Modern Stochastics: Theory and Applications

The minimax identity for a nondecreasing upper-semicontinuous utility function satisfying mild growth assumption is studied. In contrast to the classical setting, concavity of the utility function is not asumed. By considering the concave envelope of the utility function, equalities and inequalities between the robust utility functionals of an initial utility function and its concavification are obtained. Furthermore, similar equalities and inequalities are proved in the case of implementing an upper bound on the final endowment of the initial model.

Random filtered complexes built over marked point processes on Euclidean spaces are considered. Examples of these filtered complexes include a filtration of $\check{\text{C}}$ech complexes of a family of sets with various sizes, growths, and shapes. The law of large numbers for persistence diagrams is established as the size of the convex window observing a marked point process tends to infinity.

A stochastic parabolic equation on $[0,T]\times \mathbb{R}$ driven by a general stochastic measure, for which we assume only σ-additivity in probability, is considered. The asymptotic behavior of its solution as $t\to \infty $ is studied.

In this paper, a sample estimator of the tangency portfolio (TP) weights is considered. The focus is on the situation where the number of observations is smaller than the number of assets in the portfolio and the returns are i.i.d. normally distributed. Under these assumptions, the sample covariance matrix follows a singular Wishart distribution and, therefore, the regular inverse cannot be taken. In the paper, bounds and approximations for the first two moments of the estimated TP weights are derived, as well as exact results are obtained when the population covariance matrix is equal to the identity matrix, employing the Moore–Penrose inverse. Moreover, exact moments based on the reflexive generalized inverse are provided. The properties of the bounds are investigated in a simulation study, where they are compared to the sample moments. The difference between the moments based on the reflexive generalized inverse and the sample moments based on the Moore–Penrose inverse is also studied.

In this paper the study of a three-parametric class of Gaussian Volterra processes is continued. This study was started in Part I of the present paper. The class under consideration is a generalization of a fractional Brownian motion that is in fact a one-parametric process depending on Hurst index H. On the one hand, the presence of three parameters gives us a freedom to operate with the processes and we get a wider application possibilities. On the other hand, it leads to the need to apply rather subtle methods, depending on the intervals where the parameters fall. Integration with respect to the processes under consideration is defined, and it is found for which parameters the processes are differentiable. Finally, the Volterra representation is inverted, that is, the representation of the underlying Wiener process via Gaussian Volterra process is found. Therefore, it is shown that for any indices for which Gaussian Volterra process is defined, it generates the same flow of sigma-fields as the underlying Wiener process – the property that has been used many times when considering a fractional Brownian motion.

The need to model a Markov renewal on-off process with multiple off-states arise in many applications such as economics, physics, and engineering. Characterization of the occupation time of one specific off-state marginally or two off-states jointly is crucial to understand such processes. The exact marginal and joint distributions of the off-state occupation times are derived. The theoretical results are confirmed numerically in a simulation study. A special case when all holding times have Lévy distribution is considered for the possibility of simplification of the formulas.

This article provides survival probability calculation formulas for bi-risk discrete time risk model with income rate two. More precisely, the possibility for the stochastic process $u+2t-{\textstyle\sum _{i=1}^{t}}{X_{i}}-{\textstyle\sum _{j=1}^{\lfloor t/2\rfloor }}{Y_{j}}$, $u\in \mathbb{N}\cup \{0\}$, to stay positive for all $t\in \{1,\hspace{0.1667em}2,\hspace{0.1667em}\dots ,\hspace{0.1667em}T\}$, when $T\in \mathbb{N}$ or $T\to \infty $, is considered, where the subtracted random part consists of the sum of random variables, which occur in time in the following order: ${X_{1}},\hspace{0.1667em}{X_{2}}+{Y_{1}},\hspace{0.1667em}{X_{3}},\hspace{0.1667em}{X_{4}}+{Y_{2}},\hspace{0.1667em}\dots $ Here ${X_{i}},\hspace{0.1667em}i\in \mathbb{N}$, and ${Y_{j}},\hspace{0.1667em}j\in \mathbb{N}$, are independent copies of two independent, but not necessarily identically distributed, nonnegative and integer-valued random variables X and Y. Following the known survival probability formulas of the similar bi-seasonal model with income rate two, $u+2t-{\textstyle\sum _{i=1}^{t}}{X_{i}}{\mathbb{1}_{\{i\hspace{2.5pt}\text{is odd}\}}}-{\textstyle\sum _{j=1}^{t}}{Y_{i}}{\mathbb{1}_{\{j\hspace{2.5pt}\text{is even}\}}}$, it is demonstrated how the bi-seasonal model is used to express survival probability calculation formulas in the bi-risk case. Several numerical examples are given where the derived theoretical statements are applied.