摘要:

Geometric Brownian motion is one of the most frequently used tools in modelling stock prices. To complete the general equilibrium analysis, the expected rate of return on each stock is usually assumed to be equal to the risk-free rate of interest. However, there is a divergence between the moments and sample path behavior of the stock price process. A stock with an exponentially increasing expected value and a positive expected rate of return may have a typical sample path which approaches 0 asymptotically, so that a serious problem arises in the interpretation of asset markets equilibrium. We suggest that by introducing risk adjustment, it is possible to overcome this problem

ISSN:0736-2994    

DOI:10.1080/07362999408809352

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

We consider a wave equation with non-linear random forcing of the form.If the initial conditions are of sufficient regularity the solution uϵis shown to be Hölder continuous of exponent.kfor some 0<k< 1/2.The small stochastic perturbation relates to random effects which are often ignored. As the intensity of the stochastic perturbation tends to zero the distribution of uϵ decays exponentially outside of any neighborhood of the solution of the unperturbed equationLarge deviations principle for ϵin terms of Freidlin-Wentzel estimates is obtained in the Hölder's norm of exponent κ, for somek∈[0,1/2)

ISSN:0736-2994    

DOI:10.1080/07362999408809353

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

We study the Langevin algorithm inRnby means of the theory of ultracontractive semigroups and of the corresponding logarithmic Sobolev inequalities. Our results generalize to diffusions inRnthe estimates obtained by Holley and Stroock (Commun. Math. Phys. 115 (1988), 553-569) for the case of simulated annealing on a finite (or at least compact) state space

ISSN:0736-2994    

DOI:10.1080/07362999408809354

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

In this paper we consider the discrete dynamical systemwhereis a stationary ergodic Markov chain with state spaceis a bounded C1map, andWe first give conditions under which the Lyapunov spectrum associated with this dynamical system reduces, with probability one, to the top Lyapunov exponent. We then investigate the relationship between this exponent and the moment Lyapunov exponents of the system and give a basic large deviation result

ISSN:0736-2994    

DOI:10.1080/07362999408809355

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

In this paper we study the Caratheodory approximation for the solution of a stochastic differential equation. It is shown that the pathwise uniqueness of the solution implies the convergence in the strong sense of the Carathéodory approximation to the solution.

ISSN:0736-2994    

DOI:10.1080/07362999408809356

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

Suppose that for i = 1,2, a Bernoulli random variable with success probability θiis observable from populationi. The problem is to estimate θ = θ1θ2using a Bayesian approach with squared error estimation loss in θ. For estimating θ, the best nonrandom sampling scheme, the two-stage sampling scheme, and the optimal sampling scheme are discussed. It is shown that the two-stage sampling scheme is typically asymptotically optimal, and can improve the Bayes risk (over the best nonrandom allocation) up to fifty percent

ISSN:0736-2994    

DOI:10.1080/07362999408809357

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

摘要:

The problem of parametrization of the conditional survival function in the case of partially observed randomly changing covariates is considered. The general formula for a hazard rate as a function of the value of the observed covariate in the case of one measurement is derived for a wide class of stochastic processes associated with covariates. When covariates are described by the Gauss Markov type stochastic process, the conditional Gaussian property of the distribution of the unobservables is used to get the parametric specification of the hazard rate as a function of observed covariates

ISSN:0736-2994    

DOI:10.1080/07362999408809358

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor

ISSN:0736-2994    

DOI:10.1080/07362999408809351

出版商:Marcel Dekker, Inc.    

年代:1994

数据来源: Taylor