On characterizing the set of martingale measures in discrete time

2015 ◽  
Vol 15 (03) ◽  
pp. 1550017 ◽  
Author(s):  
Abdelkarem Berkaoui
Keyword(s):  
Discrete Time ◽  
Sufficient Conditions ◽  
Sample Space ◽  
Probability Measures ◽  
Finite Sample ◽  
Martingale Measures ◽  
Space Case ◽  
Necessary And Sufficient ◽  
Adapted Process ◽  
Vector Valued

We state necessary and sufficient conditions on a set of probability measures to be the set of martingale measures for a vector valued, bounded and adapted process. In the absence of the maximality condition, we prove the existence of the smallest set of martingale measures. We apply such results to the finite sample space case.

A characterization of the set of local martingale measures

2018 ◽  
Vol 18 (05) ◽  
pp. 1850042 ◽  
Author(s):  
Abdelkarem Berkaoui
Keyword(s):  
Continuous Time ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Local Martingale ◽  
Probability Measures ◽  
Martingale Measures ◽  
Necessary And Sufficient ◽  
Adapted Process ◽  
Vector Valued

We generalize the results of [1] to continuous time case by stating necessary and sufficient conditions on a set of probability measures to be the set of local martingale measures for a vector valued, locally bounded and adapted process.

scholarly journals Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

2012 ◽  
Vol 2012 ◽  
pp. 1-20
Author(s):  
O. L. V. Costa ◽  
E. V. Queiroz Filho
Keyword(s):  
Sufficient Conditions ◽  
Sample Space ◽  
Contingent Claim ◽  
Finite Sample ◽  
Financial Model ◽  
Hedging Strategies ◽  
Penalty Costs ◽  
Space Case ◽  
Necessary And Sufficient ◽  
Financing Strategy

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

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.

scholarly journals Positive 2D Discrete-Time Linear Lyapunov Systems

2009 ◽  
Vol 19 (1) ◽  
pp. 95-106 ◽  
Author(s):  
Przemysław Przyborowski ◽  
Tadeusz Kaczorek
Keyword(s):  
Asymptotic Stability ◽  
Discrete Time ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Numerical Examples ◽  
Necessary And Sufficient ◽  
Time Linear

Positive 2D Discrete-Time Linear Lyapunov SystemsTwo models of positive 2D discrete-time linear Lyapunov systems are introduced. For both the models necessary and sufficient conditions for positivity, asymptotic stability, reachability and observability are established. The discussion is illustrated with numerical examples.

Reversibility of Markov chains with applications to storage models

1985 ◽  
Vol 22 (01) ◽  
pp. 123-137 ◽  
Author(s):  
Hideo Ōsawa
Keyword(s):  
Markov Chains ◽  
State Space ◽  
Discrete Time ◽  
Risk Model ◽  
Sufficient Conditions ◽  
Single Server ◽  
General State ◽  
Insurance Risk ◽  
General State Space ◽  
Necessary And Sufficient

This paper studies the reversibility conditions of stationary Markov chains (discrete-time Markov processes) with general state space. In particular, we investigate the Markov chains having atomic points in the state space. Such processes are often seen in storage models, for example waiting time in a queue, insurance risk reserve, dam content and so on. The necessary and sufficient conditions for reversibility of these processes are obtained. Further, we apply these conditions to some storage models and present some interesting results for single-server queues and a finite insurance risk model.

scholarly journals The Problem of Invariance in Nonlinear Discrete-Time Dynamic Systems

Symmetry ◽  
2020 ◽  
Vol 12 (8) ◽  
pp. 1241
Author(s):  
Alexey Zhirabok
Keyword(s):  
Discrete Time ◽  
Dynamic Systems ◽  
Fault Tolerant ◽  
Sufficient Conditions ◽  
Fault Detection And Isolation ◽  
Time Dynamic ◽  
Differentiable Functions ◽  
Algebra Of Functions ◽  
Necessary And Sufficient ◽  
Algebraic Approaches

The paper considers the problem of invariance with respect to the unknown input for discrete-time nonlinear dynamic systems. To solve the problem, the algebraic approaches, called algebra of functions and logic–dynamic approach, are used. Such approaches assume that description of the system may contain non-differentiable functions. Necessary and sufficient conditions of solvability the problem are obtained. Moreover, procedures which find the appropriate functions and matrices are developed. Some applications of such invariance in fault detection and isolation, disturbance decoupling problem, and fault-tolerant control are considered.

Reversibility of Markov chains with applications to storage models

1985 ◽  
Vol 22 (1) ◽  
pp. 123-137 ◽  
Author(s):  
Hideo Ōsawa
Keyword(s):  
Markov Chains ◽  
State Space ◽  
Discrete Time ◽  
Risk Model ◽  
Sufficient Conditions ◽  
Single Server ◽  
General State ◽  
Insurance Risk ◽  
General State Space ◽  
Necessary And Sufficient

This paper studies the reversibility conditions of stationary Markov chains (discrete-time Markov processes) with general state space. In particular, we investigate the Markov chains having atomic points in the state space. Such processes are often seen in storage models, for example waiting time in a queue, insurance risk reserve, dam content and so on. The necessary and sufficient conditions for reversibility of these processes are obtained. Further, we apply these conditions to some storage models and present some interesting results for single-server queues and a finite insurance risk model.

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