For the model with both left truncation and right censoring,suppose all the distributions are continuous. It is proved that the sampled cumulative hazard function Λ n and the product-limit estimate F n are stro...For the model with both left truncation and right censoring,suppose all the distributions are continuous. It is proved that the sampled cumulative hazard function Λ n and the product-limit estimate F n are strong consistent. For any nonnegative measurable , the almost sure convergences of ∫d Λ n and ∫dF n to the true values ∫d Λ and ∫dF respectively are obtained.The strong consistency of the estimator for the truncation probability is proved.展开更多
Concepts of g-supersolution, g-manrtingale, g-supermartingale are introduced, which are related to BSDE with Brownian motion and Poisson point process. A strict comparison theorem, monotonic limit theorem related to t...Concepts of g-supersolution, g-manrtingale, g-supermartingale are introduced, which are related to BSDE with Brownian motion and Poisson point process. A strict comparison theorem, monotonic limit theorem related to this type of BSDE are also discussed. As an application of these results, a nonlinear Doob-Meyer decomposition theorem is obtained.展开更多
In this study,we delve into the optimal stopping problem by examining the p(ϕ(τ),τ∈T_(0)^(p))case in which the reward is given by a family of nonnegative random variables indexed by predictable stopping times.We ai...In this study,we delve into the optimal stopping problem by examining the p(ϕ(τ),τ∈T_(0)^(p))case in which the reward is given by a family of nonnegative random variables indexed by predictable stopping times.We aim to elucidate various properties of the value function family within this context.We prove the existence of an optimal predictable stopping time,subject to specific assumptions regarding the reward functionϕ.展开更多
Compared with discrete- time fuzzy supermartingales, the structure and the properties of trajectories for continuous-time fuzzy supermartingales are more complex. This paper focuses on Riesz decomposition for continuo...Compared with discrete- time fuzzy supermartingales, the structure and the properties of trajectories for continuous-time fuzzy supermartingales are more complex. This paper focuses on Riesz decomposition for continuous-time fuzzy supermartingales. The concepts of two types of Riesz decomposition (Riesz decomposition and level Riesz decomposition) are given and some necessary and sttfficient conditions of that a continuous time fuzzy supermartingale has Riesz decomposition are discussed in detail.展开更多
There are some mathematical models(see Example2.4)and analogous results in standard martingale theorywhich can not be described by the usual fuzzy martingaletheory because of the lack of corresponding semi-orderin the...There are some mathematical models(see Example2.4)and analogous results in standard martingale theorywhich can not be described by the usual fuzzy martingaletheory because of the lack of corresponding semi-orderin the fuzzy number space(E^n,D).In this paper,asuitable semi-order in the fuzzy number space(E^n,D)and the semi-order fuzzy supermartingale and submar-tingale are introduced,the charaterlstics of semi-ordersupermartingales and submartingales,as well as theDood’s stopping theorem for them(the bounded stoppingtimes theorem and the general stopping times theoremfor a class of closable semi-order fuzzy supermartin-gales and submartingales)are established.展开更多
Based on semi - order fuzzy supermaringales andsubmartingales, the semi- order fuzzy supermartingaleand submartingale theory is developed. The main resultis to generalize the Doob decomposition and the Riesz de-compos...Based on semi - order fuzzy supermaringales andsubmartingales, the semi- order fuzzy supermartingaleand submartingale theory is developed. The main resultis to generalize the Doob decomposition and the Riesz de-composition theorems of standard martingale theory tosemi - order fuzzy supermaringales and submartingales.The structure of semi - order fuzzy supermaringales andsubmartingales and the conditions of that they has Doobdecomposition (resp. Riesz decomposition) are discussedin detail.展开更多
This paper studies the pricing and hedging for American contingent claims in an incom-plete market under mild conditions using the numeraire method to avoid changes of probabilitymeasure. When the market is incomplet...This paper studies the pricing and hedging for American contingent claims in an incom-plete market under mild conditions using the numeraire method to avoid changes of probabilitymeasure. When the market is incomplete, prices can not be derived by no-arbitrage arguments,since it is not possible to replicate the payoff of a given contingent claim by a controlled portfolioof the basic securitites. We adopt the method of fictitious completion of [1] to provide an upperbound and a lower bound for the actual market price of the claim.展开更多
In this paper, we establish some ratio inequalities for locally square inte-grable martingales, and give some extensions of the related results for continuous local martingales.
文摘For the model with both left truncation and right censoring,suppose all the distributions are continuous. It is proved that the sampled cumulative hazard function Λ n and the product-limit estimate F n are strong consistent. For any nonnegative measurable , the almost sure convergences of ∫d Λ n and ∫dF n to the true values ∫d Λ and ∫dF respectively are obtained.The strong consistency of the estimator for the truncation probability is proved.
文摘Concepts of g-supersolution, g-manrtingale, g-supermartingale are introduced, which are related to BSDE with Brownian motion and Poisson point process. A strict comparison theorem, monotonic limit theorem related to this type of BSDE are also discussed. As an application of these results, a nonlinear Doob-Meyer decomposition theorem is obtained.
文摘In this study,we delve into the optimal stopping problem by examining the p(ϕ(τ),τ∈T_(0)^(p))case in which the reward is given by a family of nonnegative random variables indexed by predictable stopping times.We aim to elucidate various properties of the value function family within this context.We prove the existence of an optimal predictable stopping time,subject to specific assumptions regarding the reward functionϕ.
文摘Compared with discrete- time fuzzy supermartingales, the structure and the properties of trajectories for continuous-time fuzzy supermartingales are more complex. This paper focuses on Riesz decomposition for continuous-time fuzzy supermartingales. The concepts of two types of Riesz decomposition (Riesz decomposition and level Riesz decomposition) are given and some necessary and sttfficient conditions of that a continuous time fuzzy supermartingale has Riesz decomposition are discussed in detail.
文摘There are some mathematical models(see Example2.4)and analogous results in standard martingale theorywhich can not be described by the usual fuzzy martingaletheory because of the lack of corresponding semi-orderin the fuzzy number space(E^n,D).In this paper,asuitable semi-order in the fuzzy number space(E^n,D)and the semi-order fuzzy supermartingale and submar-tingale are introduced,the charaterlstics of semi-ordersupermartingales and submartingales,as well as theDood’s stopping theorem for them(the bounded stoppingtimes theorem and the general stopping times theoremfor a class of closable semi-order fuzzy supermartin-gales and submartingales)are established.
文摘Based on semi - order fuzzy supermaringales andsubmartingales, the semi- order fuzzy supermartingaleand submartingale theory is developed. The main resultis to generalize the Doob decomposition and the Riesz de-composition theorems of standard martingale theory tosemi - order fuzzy supermaringales and submartingales.The structure of semi - order fuzzy supermaringales andsubmartingales and the conditions of that they has Doobdecomposition (resp. Riesz decomposition) are discussedin detail.
文摘This paper studies the pricing and hedging for American contingent claims in an incom-plete market under mild conditions using the numeraire method to avoid changes of probabilitymeasure. When the market is incomplete, prices can not be derived by no-arbitrage arguments,since it is not possible to replicate the payoff of a given contingent claim by a controlled portfolioof the basic securitites. We adopt the method of fictitious completion of [1] to provide an upperbound and a lower bound for the actual market price of the claim.
基金Science Research Foundation of Naval University of Engineering(E307).
文摘In this paper, we establish some ratio inequalities for locally square inte-grable martingales, and give some extensions of the related results for continuous local martingales.
