THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS

2011 ◽  
Vol 14 (05) ◽  
pp. 723-755 ◽  
Author(s):  
DEWEN XIONG ◽  
MICHAEL KOHLMANN
Keyword(s):  
Stock Market ◽  
Marked Point ◽  
Quadratic Functions ◽  
Marked Point Process ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
No Arbitrage ◽  
The Mean ◽  
Necessary And Sufficient ◽  
Mean Variance

We construct a bond-stock market composed of d stocks and many bonds with jumps driven by general marked point process as well as by an ℝn-valued Wiener process. By composing these tools we introduce the concept of a compatible bond-stock market and give a necessary and sufficient condition for this property. We study no-arbitrage properties of the composed market where a compatible bond-stock market is arbitrage-free both for the bonds market and for the stocks market. We then turn to an incomplete compatible bond-stock market and give a necessary and sufficient condition for a compatible bond-stock market to be incomplete. In this market we consider the mean-variance hedging in the special situation where both B(u, T) and eG(u, y, T)-1 are quadratic functions of T - u. So, we need to extend the notion of a variance-optimal martingale (VOM) as in Xiong and Kohlmann (2009) to the more general market. By introducing two virtual stocks [Formula: see text], we prove that the VOM for the bond-stock market is the same as the VOM for the new stock market [Formula: see text]. The mean-variance hedging problem in this incomplete bond-stock market for a contingent claim [Formula: see text] is solved by deriving an explicit solution of the optimal measure-valued strategy and the optimal cost induced by the optimal strategy of MHV for the stocks [Formula: see text] is computed.

A note on the subcritical generalized age-dependent branching process

1976 ◽  
Vol 13 (4) ◽  
pp. 798-803 ◽  
Author(s):  
R. A. Doney
Keyword(s):  
Branching Process ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
Malthusian Parameter ◽  
Age Dependent ◽  
The Mean ◽  
Mean Function ◽  
Necessary And Sufficient

For a subcritical Bellman-Harris process for which the Malthusian parameter α exists and the mean function M(t)∼ aeat as t → ∞, a necessary and sufficient condition for e–at (1 –F(s, t)) to have a non-zero limit is known. The corresponding condition is given for the generalized branching process.

Some generalized variability orderings among life distributions with reliability applications

1991 ◽  
Vol 28 (02) ◽  
pp. 374-383 ◽  
Author(s):  
M. C. Bhattacharjee
Keyword(s):  
Random Variables ◽  
Parallel Systems ◽  
Reliability Theory ◽  
Dominance Relation ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
Closure Properties ◽  
Life Distributions ◽  
The Mean ◽  
Necessary And Sufficient

We investigate a generalized variability ordering and its weaker versions among non-negative random variables (lifetimes of components). Our results include a necessary and sufficient condition which justifies the generalized variability interpretation of this dominance relation between life distributions, relationships to some weakly aging classes in reliability theory, closure properties and inequalities for the mean life of series and parallel systems under such ordering.

STABILITY OF HALF-LINEAR NEUTRAL STOCHASTIC DIFFERENTIAL EQUATIONS WITH DELAYS

2009 ◽  
Vol 80 (3) ◽  
pp. 369-383 ◽  
Author(s):  
MENG WU ◽  
NAN-JING HUANG ◽  
CHANG-WEN ZHAO
Keyword(s):  
Fixed Point Theory ◽  
Point Theory ◽  
Stability Theorem ◽  
Sufficient Condition ◽  
Mean Square ◽  
Necessary And Sufficient Condition ◽  
Variable Delays ◽  
Mean Square Stability ◽  
The Mean ◽  
Necessary And Sufficient

AbstractIn this paper, we study the mean square asymptotic stability of a generalized half-linear neutral stochastic differential equation with variable delays applying fixed point theory. An asymptotic mean square stability theorem with a necessary and sufficient condition is proved, which improves and generalizes some results due to Burton, Zhang and Luo. Two examples are given to illustrate our results.

