Stochastic Analysis and Applications, Volume 30, Issue 3 (2012)

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Stochastic Analysis and Applications, Volume 30, Issue 3 (2012)

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Original Articles

Article
Modeling the Forward CDS Spreads with Jumps
Dewen Xiong & Michael Kohlmann
Pages: 375-402
Published online: 23 Apr 2012
AbstractforModeling the Forward CDS Spreads with Jumps | Full Text | References | PDF (214.7 KB)
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Article
Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models
Asma Khedher
Pages: 403-425
Published online: 23 Apr 2012
AbstractforComputation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models | Full Text | References | PDF (176.5 KB)
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Article
Doob-Type Estimates for Differentially Subordinated Martingales
Adam Ose¸kowski
Pages: 426-447
Published online: 23 Apr 2012
AbstractforDoob-Type Estimates for Differentially Subordinated Martingales | Full Text | References | PDF (183.9 KB)
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Article
Pricing Defaultable Bonds in a Markov Modulated Market
Tamal Banerjee, Mrinal K. Ghosh & Srikanth K. Iyer
Pages: 448-475
Published online: 23 Apr 2012
AbstractforPricing Defaultable Bonds in a Markov Modulated Market | Full Text | References | PDF (489.5 KB)
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Article
Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions
N. N. Leonenko, S. Petherick & A. Sikorskii
Pages: 476-492
Published online: 23 Apr 2012
AbstractforFractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions | Full Text | References | PDF (279 KB)
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Article
A Classical Mechanical Model of Brownian Motion with One Particle Coupled to a Random Wave Field
Shigeo Kusuoka & Song Liang
Pages: 493-528
Published online: 23 Apr 2012
AbstractforA Classical Mechanical Model of Brownian Motion with One Particle Coupled to a Random Wave Field | Full Text | References | PDF (270.9 KB)
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Article
Isomorphism for Spaces of Predictable Processes and an Extension of the Ito Integral
Barbara Rüdiger & Stefan Tappe
Pages: 529-537
Published online: 23 Apr 2012
AbstractforIsomorphism for Spaces of Predictable Processes and an Extension of the Ito Integral | Full Text | References | PDF (113.6 KB)
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Article
Singularity of Subfractional Brownian Motions with Different Hurst Indices
B. L. S. Prakasa Rao
Pages: 538-542
Published online: 23 Apr 2012
AbstractforSingularity of Subfractional Brownian Motions with Different Hurst Indices | Full Text | References | PDF (79.6 KB)
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Article
Nonexistence of Global Solutions to Nonlinear Stochastic Wave Equations in Mean Lp-Norm
Pao-Liu Chow
Pages: 543-551
Published online: 23 Apr 2012
AbstractforNonexistence of Global Solutions to Nonlinear Stochastic Wave Equations in Mean Lp-Norm | Full Text | References | PDF (105.4 KB)
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