arXiv subjects
Publications and source records attributed to Eberhard Mayerhofer.
We consider affine Markov processes taking values in convex cones. In particular, we characterize all affine processes taking values in an irreducible symmetric cone in terms of certain Lévy-Khintchine triplets. This is the complete classification of affine processes on these conic state spaces, thus extending the theory of Wishart processes on positive semidefinite matrices, as put forward by Bru (1991).
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial moments. We establish parametric conditions which guarantee existence and differentiability of transition densities of affine models and show how they naturally fit into the approximation framework. Empirical applications in credit risk, likelihood inference, and option pricing highlight the usefulness of our expansions. The approximations are extremely fast to evaluate, and they perform very accurately and numerically stable.
This short note concerns the possible singular behaviour of moment generating functions of finite measures at the boundary of their domain of existence. We look closer at Example 7.3 in O. Barndorff-Nielsen's book "Information and Exponential Families in Statistical Theory (1978)" and elaborate on the type of exhibited singularity. Finally, another regularity problem is discussed and it is solved through tensorizing two Barndorff- Nielsen's distributions.
We show the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices. Our result includes affine diffusion processes and therefore extends considerably the known statements concerning Wishart processes, which have recently been extensively employed in financial mathematics. Moreover, we consider stochastic differential equations where the diffusion coefficient is given by the alpha-th positive semidefinite power of the process itself with 0.5<alpha<1 and obtain existence conditions for them. In the case of a diffusion coefficient which is linear in the process we likewise get a positive definite analogue of the univariate GARCH diffusions.
This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.
We consider local martingales which are standard or stochastic exponentials M of one component X of a multivariate affine process in the sense of Duffie, Filipovic and Schachermayer (2003). By completing their characterization of conservative affine processes, we provide deterministic necessary and sufficient conditions in terms of the parameters of X for M to be a true martingale.
A complete characterization of Wishart distributions on the cones of positive semi-definite matrices is provided in terms of a description of their maximal parameter domain. This result is new in that also degenerate scale parameters are included. For such cases, the standard constraints on the range of the shape parameter may be relaxed. Furthermore, the infinitely divisible Wishart distributions are revealed as suitable transformations and embeddings of one dimensional gamma distributions. This note completes the findings of Lévy (1937) concerning infinite divisibility and Gindikin (1975) regarding the existence issue.
We prove a result on the convex dependence of solutions of ordinary differential equations on an ordered finite-dimensional real vector space with respect to the initial data.
For a fixed prime $p$, let $\mathbb C_p$ denote the complex $p$-adic numbers. For polynomials $A,B\in \mathbb C_p[x]$ we consider decompositions $A(x)f^2(x)+B(x)g^2(x)=1$ of entire functions $f,\,g$ on $\mathbb C_p$ and try to improve an impossibility result due to A. Boutabaa concerning transcendental $f,g$. We also provide an independent proof of a $p$-adic diophantic statement due to D. N. Clark, which is an important ingredient of Boutabaa's method.
We revisit affine diffusion processes on general and on the canonical state space in particular. A detailed study of theoretic and applied aspects of this class of Markov processes is given. In particular, we derive admissibility conditions and provide a full proof of existence and uniqueness through stochastic invariance of the canonical state space. Existence of exponential moments and the full range of validity of the affine transform formula are established. This is applied to the pricing of bond and stock options, which is illustrated for the Vasicek, Cox-Ingersoll-Ross and Heston models.
An explicit counterexample shows that contrary to the situation in the special Colombeau algebra, positivity and invertibility cannot be characterized pointwise in algebras of tempered generalized functions. Further a point value characterization of the latter is refined.
We prove local unique solvability of the wave equation for a large class of weakly singular, locally bounded space-time metrics in a suitable space of generalised functions.
The first part of my thesis lays the foundations to generalized Lorentz geometry. The basic algebraic structure of finite-dimensional modules over the ring of generalized numbers is investigated. The motivation for this part of my thesis evolved from the main topic, the wave equation on singular space-times. The second and main part of my thesis is devoted to establishing a local existence and uniqueness theorem for the wave equation on singular space-times. The singular Lorentz metric subject to our discussion is modeled within the special algebra on manifolds in the sense of Colombeau. Inspired by an approach to generalized hyperbolicity of conical-space times due to Vickers and Wilson, we succeed in establishing certain energy estimates, which by a further elaborated equivalence of energy integrals and Sobolev norms allow us to prove existence and uniqueness of local generalized solutions of the wave equation with respect to a wide class of generalized metrics. The third part of my thesis treats three different point value resp. uniqueness questions in algebras of generalized functions
We present recent developments concerning Lorentzian geometry in algebras of generalized functions. These have, in particular, raised a new interest in refined regularity theory for the wave equation on singular space-times.
We introduce a concept of causality in the framework of generalized pseudo-Riemannian Geometry in the sense of J.F. Colombeau and establish the inverse Cauchy-Schwarz inequality in this context. As an application, we prove a dominant energy condition for some energy tensors as put forward in Hawking and Ellis's book "The large scale structure of space-time". Our work is based on a new characterization of free elements in finite dimensional modules over the ring of generalized numbers.
We show spherical completeness of the ring of Colombeau generalized real (or complex) numbers endowed with the sharp norm. As an application, we establish a Hahn Banach extension theorem for ultra pseudo normed modules (over the ring of generalized numbers) of generalized functions in the sense of Colombeau.
We investigate homogeneity in the special Colombeau algebra. It is shown that strongly scaling invariant functions on the d-dimensional space are simply the constants. On the pierced space, strongly homogeneous functions admit tempered representatives, whereas on the whole space, such functions are polynomials with generalized coefficients. We also introduce weak notions of homogeneity and show that these are consistent with the classical notion on the distributional level. Moreover, we investigate the relation between generalized solutions of the Euler differential equation and homogeneity.
We show that contrary to recent papers by S. Albeverio, A. Yu. Khrennikov and V. Shelkovich, point values do not determine elements of the so-called p-adic Colombeau-Egorov algebra uniquely. We further show in a more general way that for an Egorov algebra of generalized functions on a locally compact ultrametric space (M,d) taking values in a non-trivial ring, a point value characterization holds if and only if (M,d) is discrete. Finally, following an idea due to M. Kunzinger and M. Oberguggenberger, a generalized point value characterization of such an Egorov algebra is given. Elements of the latter are constructed which differ from the p-adic delta-distribution considered as a generalized function, yet coincide on point values with the latter.