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Necessary and Sufficient Conditions for Positive and Negative Solutions of BSDEs with Continuous Coefficients
Backward stochastic differential equation positive solution continuous coefficients
2011/11/5
As we know that, in stochastic finance, each pricing mechanism corresponds to a well-defined BSDE. The behaviors of g exert an influence to this mechanism. In some circumstances, to regulate or to des...
Positive recurrence of piecewise Ornstein-Uhlenbeck processes and common quadratic Lyapunov functions
stability common quadratic Lyapunov function Lyapunov function piecewise OU process multi-server queues customer abandonment
2011/9/8
Abstract: We study the positive recurrence of piecewise Ornstein-Uhlenbeck (OU) diffusion processes, which arise from many-server queueing systems with phase-type service requirements. These diffusion...
Biased random walk in positive random conductances on $\mathbb{Z}^d$
Random walk in random conductances Heavy-tailed random variables
2011/8/25
Abstract: We study the biased random walk in positive random conductances on $\mathbb{Z}^d$. This walk is transient in the direction of the bias. Our main result is that the random walk is ballistic i...
We study the effect of a random perturbation on a one-parameter family of dynamical systems whose behavior in the absence of perturbation is ill understood.We provide conditions under which the pertur...
Positive Lyapunov exponent by a random perturbation
Lyapunov exponent random perturbation
2010/12/28
We study the effect of a random perturbation on a one-parameter family of dynamical systems whose behavior in the absence of perturbation is ill understood.We provide conditions under which the pertur...