in this paper we use a class of stochastic functional kolmogorov-type model with jumps to describe the evolutions of population dynamics. by constructing a special lyapunov function, we show that the stochastic functional differential equation associated with our model admits a unique global solution in the positive orthant, and, by the exponential martingale inequality with jumps, we dis...

In this paper we use a class of stochastic functional Kolmogorov-type model with jumps to describe the evolutions of population dynamics. By constructing a special Lyapunov function, we show that the stochastic functional differential equation associated with our model admits a unique global solution in the positive orthant, and, by the exponential martingale inequality with jumps, we dis...

This paper is concerned with the stability and numerical analysis of solution to highly nonlinear stochastic differential equations with jumps. By the Itô formula, stochastic inequality and semi-martingale convergence theorem, we study the asymptotic stability in the pth moment and almost sure exponential stability of solutions under the local Lipschitz condition and nonlinear growth condition....

We prove that the Moderate Deviation Principle (MDP) holds for the trajectory of a locally square integrable martingale with bounded jumps as soon as its quadratic covariation, properly scaled, converges in probability at an exponential rate. A consequence of this MDP is the tightness of the method of bounded martingale diierences in the regime of moderate deviations.

We give a sufficient condition to identify the q-optimal signed and the q-optimal absolutely continuous martingale measures in exponential Lévy models. As a consequence we find that, in the onedimensional case, the q-optimal equivalent martingale measures may exist only, if the tails for upward jumps are extraordinarily light. Moreover, we derive convergence of the q-optimal signed, resp. absol...

We prove that the Moderate Deviation Principle (MDP) holds for the trajectory of a locally square integrable martingale with bounded jumps as soon as its quadratic covariation, properly scaled, converges in probability at an exponential rate. A consequence of this MDP is the tightness of the method of bounded martingale differences in the regime of moderate deviations.

We consider càdlàg local martingales M with initial value zero and jumps larger than a for some a larger than or equal to −1, and prove Novikov-type criteria for the exponential local martingale to be a uniformly integrable martingale. We obtain criteria using both the quadratic variation and the predictable quadratic variation. We prove optimality of the coefficients in the criteria. As a coro...

We discuss optimal portfolio selection with respect to utility functions of type −e−αx, α > 0 (exponential problem) and −|1 − αx p |p (p-th problem). We consider N risky assets and a risk-free bond. Risky assets are modeled by continuous semimartingales or exponential Lévy processes. These dynamic expected utility maximization problems are solved by transforming the model into a constrained sta...

This paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain   risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the...