We obtain an explicit form of fine large deviation theorems for the log-likelihood ratio in testing models with observed Ornstein-Uhlenbeck processes and get explicit rates of decrease for error probabilities of Neyman-Pearson, Bayes, and minimax tests. We also give expressions for the rates of...

We consider an optimal stopping problem in a certain model described by a stochastic delay differential equation. We reduce the initial problem to a free-boundary problem of parabolic type and prove the corresponding verification assertion. We also give an example of such an optimal stopping...

We study a bond market model and related term structure of interest rates where prices of zero coupon bonds are driven by a jump-diffusion process. We present a criterion on the deterministic forward rate volatilities under which the short rate process is Markovian and give sufficient conditions...