Titlebook: Stochastic Analysis, Filtering, and Stochastic Optimization; A Commemorative Volu George Yin,Thaleia Zariphopoulou Book 2022 The Editor(s)

无节奏

A Variational Characterization of Langevin-Smoluchowski Diffusions,tropic-type criterion. Repeated application of these forward-backward steps leads to a sequence of stochastic control problems, whose initial/terminal distributions converge to the Gibbs probability measure of the diffusion, and whose values decrease to zero along the relative entropy of the Langevi

争议的苹果

Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality,mposed through the new notion of “closeness to Pareto optimality”—is shown to be sufficient for existence and uniqueness. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.

ALE

Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability I, The classical results of Freidlin and Wentzell show that the time this diffusion spends in the domain of attraction of one of these local minima is approximately exponentially distributed and hence the diffusion should behave approximately like aMarkov chain on the local minima.By thework ofBovier

纵欲

Finite Markov Chains Coupled to General Markov Processes and An Application to Metastability II, The classical results of Freidlin and Wentzell show that the time this diffusion spends in the domain of attraction of one of these local minima is approximately exponentially distributed and hence the diffusion should behave approximately like aMarkov chain on the local minima. By the work of Bovi

muscle-fibers

Maximally Distributed Random Fields under Sublinear Expectation,d finite-dimensional distribution. The corresponding spatial maximally distributed white noise is constructed, which includes the temporal-spatial situation as a special case due to the symmetrical independence property of maximal distribution. In addition, the stochastic integrals with respect to t

原来

Pairs Trading under Geometric Brownian Motion Models,air of securities, typically stocks. The idea is to monitor the spread of their price movements over time. A pairs trade is triggered by their price divergence (e.g., one stock moves up a significant amount relative to the other) and consists of a short position in the strong stock and a long positi

Allodynia

Equilibrium Model of Limit Order Books: A Mean-Field Game View,ocal, reflected mean-field stochastic differential equation (SDE) with state-dependent intensity. To motivate the model we first study an .-seller static mean-field type Bertrand game among the liquidity providers. We shall then formulate the continuous time model as the limiting mean-field dynamics

Expostulate

季雨

使残废