scholarly journals CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP

2010 ◽  
Vol 13 (07) ◽  
pp. 1103-1129 ◽  
Author(s):  
STEFAN ANKIRCHNER ◽  
CHRISTOPHETTE BLANCHET-SCALLIET ◽  
ANNE EYRAUD-LOISEL
Keyword(s):  
Credit Risk ◽  
Existence And Uniqueness ◽  
Sufficient Conditions ◽  
Risk Premia ◽  
Contingent Claims ◽  
Quadratic Growth ◽  
Utility Preferences ◽  
Random Times ◽  
Uniqueness Theory

This paper is concerned with the determination of credit risk premia of defaultable contingent claims by means of indifference valuation principles. Assuming exponential utility preferences we derive representations of indifference premia of credit risk in terms of solutions of Backward Stochastic Differential Equations (BSDE). The class of BSDEs needed for that representation allows for quadratic growth generators and jumps at random times. Since the existence and uniqueness theory for this class of BSDEs has not yet been developed to the required generality, the first part of the paper is devoted to fill that gap. By using a simple constructive algorithm, and known results on continuous quadratic BSDEs, we provide sufficient conditions for the existence and uniqueness of quadratic BSDEs with discontinuities at random times.

scholarly journals Determination of positive realizations with reduced numbers of delays or without delays for discrete-time linear systems

2012 ◽  
Vol 22 (4) ◽  
pp. 451-465 ◽  
Author(s):  
Tadeusz Kaczorek
Keyword(s):  
Transfer Function ◽  
Linear Systems ◽  
Discrete Time ◽  
Sufficient Conditions ◽  
Diagram Method ◽  
State Variable ◽  
Discrete Time Systems ◽  
Time Systems ◽  
Time Linear

A new modified state variable diagram method is proposed for determination of positive realizations with reduced numbers of delays and without delays of linear discrete-time systems for a given transfer function. Sufficient conditions for the existence of the positive realizations of given proper transfer function are established. It is shown that there exists a positive realization with reduced numbers of delays if there exists a positive realization without delays but with greater dimension. The proposed methods are demonstrated on a numerical example.

scholarly journals Existence of Coupled Best Proximity Points of p-Cyclic Contractions

Axioms ◽  
2021 ◽  
Vol 10 (1) ◽  
pp. 39
Author(s):  
Miroslav Hristov ◽  
Atanas Ilchev ◽  
Diana Nedelcheva ◽  
Boyan Zlatanov
Keyword(s):  
Wide Class ◽  
Existence And Uniqueness ◽  
Sufficient Conditions ◽  
Best Proximity Points ◽  
Cyclic Contractions ◽  
Ordered Pairs

We generalize the notion of coupled fixed (or best proximity) points for cyclic ordered pairs of maps to p-cyclic ordered pairs of maps. We find sufficient conditions for the existence and uniqueness of the coupled fixed (or best proximity) points. We illustrate the results with an example that covers a wide class of maps.

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 Horosphere slab separation theorems in manifolds without conjugate points

2019 ◽  
Vol 27 (1) ◽  
Author(s):  
Sameh Shenawy
Keyword(s):  
Euclidean Space ◽  
Hyperbolic Space ◽  
Existence And Uniqueness ◽  
Convex Set ◽  
Sufficient Conditions ◽  
Conjugate Points ◽  
Separation Theorems ◽  
Farthest Points ◽  
Simply Connected ◽  
Convex Subsets

Abstract Let $\mathcal {W}^{n}$ W n be the set of smooth complete simply connected n-dimensional manifolds without conjugate points. The Euclidean space and the hyperbolic space are examples of these manifolds. Let $W\in \mathcal {W}^{n}$ W ∈ W n and let A and B be two convex subsets of W. This note aims to investigate separation and slab horosphere separation of A and B. For example,sufficient conditions on A and B to be separated by a slab of horospheres are obtained. Existence and uniqueness of foot points and farthest points of a convex set A in $W\in \mathcal {W}$ W ∈ W are considered.