A note on the subcritical generalized age-dependent branching process

1976 ◽  
Vol 13 (04) ◽  
pp. 798-803
Author(s):  
R. A. Doney
Keyword(s):  
Branching Process ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
Malthusian Parameter ◽  
Age Dependent ◽  
The Mean ◽  
Mean Function ◽  
Necessary And Sufficient

For a subcritical Bellman-Harris process for which the Malthusian parameter α exists and the mean function M(t)∼ aeat as t → ∞, a necessary and sufficient condition for e–at (1 –F(s, t)) to have a non-zero limit is known. The corresponding condition is given for the generalized branching process.

The performance of the move-to-front scheme under some particular forms of Markov requests

1995 ◽  
Vol 32 (04) ◽  
pp. 1089-1102 ◽  
Author(s):  
Eliane R. Rodrigues
Keyword(s):  
Stationary Distribution ◽  
Search Time ◽  
The Other ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
Markov Dependence ◽  
The Mean ◽  
Necessary And Sufficient ◽  
The Way

The move-to-front scheme is studied taking into account some forms of Markov dependence for the way items are requested. One of the dependences specifically rules out two consecutive requests for the same item. The other is the so-called p-correlation. An expression for the stationary distribution of the sequence of arrangements of items is given in each case. A necessary and sufficient condition for these distributions to belong to a particular class of distributions is also given. The mean search time for an item is calculated for each form of dependence and these are compared with the value obtained in the case of independent requests. Some properties of the sequence of requests are given. Finally, an expression for the variance of the search time is obtained.

Some generalized variability orderings among life distributions with reliability applications

1991 ◽  
Vol 28 (2) ◽  
pp. 374-383 ◽  
Author(s):  
M. C. Bhattacharjee
Keyword(s):  
Random Variables ◽  
Parallel Systems ◽  
Reliability Theory ◽  
Dominance Relation ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
Closure Properties ◽  
Life Distributions ◽  
The Mean ◽  
Necessary And Sufficient

We investigate a generalized variability ordering and its weaker versions among non-negative random variables (lifetimes of components). Our results include a necessary and sufficient condition which justifies the generalized variability interpretation of this dominance relation between life distributions, relationships to some weakly aging classes in reliability theory, closure properties and inequalities for the mean life of series and parallel systems under such ordering.

The performance of the move-to-front scheme under some particular forms of Markov requests

1995 ◽  
Vol 32 (4) ◽  
pp. 1089-1102 ◽  
Author(s):  
Eliane R. Rodrigues
Keyword(s):  
Stationary Distribution ◽  
Search Time ◽  
The Other ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
Markov Dependence ◽  
The Mean ◽  
Necessary And Sufficient ◽  
The Way

The move-to-front scheme is studied taking into account some forms of Markov dependence for the way items are requested. One of the dependences specifically rules out two consecutive requests for the same item. The other is the so-called p-correlation. An expression for the stationary distribution of the sequence of arrangements of items is given in each case. A necessary and sufficient condition for these distributions to belong to a particular class of distributions is also given. The mean search time for an item is calculated for each form of dependence and these are compared with the value obtained in the case of independent requests. Some properties of the sequence of requests are given. Finally, an expression for the variance of the search time is obtained.

A Proposed Framework Emphasizing Auditor Reliability over Auditor Independence

2003 ◽  
Vol 17 (3) ◽  
pp. 257-266 ◽  
Author(s):  
Mark H. Taylor ◽  
F. Todd DeZoort ◽  
Edward Munn ◽  
Martha Wetterhall Thomas
Keyword(s):  
Public Interest ◽  
Auditor Independence ◽  
Public Confidence ◽  
Sufficient Condition ◽  
Necessary And Sufficient Condition ◽  
Accounting Profession ◽  
The Public ◽  
Necessary And Sufficient

This paper introduces an auditor reliability framework that repositions the role of auditor independence in the accounting profession. The framework is motivated in part by widespread confusion about independence and the auditing profession's continuing problems with managing independence and inspiring public confidence. We use philosophical, theoretical, and professional arguments to argue that the public interest will be best served by reprioritizing professional and ethical objectives to establish reliability in fact and appearance as the cornerstone of the profession, rather than relationship-based independence in fact and appearance. This revised framework requires three foundation elements to control subjectivity in auditors' judgments and decisions: independence, integrity, and expertise. Each element is a necessary but not sufficient condition for maximizing objectivity. Objectivity, in turn, is a necessary and sufficient condition for achieving and maintaining reliability in fact and appearance.

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