Given an underlying complete financial market, we study contingent claims whose payoffs may depend on the occurrence of nonmarket events. We first investigate the almost-sure hedging of such claims. In particular, we obtain new representations of the hedging prices and provide necessary and...

New criteria are provided for determining whether an integral representation of a stable process is minimal. These criteria are based on various nonminimal sets and their projections, and have several advantages over and shed light on already available criteria. In particular, they naturally...

We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an...

Let X1,X2,... be a sequence of random vectors taking values in . Let be a random d'xd matrix which is independent of the process {Xn}. Suppose that {Xn} satisfies the large deviations upper or lower bounds with a convex rate function. Starting with this, we derive large deviations statements for...

This paper estimates the price for restructuring risk in the US corporate bond market during 1999-2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk represents 6%-8% of the swap rate without...

The Matsumoto-Yor property in the bivariate case was originally defined through properties of functionals of the geometric Brownian motion. A multivariate version of this property was described in the language of directed trees and outside of the framework of stochastic processes in Massam and...

This paper studies the dynamic entropic repulsion for the Ginzburg-Landau [backward difference][phi] interface model on the wall. Depending on the lattice dimension d, the interface is repelled as t--[infinity] to for d=3 and logt for d=2. In the harmonic case with a quadratic interaction...

In this paper, we study the existence and uniqueness of mild solutions to semilinear backward stochastic evolution equations driven by the cylindrical I-Brownian motion and the Poisson point process in a Hilbert space with non-Lipschitzian coefficients by the successive approximation.

We study a diffusion with time dependent random coefficients. The diffusion coefficient is allowed to become degenerate. We prove an invariance principle for when this diffusion is supposed to be controlled by another one with time independent coefficients.

We establish large deviation principles and phase transition results for both quenched and annealed settings of nearest-neighbor random walks with constant drift in random nonnegative potentials on . We complement the analysis of M.P.W. Zerner [Directional decay of the Green's function for a...