In this paper we study a class of backward stochastic differential equations (BSDEs) of the form in an infinite dimensional Hilbert space H, where the unbounded operator A is sectorial and dissipative and the nonlinearity f0(t,y) is dissipative and defined for y only taking values in a subspace...

The paper concerns testing long memory for fractionally integrated nonlinear processes. We show that the exact local asymptotic power is of order O[(logn)-1] for four popular nonparametric tests and is O(m-1/2), where m is the bandwidth which is allowed to grow as fast as n[kappa], [kappa][set...

In this paper, we accomplish two objectives: First, we provide a new mathematical characterization of the value function for impulse control problems with implementation delay and present a direct solution method that differs from its counterparts that use quasi-variational inequalities. Our...

We consider quadratic fluctuations in the centered symmetric simple exclusion process in dimension d=1. Although the order of divergence of is known to be [epsilon]-3/2 if [epsilon][downwards arrow]0, the corresponding limit theorem was so far not explored. We now show that converges in law to a...

We study the total branch length Ln of the Bolthausen-Sznitman coalescent as the sample size n tends to infinity. Asymptotic expansions for the moments of Ln are presented. It is shown that converges to 1 in probability and that Ln, properly normalized, converges weakly to a stable random...

In this paper we study the homeomorphic properties of the solutions to one dimensional backward stochastic differential equations under suitable assumptions, where the terminal values depend on a real parameter. Then, we apply them to the solutions for a class of second order quasilinear...

We consider random walks with transition probabilities depending on the number of consecutive traversals n of the edge most recently traversed. Such walks may get stuck on a single edge, or have every vertex recurrent or every vertex transient, depending on the reinforcement function f(n) that...

We study a system of interacting diffusions and show that for a large number of particles its empirical measure approximates the solution of the porous medium equation. Furthermore we prove propagation of chaos.

We study the linear approximation of utility-based hedging strategies for small number of contingent claims. We show that this approximation is actually a mean-variance hedging strategy under an appropriate choice of a numéraire and a risk-neutral probability. In contrast to previous studies,...