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1. |
Shriknage estimators with general quadratic loss and differentiable or paratially differentiable shrinkage function |
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Stochastic Analysis and Applications,
Volume 8,
Issue 2,
1990,
Page 127-156
D. Criticou,
D. Terzakis,
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摘要:
We place ourselves in the n–dimensional normal linear model, for which the variance is known up to a multiplicative factor
ISSN:0736-2994
DOI:10.1080/07362999008809203
出版商:Marcel Dekker, Inc.
年代:1990
数据来源: Taylor
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2. |
Option pricing and hedge portfolios for poisson progresses |
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Stochastic Analysis and Applications,
Volume 8,
Issue 2,
1990,
Page 157-167
Robert J. Elliott,
P. Ekkehard Kopp,
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摘要:
Price processes influenced by Poisson processes are considered and the value of a sum of European call options obtained. The novel feature of the paper is the use of analogues of strochastic flows to derive a martingale representation resut and the heding portfolio
ISSN:0736-2994
DOI:10.1080/07362999008809204
出版商:Marcel Dekker, Inc.
年代:1990
数据来源: Taylor
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3. |
Stochastic product integral w.r.t infinite dimensional semimartingale i - exponentials of semimartingales |
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Stochastic Analysis and Applications,
Volume 8,
Issue 2,
1990,
Page 169-208
L. Hazareesingh,
D. Kannan,
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摘要:
While product integration with respect to matrix–valued semimartiangles has been studied reasonably well, no work to date deals with stochastic product integration involving (infinite dimensionals) cylindrical processes. The objective of this series of three papers is to develop a comprehensive theory of product integral using exponentials of infinite dimensional semimartinagles. After introducing the exponential of a finite rank Hilbert–Schmidt operator (K2-) valued Brownian motion, we construct the exponential of processes of the form β+V and M + V where β is a general K2-Brownian motion, M is a K2-valued martiangle and V is a K2-process of bounded variation. Finally, we show the existence of a process, called the negative exponential, which is the multiplicative inverse of the exponential of the process X
ISSN:0736-2994
DOI:10.1080/07362999008809205
出版商:Marcel Dekker, Inc.
年代:1990
数据来源: Taylor
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4. |
On stochastic optimality of policies in first passage problems |
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Stochastic Analysis and Applications,
Volume 8,
Issue 2,
1990,
Page 209-233
Michael N. Katehakis,
Costis Melolidakis,
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摘要:
In many stochastic scheduling and optimal maintenance problems that have been consisdered in the literature, the optimization criterion employed has often been equivalent to minimizing the expected first passage times to a set of “desirable” states. A typical method that has been used in establishing the optimality of a certain policy is the method of successive approximations. As an intermediate, reuslt, this techinique often horizon versions of the problem. In this paper we point out that under mild assumptions stochastically, i.e. they are optimal in expectation for all members of a sequence of appropriately defined finite horizon problems. Furthermore, this characterization can reduce a “uniformizable” continuous time problem into a sequence of approximately defined discrete time problems. In the final sections we use this characterization to establish the stochastic optimality of pertinent policies for an optimal repair allocation problem and for a scheduling problem
ISSN:0736-2994
DOI:10.1080/07362999008809206
出版商:Marcel Dekker, Inc.
年代:1990
数据来源: Taylor
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5. |
On non–symmetric generalized schrodinger semigroup |
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Stochastic Analysis and Applications,
Volume 8,
Issue 2,
1990,
Page 225-262
J.A. Van Casteren,
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摘要:
In this paper some general phenomena are described for not necessarily systemeric so–called generalized Schrödinger semigroups (or generalized absorption/exciatation semigroups). These results are also applicable in case we consider Schrödinger semigroups onRv. In particular we describe some results on integral kernels: continuity, pointwise inequalities, ultracontractivity etc.For these inequalities we use a kind of stochastic bridge measure. The operatorHis a closed linear extension of the operatorH0+Vin the spaceC0(E) HereEis a locally compact second countable Hausdorff space and –H0is supposed to generate a Feller semigroup inC0(E). Results inLp(E,m) are also availale. Some examples are given
ISSN:0736-2994
DOI:10.1080/07362999008809207
出版商:Marcel Dekker, Inc.
年代:1990
数据来源: Taylor
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6. |
Editorial Board |
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Stochastic Analysis and Applications,
Volume 8,
Issue 2,
1990,
Page -
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PDF (41KB)
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ISSN:0736-2994
DOI:10.1080/07362999008809202
出版商:Marcel Dekker, Inc.
年代:1990
数据来源: Taylor
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