Showing 41 - 50 of 94
The motivation of this paper is to prove verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term, in the case where the value function is assumed to be continuous in time and once differentiable in the space variable...
Persistent link: https://www.econbiz.de/10008874724
This paper is devoted to presenting a method of proving verification theorems for stochastic optimal control of finite dimensional diffusion processes without control in the diffusion term. The value function is assumed to be continuous in time and once differentiable in the space variable...
Persistent link: https://www.econbiz.de/10008875136
If X and Y are two general stochastic processess, we define a covariation process [X, Y] with the help of a limit procedure. When the processes are semimartingales, [X, Y] is their classical bracket. We calculate covariation for some important examples arising from anticipating stochastic...
Persistent link: https://www.econbiz.de/10008875228
Persistent link: https://www.econbiz.de/10006445875
This article focuses on a recent concept of covariation for processes taking values in a separable Banach space <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$B$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>B</mi> </math> </EquationSource> </InlineEquation> and a corresponding quadratic variation. The latter is more general than the classical one of Métivier and Pellaumail. Those notions are associated with some subspace <InlineEquation ID="IEq2"> <EquationSource...</equationsource></inlineequation></equationsource></equationsource></inlineequation>
Persistent link: https://www.econbiz.de/10010995118
Most antitrust experts tend to consider consumer protection the son of a lesser God in comparison to antitrust rules. Indeed, customer protection is the very essence of competition policy. A market that functions without distortions will benefit consumers’ capability to choose a...
Persistent link: https://www.econbiz.de/10008503436
For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-Schweizer decomposition when the underlying is a process with independent increments (PII) and an exponential of a PII process. This allows to provide an efficient algorithm for solving the mean variance hedging...
Persistent link: https://www.econbiz.de/10008509532
The information given by the position of the Brownian sheet along or near a curve can be represented by the sharp field, the minimal splitting field, or the germ field. When the curve is a separation line, we show that the last two fields are always equal and give necessary and sufficient...
Persistent link: https://www.econbiz.de/10005221528
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algorithm, which is based on the celebrated...
Persistent link: https://www.econbiz.de/10010599838
This paper proposes a model system developed in order to support ex-ante assessment of city logistics measures. The model system allows us to simulate the choices of each decision-maker involved in the urban freight transport and logistics and to investigate how the policies and the following...
Persistent link: https://www.econbiz.de/10008863093