搜索结果: 1-6 共查到“概率论 On asymptotics”相关记录6条 . 查询时间(0.062 秒)
From Smile Asymptotics to Market Risk Measures
dynamic convex risk measures volatility skew stochastic volatility models indifference pricing backward stochastic differential equations
2011/10/9
Abstract: The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices...
Asymptotics of the Invariant Measure in Mean Field Models with Jumps
decoupling approximation fluid limit invariant measure McKean-Vlasov equation mean field limit small noise limit
2011/9/16
Abstract: We consider the asymptotics of the invariant measure for the process of the spatial distribution of $N$ coupled Markov chains in the limit of a large number of chains. Each chain reflects th...
Asymptotics of nearly critical Galton-Watson processes with immigration
nearly critical Galton–Watson process immigration compound Poisson distribution negative binomial distribution
2011/9/5
Abstract: We investigate the inhomogeneous Galton--Watson processes with immigration, where $\rho_n$ the offspring means in the $n^\textrm{th}$ generation tends to 1. We show that if the second deriva...
Small Noise Asymptotics for Invariant Densities for a Class of Diffusions: A Control Theoretic View (with Erratum)
diffusions invariant density small noise limit Hamilton-Jacobi equation viscosity solution
2011/9/2
Abstract: The uniqueness argument in the proof of Theorem 5, p. 483, of "Small noise asymptotics for invariant densities for a class of diffusions: a control theoretic view, J. Math. Anal. and Appl. (...
Asymptotics of first-passage percolation on 1-dimensional graphs
Asymptotics of first-passage percolation 1-dimensional graphs Probability
2011/9/2
Abstract: In this paper we consider standard first-passage percolation on certain 1-dimensional periodic graphs. One such graph of particular interest is the $\Z\times\{0,1,...,K-1\}^{d-1}$ nearest ne...
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process BSDE
2010/4/27
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of t...