اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدFrom Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon
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تأليف
Amel Bentata
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These notes are the second half of the contents of the course given by the second author at the Bachelier Seminar (8-15-22 February 2008) at IHP. They also correspond to topics studied by the first author for her Ph.D.thesis.
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These notes are the first half of the contents of the course given by the second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They also correspond to topics studied by the first author for her Ph.D.thesis.
In this paper, we derive the joint Laplace transforms of occupation times until its last passage times as well as its positions. Motivated by Baurdoux [2], the last times before an independent exponential variable are studied. By applying dual argume
nts, explicit formulas are derived in terms of new analytical identities from Loeffen et al. [12].
The objective of this paper is to study the local time and Tanaka formula of symmetric $G$-martingales. We introduce the local time of $G$-martingales and show that they belong to $G$-expectation space $L_{G}^{2}(Omega _{T})$. The bicontinuous modifi
cation of local time is obtained. We finally give the Tanaka formula for convex functions of $G$-martingales.
In this paper we prove a duality relation between coalescence times and exit points in last-passage percolation models with exponential weights. As a consequence, we get lower bounds for coalescence times with scaling exponent 3/2, and we relate its
distribution with variational problems involving the Brownian motion process and the Airy process.
We prove a large deviation principle and give an expression for the rate function, for the last passage time in a Bernoulli environment. The model is exactly solvable and its invariant version satisfies a Burke-type property. Finally, we compute expl
icit limiting logarithmic moment generating functions for both the classical and the invariant models. The shape function of this model exhibits a flat edge in certain directions, and we also discuss the rate function and limiting log-moment generating functions in those directions.
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