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- Malyarenko, Anatoliy, 1957-
(författare)
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Abelian and tauberian theorems for random fields on two-point homogeneous spaces
- 2004
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Ingår i: Theory of Probability and Mathematical Statistics. - 0094-9000. ; 69, s. 115-127
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Tidskriftsartikel (refereegranskat)abstract
- We consider centered mean-square continuous random fields for which the variance of increments between two points depends only on the distance between these points. Relations between the asymptotic behavior of the variance of increments near zero and the asymptotic behavior of the spectral measure of the field near infinity are investigated. We prove several Abelian and Tauberian theorems in terms of slowly varying functions. © 2004 American Mathematical Society.
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- Jönsson, Henrik, et al.
(författare)
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Threshold Structure of Optimal Stopping Strategies for American Type Option. I
- 2004
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Ingår i: Theory of Probability and Mathematical Statistics. - 1547-7363. ; 71, s. 82-92
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Tidskriftsartikel (refereegranskat)abstract
- The paper presents results of theoretical studies of optimal stopping domains of American type options in discrete time. Sufficient conditions on the payoff functions and the price process for the optimal stopping domains to have one-threshold structure are given. We consider monotone, convex and inhomogeneous-in-time payoff functions. The underlying asset's price is modelled by an inhomogeneous discrete time Markov process.
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