ANTICIPATED BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATIONS WITH JUMPS AND APPLICATIONS TO DYNAMIC RISK MEASURES

In this paper, we focus on anticipated backward stochastic Volterra integral equations(ABSVIEs) with jumps. We solve the problem of the well-posedness of so-called M-solutions to this class of equation, and analytically derive a comparison theorem for them and for the continuous equilibrium consumption process. These continuous equilibrium consumption processes can be described by the solutions to this class of ABSVIE with jumps.Motivated by this, a class of dynamic risk measures induced by ABSVIEs with jumps are discussed.

THE EXISTENCE AND UNIQUENESS OF SOLUTION FOR A CLASS OF STOCHASTIC FUNCTIONAL EQUAFIONS ON S.P.SPACE

This paper is concerned with the existence and uniqueness of solution for a class of stochastic functional equation: X =φ(X), where φ: B → B and B is a Banach space consisted of all left-continuous, (■_t)-adapted processes. Also, the main result is applied to some S.D.E (or S.I.E.). And the authors adopted some of the results in current research in the models of stochastic control recently. This paper proves the ekistence and uniquence and uniqueness of solution for stochastic functional equation. A series of corollaries are deduced from the special examples of the theorems in this paper.

Backward stochastic Volterra integral equations——a brief survey

In this paper, we present a brief survey on the updated theory of backward stochas-tic Volterra integral equations （BSVIEs, for short）. BSVIEs are a natural generalization of backward stochastic diff erential equations （BSDEs, for short）. Some interesting motivations of studying BSVIEs are recalled. With proper solution concepts, it is possible to establish the corresponding well-posedness for BSVIEs. We also survey various comparison theorems for solutions to BSVIEs.

Numerical Solution of Two-Dimensional Nonlinear Stochastic Ito-Volterra Integral Equations by Applying Block Pulse Functions

This paper investigates the numerical solution of two-dimensional nonlinear stochastic Itô-Volterra integral equations based on block pulse functions. The nonlinear stochastic integral equation is transformed into a set of algebraic equations by operational matrix of block pulse functions. Then, we give error analysis and prove that the rate of convergence of this method is efficient. Lastly, a numerical example is given to confirm the method.

FRACTIONAL 2D-STOCHASTIC CURRENTS

Using multiple stochastic integrals and the stochastic calculus for the frac-tional Brownian sheet, we define and we analyze the 2D-fractional stochastic currents.

Discretization error of irregular sampling approximations of stochastic integrals

This paper studies the limit distributions for discretization error of irregular sam- pling approximations of stochastic integral. The irregular sampling approximation was first presented in Hayashi et al.[3], which was more general than the sampling approximation in Lindberg and Rootzen [10]. As applications, we derive the asymptotic distribution of hedging error and the Euler scheme of stochastic differential equation respectively.

SINGULAR CONTROL OF STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

This paper deals with optimal combined singular and regular controls for stochastic Volterra integral equations,where the solution X^(u,ξ)(t)=X(t)is given X(t)=φ(t)+∫_(0)^(t) b(t,s,X(s),u(s))ds+∫_(0)^(t)σ(t,s,X(s),u(s))dB(s)+∫_(0)^(t)h(t,s)dξ(s).by Here d B(s)denotes the Brownian motion It?type differential,ξdenotes the singular control(singular in time t with respect to Lebesgue measure)and u denotes the regular control(absolutely continuous with respect to Lebesgue measure).Such systems may for example be used to model harvesting of populations with memory,where X(t)represents the population density at time t,and the singular control processξrepresents the harvesting effort rate.The total income from the harvesting is represented by J(u, ξ) = E[∫_(0)^(t) f_(0)(t,X(t), u(t))dt + ∫_(0)^(t)f_(1)(t,X(t))dξ(t) + g(X(T))] for the given functions f0,f1 and g,where T>0 is a constant denoting the terminal time of the harvesting.Note that it is important to allow the controls to be singular,because in some cases the optimal controls are of this type.Using Hida-Malliavin calculus,we prove sufficient conditions and necessary conditions of optimality of controls.As a consequence,we obtain a new type of backward stochastic Volterra integral equations with singular drift.Finally,to illustrate our results,we apply them to discuss optimal harvesting problems with possibly density dependent prices.

Output Feedback for Stochastic Nonlinear Systems with Unmeasurable Inverse Dynamics

This paper considers a concrete stochastic nonlinear system with stochastic unmeasurable inverse dynamics. Motivated by the concept of integral input-to-state stability （iISS） in deterministic systems and stochastic input-to-state stability （SISS） in stochastic systems, a concept of stochastic integral input-to-state stability （SiISS） using Lyapunov functions is first introduced. A constructive strategy is proposed to design a dynamic output feedback control law, which drives the state to the origin almost surely while keeping all other closed-loop signals almost surely bounded. At last, a simulation is given to verify the effectiveness of the control law.

WEAK STOCHASTIC INTEGRALS WITH RESPECT TO THE WIENER D'-PROCESSES

Assume that D is a nuclear space and D' its strong topological dual space. Let {B_t}t∈(0,∞) be a Wiener D'-process. In this paper, the real-valued and D'-valued weak stochastic integral with respect to {B_t} are established.AMS Subject Classification. 60H05.

