ترغب بنشر مسار تعليمي؟ اضغط هنا

Well-posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models

83   0   0.0 ( 0 )
 نشر من قبل Ning Ning
 تاريخ النشر 2020
  مجال البحث
والبحث باللغة English




اسأل ChatGPT حول البحث

In this paper, to cope with the shortage of sufficient theoretical support resulted from the fast-growing quantitative financial modeling, we investigate two classes of generalized stochastic volatility models, establish their well-posedness of strong solutions, and conduct the stability analysis with respect to small perturbations. In the first class, a multidimensional path-dependent process is driven by another multidimensional path-dependent process. The second class is a generalized one-dimensional stochastic volatility model with Holder continuous coefficients. What greatly differentiates those two classes of models is that both the process and its correlated driving process have their own subdifferential operators, whose one special case is the general reflection operators for multi-sided barriers. Hence, the models investigated fully cover various newly explored variants of stochastic volatility models whose well-posedness is unknown, and naturally serve as the rigorous mathematical foundation for new stochastic volatility model development in terms of multi-dimension, path-dependence, and multi-sided barrier reflection.



قيم البحث

اقرأ أيضاً

138 - D. Barbato , F. Morandin 2012
In this paper we study a stochastic version of an inviscid shell model of turbulence with multiplicative noise. The deterministic counterpart of this model is quite general and includes inviscid GOY and Sabra shell models of turbulence. We prove glob al weak existence and uniqueness of solutions for any finite energy initial condition. Moreover energy dissipation of the system is proved in spite of its formal energy conservation.
Master equations are partial differential equations for measure-dependent unknowns, and are introduced to describe asymptotic equilibrium of large scale mean-field interacting systems, especially in games and control theory. In this paper we introduc e new semilinear master equations whose unknowns are functionals of both paths and path measures. They include state-dependent master equations, path-dependent partial differential equations (PPDEs), history information dependent master equations and time inconsistent (e.g. time-delayed) equations, which naturally arise in stochastic control theory and games. We give a classical solution to the master equation by introducing a new notation called strong vertical derivative (SVD) for path-dependent functionals, inspired by Dupires vertical derivative, and applying stochastic forward-backward system argument. Moreover, we consider a general non-smooth case with a functional mollifying method.
We deal with a class of abstract nonlinear stochastic models, which covers many 2D hydrodynamical models including 2D Navier-Stokes equations, 2D MHD models and 2D magnetic Benard problem and also some shell models of turbulence. We first prove the e xistence and uniqueness theorem for the class considered. Our main result is a Wentzell-Freidlin type large deviation principle for small multiplicative noise which we prove by weak convergence method.
146 - Alexandru Hening , Ky Tran 2019
It is well known that excessive harvesting or hunting has driven species to extinction both on local and global scales. This leads to one of the fundamental problems of conservation ecology: how should we harvest a population so that economic gain is maximized, while also ensuring that the species is safe from extinction? We study an ecosystem of interacting species that are influenced by random environmental fluctuations. At any point in time, we can either harvest or seed (repopulate) species. Harvesting brings an economic gain while seeding incurs a cost. The problem is to find the optimal harvesting-seeding strategy that maximizes the expected total income from harvesting minus the cost one has to pay for the seeding of various species. We consider what happens when one, or both, of the seeding and harvesting rates are bounded. The focus of this paper is the analysis of these three novel settings: bounded seeding and infinite harvesting, bounded seeding and bounded harvesting, and infinite seeding and bounded harvesting. We prove analytical results and develop numerical approximation methods. By implementing these approximations, we are able to gain qualitative information about how to best harvest and seed species. We are able to show that in the single species setting there are thresholds $0<L_1<L_2<infty$ such that: 1) if the population size is `low, so that it lies in $(0, L_1]$, there is seeding using the maximal seeding rate; 2) if the population size `moderate, so that it lies in $(L_1,L_2)$, there is no harvesting or seeding; 3) if the population size is `high, so that it lies in the interval $[L_2, infty)$, there is harvesting using the maximal harvesting rate. Once we have a system with at least two species, numerical experiments show that constant threshold strategies are not optimal anymore.
79 - Huyen Pham 2018
We study zero-sum stochastic differential games where the state dynamics of the two players is governed by a generalized McKean-Vlasov (or mean-field) stochastic differential equation in which the distribution of both state and controls of each playe r appears in the drift and diffusion coefficients, as well as in the running and terminal payoff functions. We prove the dynamic programming principle (DPP) in this general setting, which also includes the control case with only one player, where it is the first time that DPP is proved for open-loop controls. We also show that the upper and lower value functions are viscosity solutions to a corresponding upper and lower Master Bellman-Isaacs equation. Our results extend the seminal work of Fleming and Souganidis [15] to the McKean-Vlasov setting.
التعليقات
جاري جلب التعليقات جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا