Stochastic Analysis and Applications, Volume 39, Issue 2 (2021)

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Stochastic Analysis and Applications, Volume 39, Issue 2 (2021)

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Research Article

Article
Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
Caibin Zhang & Zhibin Liang
Pages: 195-223
Published online: 23 Jul 2020
AbstractforOptimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure | Full Text | References | PDF (2.1 MB) | EPUB
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Article
New stochastic operational matrix method for solving stochastic Itô–Volterra integral equations characterized by fractional Brownian motion
S. Saha Ray & S. Singh
Pages: 224-234
Published online: 26 Jul 2020
AbstractforNew stochastic operational matrix method for solving stochastic Itô–Volterra integral equations characterized by fractional Brownian motion | Full Text | References | PDF (1.1 MB) | EPUB
  • 193 Views
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Review

Mean-field FBSDE and optimal control
Nacira Agram & Salah Eddine Choutri
Pages: 235-251
Published online: 29 Jul 2020
AbstractforMean-field FBSDE and optimal control | Full Text | References | PDF (1.2 MB) | EPUB
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Open Access
An anticipative stochastic minimum principle under enlarged filtrations
Markus Hess
Pages: 252-277
Published online: 26 Jul 2020
AbstractforAn anticipative stochastic minimum principle under enlarged filtrations | Full Text | References | PDF (1.7 MB) | EPUB
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Research Article

Article
Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
Yongqiang Suo, Chenggui Yuan & Shao-Qin Zhang
Pages: 278-305
Published online: 25 Jul 2020
AbstractforWeak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients | Full Text | References | PDF (1.9 MB) | EPUB
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Article
Nonzero-sum risk-sensitive stochastic differential games with discounted costs
Mrinal K. Ghosh, K. Suresh Kumar, Chandan Pal & Somnath Pradhan
Pages: 306-326
Published online: 23 Jul 2020
AbstractforNonzero-sum risk-sensitive stochastic differential games with discounted costs | Full Text | References | PDF (1.4 MB) | EPUB
  • 322 Views
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Article
On Black–Scholes option pricing model with stochastic volatility: an information theoretic approach
Luckshay Batra & H. C. Taneja
Pages: 327-338
Published online: 26 Jul 2020
AbstractforOn Black–Scholes option pricing model with stochastic volatility: an information theoretic approach | Full Text | References | PDF (878.2 KB) | EPUB
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Article
Approximate controllability of second-order non-autonomous stochastic impulsive differential systems
Vikram Singh, Renu Chaudhary & Dwijendra N. Pandey
Pages: 339-356
Published online: 02 Aug 2020
AbstractforApproximate controllability of second-order non-autonomous stochastic impulsive differential systems | Full Text | References | PDF (1.4 MB) | EPUB
  • 265 Views
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Article
The law of the iterated logarithm for a piecewise deterministic Markov process assured by the properties of the Markov chain given by its post-jump locations
Dawid Czapla, Sander C. Hille, Katarzyna Horbacz & Hanna Wojewódka-Ściążko
Pages: 357-379
Published online: 03 Sep 2020
AbstractforThe law of the iterated logarithm for a piecewise deterministic Markov process assured by the properties of the Markov chain given by its post-jump locations | Full Text | References | PDF (2 MB) | EPUB
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