Credit Risk Modelling,rgement of a reference filtration with the progressive knowledge of a credit event occurrence has become a standard for reduced form modelling. It is known that such a construction rises mathematical difficulties, mainly relied to the properties of the random time. Whereas the invariance of the prop
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发表于 2025-3-26 06:27:07
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发表于 2025-3-26 09:09:17
,On Comparison Theorem and its Applications to Finance,ow, that even though the proof of the generalized theorem follows that of the one-dimensional comparison theorem, the multi-dimensional case requires a different condition on the drift coefficient, known in the theory of differential equations as Kamke-Wazewski condition. We also present several exa
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发表于 2025-3-26 13:36:41
Examples of FCLT in Random Environment,ic stationary random process (.(.,.),.(.,.))., treated as a “random environment”, where . is a small positive parameter. Random environment and Brownian motions are independent random objects. Functions .(.,.),.(.,.) are uniformly bounded and function ..(.,.) is uniformly positive. Random environmen
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发表于 2025-3-26 17:49:54
,The Optimal Time to Exchange one Asset for Another on Finite Interval,ken over all stopping times from . A similar problem, but on infinite interval, was studied by MacDonald and Siegel (Int. Econ. Rev. 26:331–349, .), and by Hu and Oksendal (Finance Stoch. 2(3):295–310, .), who also considered multiple assets. For a finite time horizon, the problem gets consider