We study a hedging and pricing problem of a model where the price process of a risky asset has jumps with instantaneous feedback from the most recent asset price. We model these jumps with a doubly stochastic Poisson process with an intensity function depending on the current price. We find a closed form expression of the local risk minimization strategy using Föllmer and Schweizer decompositio...

A class of discrete-time M=G=1 queues, including both round robin and last come rst served service, in which customers are subject to permutations is considered. These time slotted queues, analogous to the symmetric queues of Kelly, are analyzed by examination of the time reversed process. Product form stationary distributions are found for a type of doubly stochastic server of Schassberger [5]...

In this article we develop a test statistic for testing the equality of mean vectors for paired doubly multivariate observations for q response variables and u sites in blocked compound symmetric covariance matrix setting. The new test is implemented with two real data sets.

Recently, researchers have been interested in studying the semidefinite programming (SDP) relaxation model, where the matrix is both positive semidefinite and entry-wise nonnegative, for quadratically constrained quadratic programming (QCQP). Comparing to the basic SDP relaxation, this doubly-positive SDP model possesses additional O(n2) constraints, which makes the SDP solution complexity subs...

We prove strong uniqueness for a parabolic SPDE involving both the solution v(t, x) and its derivative ∂xv(t, x). The familiar YamadaWatanabe method for proving strong uniqueness might encounter some difficulties here. In fact, the Yamada-Watanabe method is essentially one dimensional, and in our case there are two unknown functions, v and ∂xv. However, Pardoux and Peng’s method of backward dou...

it is proved that by using bounds of eigenvalues of an interval matrix, someconditions for checking positive deniteness and stability of interval matricescan be presented. these conditions have been proved previously with variousmethods and now we provide some new proofs for them with a unity method.furthermore we introduce a new necessary and sucient condition for checkingstability of interv...

Abstract For X, Y ∈ M n,m , it is said that X g-tridiagonal majorized by (and denoted ≺ gt ) if there exists a tridiagonal g-doubly stochastic matrix A such = AY . In this paper, the linear preservers and strong of are characterized on

it is well known that the matrix exponential function has practical applications in engineering and applied sciences. in this paper, we present some new explicit identities to the exponential functions of a special class of matrices that are known as central-symmetric $x$-form. for instance, $e^{mathbf{a}t}$, $t^{mathbf{a}}$ and $a^{mathbf{a}t}$ will be evaluated by the new formulas in this par...

ABSTRACT. A bivariate distribution with continuous margins can be uniquely decomposed via a copula and its marginal distributions. We consider the problem of estimating the copula function and adopt a nonparametric Bayesian approach. On the space of copula functions, we construct a finite dimensional approximation subspace which is parameterized by a doubly stochastic matrix. A major problem he...