Reflected generalized backward stochastic differential equations (BSDEs) with one discontinuous barrier are investigated when the noise is driven by a Brownian motion and an independent Poisson measure. The existence and uniqueness of the solution are derived when the generators are monotone and the barrier is right-continuous with left limits (rcll). The link is established between this solution and a viscosity solution for an obstacle problem of integral-partial differential equations with nonlinear Neumann boundary conditions.
The paper presents a characterization of equilibrium in a game-theoretic description of discounting conditional stochastic linear-quadratic (LQ for short) optimal control problem, in which the controlled state process evolves according to a multidimensional linear stochastic differential equation, when the noise is driven by a Poisson process and an independent Brownian motion under the effect of a Markovian regime-switching. The running and the terminal costs in the objective functional are explicitly dependent on several quadratic terms of the conditional expectation of the state process as well as on a nonexponential discount function, which create the time-inconsistency of the considered model. Open-loop Nash equilibrium controls are described through some necessary and sufficient equilibrium conditions. A state feedback equilibrium strategy is achieved via certain differential-difference system of ODEs. As an application, we study an investment–consumption and equilibrium reinsurance/new business strategies for mean-variance utility for insurers when the risk aversion is a function of current wealth level. The financial market consists of one riskless asset and one risky asset whose price process is modeled by geometric Lévy processes and the surplus of the insurers is assumed to follow a jump-diffusion model, where the values of parameters change according to continuous-time Markov chain. A numerical example is provided to demonstrate the efficacy of theoretical results.
The generalised sine random point field arises from the scaling limit at the origin of the eigenvalues of the generalised Gaussian ensembles. We solve an infinite-dimensional stochastic differential equation (ISDE) describing an infinite number of interacting Brownian particles which is reversible with respect to the generalised sine random point field. Moreover, finite particle approximation of the ISDE is shown, that is, a solution to the ISDE is approximated by solutions to finite-dimensional SDEs describing finite-particle systems related to the generalised Gaussian ensembles.
The paper presents the study on the existence and uniqueness (strong and in law) of a class of non-Markovian SDEs whose drift contains the derivative in the sense of distributions of a continuous function.
This note provides a simple sufficient condition ensuring that solutions of stochastic delay differential equations (SDDEs) driven by subordinators are nonnegative. While, to the best of our knowledge, no simple nonnegativity conditions are available in the context of SDDEs, we compare our result to the literature within the subclass of invertible continuous-time ARMA (CARMA) processes. In particular, we analyze why our condition cannot be necessary for CARMA($p,q$) processes when $p=2$, and we show that there are various situations where our condition applies while existing results do not as soon as $p\ge 3$. Finally, we extend the result to a multidimensional setting.
The paper discusses several techniques which may be used for applying the coupling method to solutions of stochastic differential equations (SDEs). The coupling techniques traditionally consist of two components: one is local mixing, the other is recurrence. Often in the articles they do not split. Yet, they are quite different in their nature, and this paper separates them, concentrating only on the former.
Most of the techniques discussed here work in dimension $d\ge 1$, although, in $d=1$ there is one additional option to use intersections of trajectories, which requires nothing but the strong Markov property and nondegeneracy of the diffusion coefficient. In dimensions $d>1$ it is possible to use embedded Markov chains either by considering discrete times $n=0,1,\dots $, or by arranging special stopping time sequences and to use the local Markov–Dobrushin (MD) condition, which is one of the most efficient versions of local mixing. Further applications may be based on one or another version of the MD condition; respectively, this paper is devoted to various methods of verifying one or another form of it.
The existence and uniqueness of a global positive solution is proven for the system of stochastic differential equations describing a nonautonomous stochastic predator–prey model with a modified version of the Leslie–Gower term and Holling-type II functional response disturbed by white noise, centered and noncentered Poisson noises. Sufficient conditions are obtained for stochastic ultimate boundedness, stochastic permanence, nonpersistence in the mean, weak persistence in the mean and extinction of a solution to the considered system.
Explicit solutions for a class of linear backward stochastic differential equations (BSDE) driven by Gaussian Volterra processes are given. These processes include the multifractional Brownian motion and the multifractional Ornstein-Uhlenbeck process. By an Itô formula, proven in the context of Malliavin calculus, the BSDE is associated to a linear second order partial differential equation with terminal condition whose solution is given by a Feynman-Kac type formula.
A new multi-factor short rate model is presented which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-jump Ornstein–Uhlenbeck processes such that the related bond prices possess affine representations. Also the dynamics of the associated instantaneous forward rate is provided and a condition is derived under which the model can be market-consistently calibrated. The analytical tractability of this model is illustrated by the derivation of an explicit plain vanilla option price formula. With view on practical applications, suitable probability distributions are proposed for the driving jump processes. The paper is concluded by presenting a post-crisis extension of the proposed short and forward rate model.
The existence and uniqueness are proved for the global positive solution to the system of stochastic differential equations describing a two-species mutualism model disturbed by the white noise, the centered and non-centered Poisson noises. We obtain sufficient conditions for stochastic ultimate boundedness, stochastic permanence, nonpersistence in the mean, strong persistence in the mean and extinction of the solution to the considered system.