Using the method of the Wiener It chaos decomposition,we construct a solution of a linear Skorohod stochastic differential equation in the two parameter case.
The purpose of this paper is to extend to results of [2] to the two-parameter case,i. e.,to obtain a necessary and sufficient condition for a stochastic process with two-parameters to be expressed as an indefi-nite Sk...The purpose of this paper is to extend to results of [2] to the two-parameter case,i. e.,to obtain a necessary and sufficient condition for a stochastic process with two-parameters to be expressed as an indefi-nite Skorohod integral.展开更多
In this paper, we define expectation of f∈F, i.e. E(f)=f(?), according to Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we derive a formula for the expectation of ...In this paper, we define expectation of f∈F, i.e. E(f)=f(?), according to Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we derive a formula for the expectation of random Hermite polynomial in Skorohod integral on Guichardet- Fock spaces. In particular, we prove that the anticipative Girsanov identities under the condition E(H<sub>x</sub>(δ(x),‖x‖<sup>2</sup>)),n≥1 on Guichardet-Fock spaces.展开更多
In this paper, we define expectation of f∈E, i.e. E(f)=f(?), accordingto Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we prove a moment identity for the Skorohod ...In this paper, we define expectation of f∈E, i.e. E(f)=f(?), accordingto Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we prove a moment identity for the Skorohod integrals aboutvacuum state.展开更多
As stochastic gradient and Skorohod integral operators, is an adjoint pair of unbounded operators on Guichardet Spaces. In this paper, we define an adjoint pair of operator , where with being the conditional expectati...As stochastic gradient and Skorohod integral operators, is an adjoint pair of unbounded operators on Guichardet Spaces. In this paper, we define an adjoint pair of operator , where with being the conditional expectation operator. We show that (resp.) is essentially a kind of localization of the stochastic gradient operators (resp. Skorohod integral operators δ). We examine that and satisfy a local CAR (canonical ani-communication relation) and forms a mutually orthogonal operator sequence although each is not a projection operator. We find that is s-adapted operator if and only if is s-adapted operator. Finally we show application exponential vector formulation of QS calculus.展开更多
This paper studies the critical exercise price of American floating strike lookback options under the mixed jump-diffusion model. By using It formula and Wick-It-Skorohod integral, a new market pricing model estab...This paper studies the critical exercise price of American floating strike lookback options under the mixed jump-diffusion model. By using It formula and Wick-It-Skorohod integral, a new market pricing model established under the environment of mixed jumpdiffusion fractional Brownian motion. The fundamental solutions of stochastic parabolic partial differential equations are estimated under the condition of Merton assumptions. The explicit integral representation of early exercise premium and the critical exercise price are also given, then the American floating strike lookback options factorization formula is obtained, the results is generalized the classical Black-Scholes market pricing model.展开更多
This article attempts to give a short survey of recent progress on a class of elementary stochastic partial differential equations (for example, stochastic heat equations) driven by Gaussian noise of various covarianc...This article attempts to give a short survey of recent progress on a class of elementary stochastic partial differential equations (for example, stochastic heat equations) driven by Gaussian noise of various covariance structures. The focus is on the existence and uniqueness of the classical (square integrable) solution (mild solution, weak solution). It is also concerned with the Feynman-Kac formula for the solution;Feynman-Kac formula for the moments of the solution;and their applications to the asymptotic moment bounds of the solution. It also briefly touches the exact asymptotics of the moments of the solution.展开更多
文摘Using the method of the Wiener It chaos decomposition,we construct a solution of a linear Skorohod stochastic differential equation in the two parameter case.
文摘The purpose of this paper is to extend to results of [2] to the two-parameter case,i. e.,to obtain a necessary and sufficient condition for a stochastic process with two-parameters to be expressed as an indefi-nite Skorohod integral.
文摘In this paper, we define expectation of f∈F, i.e. E(f)=f(?), according to Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we derive a formula for the expectation of random Hermite polynomial in Skorohod integral on Guichardet- Fock spaces. In particular, we prove that the anticipative Girsanov identities under the condition E(H<sub>x</sub>(δ(x),‖x‖<sup>2</sup>)),n≥1 on Guichardet-Fock spaces.
文摘In this paper, we define expectation of f∈E, i.e. E(f)=f(?), accordingto Wiener-Ito-Segal isomorphic relation between Guichardet-Fock space F and Wienerspace W. Meanwhile, we prove a moment identity for the Skorohod integrals aboutvacuum state.
文摘As stochastic gradient and Skorohod integral operators, is an adjoint pair of unbounded operators on Guichardet Spaces. In this paper, we define an adjoint pair of operator , where with being the conditional expectation operator. We show that (resp.) is essentially a kind of localization of the stochastic gradient operators (resp. Skorohod integral operators δ). We examine that and satisfy a local CAR (canonical ani-communication relation) and forms a mutually orthogonal operator sequence although each is not a projection operator. We find that is s-adapted operator if and only if is s-adapted operator. Finally we show application exponential vector formulation of QS calculus.
基金Supported by the Fundamental Research Funds of Lanzhou University of Finance and Economics(Lzufe2017C-09)
文摘This paper studies the critical exercise price of American floating strike lookback options under the mixed jump-diffusion model. By using It formula and Wick-It-Skorohod integral, a new market pricing model established under the environment of mixed jumpdiffusion fractional Brownian motion. The fundamental solutions of stochastic parabolic partial differential equations are estimated under the condition of Merton assumptions. The explicit integral representation of early exercise premium and the critical exercise price are also given, then the American floating strike lookback options factorization formula is obtained, the results is generalized the classical Black-Scholes market pricing model.
基金supported by an NSERC granta startup fund of University of Alberta
文摘This article attempts to give a short survey of recent progress on a class of elementary stochastic partial differential equations (for example, stochastic heat equations) driven by Gaussian noise of various covariance structures. The focus is on the existence and uniqueness of the classical (square integrable) solution (mild solution, weak solution). It is also concerned with the Feynman-Kac formula for the solution;Feynman-Kac formula for the moments of the solution;and their applications to the asymptotic moment bounds of the solution. It also briefly touches the exact asymptotics of the moments of the solution.
