相关论文: Skewness Premium with L\'evy Processes
Generalized likelihood ratio statistics have been proposed in Fan, Zhang and Zhang [Ann. Statist. 29 (2001) 153-193] as a generally applicable method for testing nonparametric hypotheses about nonparametric functions. The likelihood ratio…
We consider the problem of static Bayesian inference for partially observed Levy-process models. We develop a methodology which allows one to infer static parameters and some states of the process, without a bias from the…
We study stochastic equations of non-negative processes with jumps. The existence and uniqueness of strong solutions are established under Lipschitz and non-Lipschitz conditions. The comparison property of two solutions are proved under…
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose…
We study a discounted singular stochastic control problem driven by a general L\'evy process, where the objective is to minimize a cost functional composed of a running cost and a control cost that depends on the current state of the…
Synthetic control (SC) methods are widely used to estimate the effects of policy interventions, especially those targeting specific geographic regions, referred to as units. These methods construct a weighted combination of untreated units,…
We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total discounted dividends until the time of ruin. We give…
Prompted by the open questions in Gibilisco [Int. J. Software Informatics, 8(3-4): 265, 2014], in which he introduced a family of measurement-induced quantum uncertainty measures via metric adjusted skew informations, we investigate these…
In this paper, we prove convergence rates for time discretisation schemes for semi-linear stochastic evolution equations with additive or multiplicative Gaussian noise, where the leading operator $A$ is the generator of a strongly…
For a one-dimensional L\'{e}vy process, we derive an explicit formula for the probability of first hitting a specified point among a fixed finite set. Moreover, using this formula, we obtain an explicit expression for each entry of the…
We consider a class of assets whose risk-neutral pricing dynamics are described by an exponential L\'evy-type process subject to default. The class of processes we consider features locally-dependent drift, diffusion and default-intensity…
We consider skew-symmetric operators on a Hilbert space and study m-accretive restrictions of their negative adjoints. Using the theory of boundary systems, we provide a full characterisation of all those m-accretive restrictions, linear…
We investigate the L\'evy glass, a mean-field spin glass model with power-law distributed couplings characterized by a divergent second moment. By combining extensively many small couplings with a spare random backbone of strong bonds the…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
Kuznetsov et al. (2011) and Kuznetsov and Pardo (2013) introduced the family of Hypergeometric L\'evy processes. They appear naturally in the study of fluctuations of stable processes when one analyses stable processes through the theory of…
Stein's unbiased risk estimate (SURE) was proposed by Stein for the independent, identically distributed (iid) Gaussian model in order to derive estimates that dominate least-squares (LS). In recent years, the SURE criterion has been…
This paper considers an insurance surplus process modeled by a spectrally negative L\'{e}vy process. Instead of the time of ruin in the traditional setting, we apply the time of drawdown as the risk indicator in this paper. We study the…
We introduce a Bayesian prior distribution, the Logit-Normal continuous analogue of the spike-and-slab (LN-CASS), which enables flexible parameter estimation and variable/model selection in a variety of settings. We demonstrate its use and…
In this paper we study the asymptotic properties of Bayesian multiple testing procedures for a large class of Gaussian scale mixture pri- ors. We study two types of multiple testing risks: a Bayesian risk proposed in Bogdan et al. (2011)…
This paper studies uncertainty set estimation for unknown linear systems. Uncertainty sets are crucial for the quality of robust control since they directly influence the conservativeness of the control design. Departing from the confidence…