Existence, uniqueness and tail behavior of solutions to Zakai equations with unbounded coefficients

1982 ◽  
pp. 1-17 ◽  
Author(s):  
W. E. Hopkins ◽  
J. S. Baras ◽  
G. L. Blankenship
Keyword(s):  
Tail Behavior ◽  
Unbounded Coefficients

Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

2007 ◽  
Vol 44 (02) ◽  
pp. 285-294 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Asymptotic Formula ◽  
Continuous Time ◽  
Heavy Tails ◽  
Tail Behavior ◽  
Renewal Model ◽  
Discounted Aggregate Claims ◽  
Aggregate Claims ◽  
Tail Asymptotic

We study the tail behavior of discounted aggregate claims in a continuous-time renewal model. For the case of Pareto-type claims, we establish a tail asymptotic formula, which holds uniformly in time.

An Asset Pricing Theory of Volatility Tail Behavior

2010 ◽  
Author(s):  
Gurdip S. Bakshi ◽  
Dilip B. Madan ◽  
George Panayotov
Keyword(s):  
Asset Pricing ◽  
Tail Behavior ◽  
Asset Pricing Theory ◽  
Pricing Theory

scholarly journals Correctness conditions for high-order differential equations with unbounded coefficients

2021 ◽  
Vol 2021 (1) ◽  
Author(s):  
Kordan N. Ospanov
Keyword(s):  
Differential Equation ◽  
Hilbert Space ◽  
Existence And Uniqueness ◽  
Sufficient Conditions ◽  
Integral Operators ◽  
Order Linear Differential Equation ◽  
Unbounded Coefficients ◽  
Weighted Norms ◽  
Uniqueness Of The Solution ◽  
Linear Differential

AbstractWe give some sufficient conditions for the existence and uniqueness of the solution of a higher-order linear differential equation with unbounded coefficients in the Hilbert space. We obtain some estimates for the weighted norms of the solution and its derivatives. Using these estimates, we show the conditions for the compactness of some integral operators associated with the resolvent.

scholarly journals On a Theorem of Breiman and a Class of Random Difference Equations

2007 ◽  
Vol 44 (04) ◽  
pp. 1031-1046 ◽  
Author(s):  
Denis Denisov ◽  
Bert Zwart
Keyword(s):  
Difference Equations ◽  
Random Variables ◽  
Tail Behavior ◽  
Random Difference ◽  
Regularly Varying ◽  
Random Difference Equations

We consider the tail behavior of the product of two independent nonnegative random variables X and Y. Breiman (1965) has considered this problem, assuming that X is regularly varying with index α and that E{Yα+ε} < ∞ for some ε > 0. We investigate when the condition on Y can be weakened and apply our findings to analyze a class of random difference equations.

scholarly journals Tail behavior of solutions of linear recursions on trees

2012 ◽  
Vol 122 (4) ◽  
pp. 1777-1807 ◽  
Author(s):  
Mariana Olvera-Cravioto
Keyword(s):  
Tail Behavior
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