Stochastic Analysis and Applications, Volume 25, Issue 1 (2007)

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Stochastic Analysis and Applications, Volume 25, Issue 1 (2007)

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Original Articles

Article
The Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations
Rózsa Horváth-Bokor
Pages: 1-38
Published online: 15 Dec 2006
AbstractforThe Strong Convergence and Numerical Stability of Multistep Approximations of Solutions of Stochastic Ordinary Differential Equations | Full Text | References | PDF (250.5 KB)
  • 101 Views
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Article
Local Time and a Tanaka Formula for a Class of Discontinuous Measure-Valued Branching Processes
J. Villa
Pages: 39-53
Published online: 15 Dec 2006
AbstractforLocal Time and a Tanaka Formula for a Class of Discontinuous Measure-Valued Branching Processes | Full Text | References | PDF (116.7 KB)
  • 56 Views
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Article
Investment with Sequence Losses in an Uncertain Environment and Mean-Variance Hedging
Wencai Chen, Dewen Xiong & Zhongxing Ye
Pages: 55-71
Published online: 15 Dec 2006
AbstractforInvestment with Sequence Losses in an Uncertain Environment and Mean-Variance Hedging | Full Text | References | PDF (237.3 KB)
  • 67 Views
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Article
Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion
Kiyomasa Narita
Pages: 73-88
Published online: 15 Dec 2006
AbstractforNonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion | Full Text | References | PDF (111.4 KB)
  • 121 Views
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Article
Generalized Law of the Iterated Logarithm and Its Convergence Rate
Pingyan Chen & Yongcheng Qi
Pages: 89-103
Published online: 15 Dec 2006
AbstractforGeneralized Law of the Iterated Logarithm and Its Convergence Rate | Full Text | References | PDF (105.5 KB)
  • 91 Views
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Article
Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2
Jorge A. León & Jaime San Martín
Pages: 105-126
Published online: 15 Dec 2006
AbstractforLinear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2 | Full Text | References | PDF (198.1 KB)
  • 166 Views
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Article
Mx/G/1 Queue with Multiple Vacations
Qingzhen Xu, Susu Bao, Zhanyou Ma & Naishuo Tian
Pages: 127-140
Published online: 15 Dec 2006
AbstractforMx/G/1 Queue with Multiple Vacations | Full Text | References | PDF (139.3 KB)
  • 155 Views
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Article
Evaluation Formulas for Conditional Function Space Integrals I
Seung Jun Chang, Jae Gil Choi & David Skoug
Pages: 141-168
Published online: 15 Dec 2006
AbstractforEvaluation Formulas for Conditional Function Space Integrals I | Full Text | References | PDF (177.3 KB)
  • 37 Views
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Article
A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
José Manuel Corcuera, David Nualart & Jeannette H. C. Woerner
Pages: 169-186
Published online: 15 Dec 2006
AbstractforA Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes | Full Text | References | PDF (206.4 KB)
  • 87 Views
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Article
Shooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems
Armando Arciniega
Pages: 187-200
Published online: 15 Dec 2006
AbstractforShooting Methods for Numerical Solution of Nonlinear Stochastic Boundary-Value Problems | Full Text | References | PDF (282.3 KB)
  • 179 Views
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Article
Optimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo
Jing Xu, D. Kannan & Bo Zhang
Pages: 201-236
Published online: 15 Dec 2006
AbstractforOptimal Dynamic Control for the Defined Benefit Pension Plans with Stochastic Benefit Outgo | Full Text | References | PDF (413.8 KB)
  • 129 Views
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Article
Stochastic Convolution-Type Heat Equations with Nonlinear Drift
Mohamed Erraoui, Habib Ouerdiane & José Luís da Silva
Pages: 237-254
Published online: 15 Dec 2006
AbstractforStochastic Convolution-Type Heat Equations with Nonlinear Drift | Full Text | References | PDF (134 KB)
  • 55 Views
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Article
No Arbitrage and the Growth Optimal Portfolio
Morten Mosegaard Christensen & Kasper Larsen
Pages: 255-280
Published online: 15 Dec 2006
AbstractforNo Arbitrage and the Growth Optimal Portfolio | Full Text | References | PDF (150.4 KB)
  • 317 Views
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