ITÔDIFFERENTIAL REPRESENTATION OF SINGULAR STOCHASTIC VOLTERRA INTEGRAL EQUATIONS

In this paper we obtain an Itôdifferential representation for a class of singular stochastic Volterra integral equations.As an application,we investigate the rate of convergence in the small time central limit theorem for the solution.

Transient stochastic response of quasi integerable Hamiltonian systems

The approximate transient response of quasi in- tegrable Hamiltonian systems under Gaussian white noise excitations is investigated. First, the averaged It6 equa- tions for independent motion integrals and the associated Fokker-Planck-Kolmogorov （FPK） equation governing the transient probability density of independent motion integrals of the system are derived by applying the stochastic averag- ing method for quasi integrable Hamiltonian systems. Then, approximate solution of the transient probability density of independent motion integrals is obtained by applying the Galerkin method to solve the FPK equation. The approxi- mate transient solution is expressed as a series in terms of properly selected base functions with time-dependent coeffi- cients. The transient probability densities of displacements and velocities can be derived from that of independent mo- tion integrals. Three examples are given to illustrate the ap- plication of the proposed procedure. It is shown that the re- suits for the three examples obtained by using the proposed procedure agree well with those from Monte Carlo simula- tion of the original systems.

ON THE SINGULARITY OF LEAST SQUARES ESTIMATOR FOR MEAN-REVERTING α-STABLE MOTIONS

We study the problem of parameter estimation for mean-reverting α-stable motion, dXt = （a0 - θ0Xt）dt ＋ dZt, observed at discrete time instants. A least squares estimator is obtained and its asymptotics is discussed in the singular case （a0, θ0） = （0, 0）. If a0 = 0, then the mean-reverting α-stable motion becomes Ornstein-Uhlenbeck process and is studied in [7] in the ergodic case θ0 〉 0. For the Ornstein-Uhlenbeck process, asymptotics of the least squares estimators for the singular case （θ0 = 0） and for ergodic case （θ0 〉 0） are completely different.

Estimating the shareholder's terminal payoff based on insurer's solvency ratio in mixed fractional Brownian market

This paper studies the insurer’s solvency ratio model in a class of mixed fractional Brownian motion(MFBM) market, where the prices of assets follow a Wick-It? stochastic differential equation driven by the MFBM, by the method of the stochastic calculus of the MFBM and the pricing formula of European call option for the MFBM, the explicit formula for the expected present value of shareholders’ terminal payoff is given. The model extends the existing results.

Estimating the Shareholder's Terminal Payoff in Insurer's Solvency Ratio Model under Fractional Market

The insurer's solvency ratio model in a class of fractional Black-Scholes markets is studied. In this market,the price of assets follows a Wick-It stochastic differential equation,which is driven by the fractional Brownian motion. The market coefficients of market model are deterministic functions. By the stochastic calculus of the fractional Brownian motion and the pricing formula of European call option for the fractional Brownian motion,the explicit formula for the expected present value of shareholder's terminal payoff is given. The model extends the existing results.

Ito Formula for Integral Processes Related to Space-Time Levy Noise

In this article, we give a new proof of the Itôformula for some integral processes related to the space-time Lévy noise introduced in [1] [2] as an alternative for the Gaussian white noise perturbing an SPDE. We discuss two applications of this result, which are useful in the study of SPDEs driven by a space-time Lévy noise with finite variance: a maximal inequality for the p-th moment of the stochastic integral, and the Itôrepresentation theorem leading to a chaos expansion similar to the Gaussian case.

Stochastic Fubini Theorem for Jump Noises in Banach Spaces

We prove a general version of the stochastic Fubini theorem for stochastic integrals of Banach space valued processes with respect to compensated Poisson random measures under weak integrability assumptions, which extends this classical result from Hilbert space setting to Banach space setting.

A Generalized Existence Theorem of Backward Doubly Stochastic Differential Equations

In this paper, we deal with a class of one-dimensional backward doubly stochastic differential equations （BDSDEs）. We obtain a generalized comparison theorem and a generalized existence theorem of BDSDEs.

A Comparison Theorem and Uniqueness Theorem of Backward Doubly Stochastic Differential Equations

In this paper, we deal with one dimensional backward doubly stochastic differential equations （BDSDEs）. We obtain a comparison theorem and a uniqueness theorem for BDSDEs with continuous coefficients.

Stochastic calculus for Markov processes associated with non-symmetric Dirichlet forms

Nakao＇s stochastic integrals for continuous additive functionals of zero energy are extended from the symmetric Dirichlet forms setting to the non-symmetric Dirichlet forms setting. ItS＇s formula in terms of the extended stochastic integrals is obtained.

A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients

In this work the existence of solutions of one-dimensional backward doubly stochastic differential equations （BDSDEs） with coefficients left-Lipschitz in y （may be discontinuous） and Lipschitz in z is studied. Also, the associated comparison theorem is obtained.