scholarly journals Existence of Solutions of Nonlinear Stochastic Volterra Fredholm Integral Equations of Mixed Type

2010 ◽  
Vol 2010 ◽  
pp. 1-16 ◽  
Author(s):  
K. Balachandran ◽  
J.-H. Kim
Keyword(s):  
Integral Equations ◽  
Existence And Uniqueness ◽  
Mixed Type ◽  
Fixed Point Theorems ◽  
Existence Of Solutions ◽  
Stochastic Integral ◽  
Sufficient Conditions ◽  
Fredholm Integral Equations ◽  
Equations Of Mixed Type ◽  
Stochastic Integral Equations

We establish sufficient conditions for the existence and uniqueness of random solutions of nonlinear Volterra-Fredholm stochastic integral equations of mixed type by using admissibility theory and fixed point theorems. The results obtained in this paper generalize the results of several papers.

scholarly journals Existence and Uniqueness of Solutions to the Wage Equation of Dixit-Stiglitz-Krugman Model with No Restriction on Transport Costs

2017 ◽  
Vol 2017 ◽  
pp. 1-7 ◽  
Author(s):  
Minoru Tabata ◽  
Nobuoki Eshima
Keyword(s):  
Fixed Point ◽  
Existence And Uniqueness ◽  
Nonlinear Operator ◽  
Sufficient Conditions ◽  
Wage Equation ◽  
Discrete Equation ◽  
Transport Costs ◽  
Economic Activities ◽  
Uniqueness Of Solutions ◽  
Double Nonlinear

In spatial economics, the distribution of wages is described by a solution to the wage equation of Dixit-Stiglitz-Krugman model. The wage equation is a discrete equation that has a double nonlinear singular structure in the sense that the equation contains a discrete nonlinear operator whose kernel itself is expressed by another discrete nonlinear operator with a singularity. In this article, no restrictions are imposed on the maximum of transport costs of the model and on the number of regions where economic activities are conducted. Applying Brouwer fixed point theorem to this discrete double nonlinear singular operator, we prove sufficient conditions for the wage equation to have a solution and a unique one.

scholarly journals Existence and uniqueness regions for solutions of nonlinear equations

1978 ◽  
Vol 19 (2) ◽  
pp. 277-282 ◽  
Author(s):  
A.L. Andrew
Keyword(s):  
Nonlinear Equations ◽  
Existence And Uniqueness ◽  
Kantorovich Theorem ◽  
Potential Applications ◽  
Uniqueness Theory

A refinement of the Newton-Kantorovich Theorem, which has many-potential applications in existence - uniqueness theory, is used to strengthen a result of Lancaster and Rokne concerning existence and uniqueness regions for zeros of operator polynomials.

Positive stable realizations of discrete-time linear systems

2012 ◽  
Vol 60 (3) ◽  
pp. 605-616
Author(s):  
T. Kaczorek
Keyword(s):  
Transfer Function ◽  
Discrete Time ◽  
Sufficient Conditions ◽  
Asymptotically Stable ◽  
Numerical Examples ◽  
Discrete Time Systems ◽  
Necessary And Sufficient ◽  
Time Systems ◽  
Time Linear

Abstract The problem of existence and determination of the set of positive asymptotically stable realizations of a proper transfer function of linear discrete-time systems is formulated and solved. Necessary and sufficient conditions for existence of the set of the realizations are established. A procedure for computation of the set of realizations are proposed and illustrated by numerical examples.

Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices

2006 ◽  
Vol 22 (4) ◽  
pp. 661-687 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Monique Jeanblanc ◽  
Marek Rutkowski
Keyword(s):  
Credit Risk ◽  
Asset Prices ◽  
Risk Model ◽  
Contingent Claims ◽  
Reduced Form ◽  
Credit Risk Model
Sign in / Sign up

Export Citation Format

Share Document