Stability of Sigma-Martingale Densities in L Log L Under an Equivalent Change of Measure

Author(s):  
Tahir Choulli ◽  
Martin Schweizer

2020 ◽  
Vol 23 (03) ◽  
pp. 2050020
Author(s):  
DAVID CRIENS

We show that for time-inhomogeneous Markovian Heath–Jarrow–Morton models driven by an infinite-dimensional Brownian motion and a Poisson random measure an equivalent change of measure exists whenever the real-world and the risk-neutral dynamics can be defined uniquely and are related via a drift and a jump condition.



2009 ◽  
Vol 46 (2) ◽  
pp. 479-496 ◽  
Author(s):  
Rong-Li Liu ◽  
Yan-Xia Ren ◽  
Renming Song

In Lyons, Pemantle and Peres (1995), a martingale change of measure method was developed in order to give an alternative proof of the Kesten–Stigum L log L theorem for single-type branching processes. Later, this method was extended to prove the L log L theorem for multiple- and general multiple-type branching processes in Biggins and Kyprianou (2004), Kurtz et al. (1997), and Lyons (1997). In this paper we extend this method to a class of superdiffusions and establish a Kesten–Stigum L log L type theorem for superdiffusions. One of our main tools is a spine decomposition of superdiffusions, which is a modification of the one in Englander and Kyprianou (2004).



2009 ◽  
Vol 46 (02) ◽  
pp. 479-496 ◽  
Author(s):  
Rong-Li Liu ◽  
Yan-Xia Ren ◽  
Renming Song

In Lyons, Pemantle and Peres (1995), a martingale change of measure method was developed in order to give an alternative proof of the Kesten–Stigum L log L theorem for single-type branching processes. Later, this method was extended to prove the L log L theorem for multiple- and general multiple-type branching processes in Biggins and Kyprianou (2004), Kurtz et al. (1997), and Lyons (1997). In this paper we extend this method to a class of superdiffusions and establish a Kesten–Stigum L log L type theorem for superdiffusions. One of our main tools is a spine decomposition of superdiffusions, which is a modification of the one in Englander and Kyprianou (2004).



2019 ◽  
Vol 2019 (1) ◽  
Author(s):  
Feng Liu

Abstract In this note we study the rough singular integral $$ T_{\varOmega }f(x)=\mathrm{p.v.} \int _{\mathbb{R}^{n}}f(x-y)\frac{\varOmega (y/ \vert y \vert )}{ \vert y \vert ^{n}}\,dy, $$ T Ω f ( x ) = p . v . ∫ R n f ( x − y ) Ω ( y / | y | ) | y | n d y , where $n\geq 2$ n ≥ 2 and Ω is a function in $L\log L(\mathrm{S} ^{n-1})$ L log L ( S n − 1 ) with vanishing integral. We prove that $T_{\varOmega }$ T Ω is bounded on the mixed radial-angular spaces $L_{|x|}^{p}L_{\theta }^{\tilde{p}}( \mathbb{R}^{n})$ L | x | p L θ p ˜ ( R n ) , on the vector-valued mixed radial-angular spaces $L_{|x|}^{p}L_{\theta }^{\tilde{p}}(\mathbb{R}^{n},\ell ^{\tilde{p}})$ L | x | p L θ p ˜ ( R n , ℓ p ˜ ) and on the vector-valued function spaces $L^{p}(\mathbb{R}^{n}, \ell ^{\tilde{p}})$ L p ( R n , ℓ p ˜ ) if $1<\tilde{p}\leq p<\tilde{p}n/(n-1)$ 1 < p ˜ ≤ p < p ˜ n / ( n − 1 ) or $\tilde{p}n/(\tilde{p}+n-1)< p\leq \tilde{p}<\infty $ p ˜ n / ( p ˜ + n − 1 ) < p ≤ p ˜ < ∞ . The same conclusions hold for the well-known Riesz transforms and directional Hilbert transforms. It should be pointed out that our proof is based on the Calderón–Zygmund’s rotation method.



Author(s):  
André Guerra ◽  
Lukas Koch ◽  
Sauli Lindberg

AbstractWe study existence and regularity of solutions to the Dirichlet problem for the prescribed Jacobian equation, $$\det D u =f$$ det D u = f , where f is integrable and bounded away from zero. In particular, we take $$f\in L^p$$ f ∈ L p , where $$p>1$$ p > 1 , or in $$L\log L$$ L log L . We prove that for a Baire-generic f in either space there are no solutions with the expected regularity.



1999 ◽  
Vol 29 (2) ◽  
pp. 197-214 ◽  
Author(s):  
Rudolf Grübel ◽  
Renate Hermesmeier

AbstractNumerical evaluation of compound distributions is one of the central numerical tasks in insurance mathematics. Two widely used techniques are Panjer recursion and transform methods. Many authors have pointed out that aliasing errors imply the need to consider the whole distribution if transform methods are used, a potential drawback especially for heavy-tailed distributions. We investigate the magnitude of aliasing errors and show that this problem can be solved by a suitable change of measure.



1984 ◽  
Vol 44 (1) ◽  
pp. 21-31 ◽  
Author(s):  
Richard J. Bagby ◽  
Douglas S. Kurtz
Keyword(s):  


2021 ◽  
Author(s):  
Injun Hwang ◽  
Baeho Kim


The problem of computing risk measures of life insurance policies is complicated by the fact that two different probability measures, the real-world probability measure along the risk horizon and the risk-neutral one along the remaining time interval, have to be used. This implies that a straightforward application of the Monte Carlo method is not available and the need arises to resort to time consuming nested simulations or to the least squares Monte Carlo approach. We propose to compute common risk measures by using the celebrated binomial model of Cox, Ross, and Rubinstein (1979) (CRR). The main advantage of this approach is that the usual construction of the CRR model is not influenced by the change of measure and a unique lattice can be used along the whole policy duration. Numerical results highlight that the proposed algorithm computes highly accurate values.



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