/pdf/convex-analysisnoer-san-nojin-zhan-nituite-5dl2rbmoyr.pdf

Convex Analysisの二,三の進展について

https://polymer.bu.edu/hes/cox79py538.pdf

Option pricing: A simplified approach☆

Convergence of Probability Measures. By P. Billingsley. Chichester, Sussex, Wiley, 1968. xii, 253 p. 9 1/4“. 117s.

Convergence of Probability Measures

This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. A new Chapter X gives an introduction to the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets. Chapter VI of the First Edition has been completely rewritten, to emphasize the relationships between logarithmic transformations and risk sensitivity. A new Chapter XI gives a concise introduction to two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through illustrative examples and selective material, to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance. In this Second Edition, new material on applications to mathematical finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included.

/pdf/controlled-markov-processes-and-viscosity-solutions-4n8p6ywj5v.pdf

Controlled Markov processes and viscosity solutions

The author's preface gives an outline: "This book is about weakconvergence methods in metric spaces, with applications sufficient to show their power and utility. The Introduction motivates the definitions and indicates how the theory will yield solutions to problems arising outside it. Chapter 1 sets out the basic general theorems, which are then specialized in Chapter 2 to the space C[0, l ] of continuous functions on the unit interval and in Chapter 3 to the space D [0, 1 ] of functions with discontinuities of the first kind. The results of the first three chapters are used in Chapter 4 to derive a variety of limit theorems for dependent sequences of random variables. " The book develops and expands on Donsker's 1951 and 1952 papers on the invariance principle and empirical distributions. The basic random variables remain real-valued although, of course, measures on C[0, l ] and D[0, l ] are vitally used. Within this framework, there are various possibilities for a different and apparently better treatment of the material. More of the general theory of weak convergence of probabilities on separable metric spaces would be useful. Metrizability of the convergence is not brought up until late in the Appendix. The close relation of the Prokhorov metric and a metric for convergence in probability is (hence) not mentioned (see V. Strassen, Ann. Math. Statist. 36 (1965), 423-439; the reviewer, ibid. 39 (1968), 1563-1572). This relation would illuminate and organize such results as Theorems 4.1, 4.2 and 4.4 which give isolated, ad hoc connections between weak convergence of measures and nearness in probability. In the middle of p. 16, it should be noted that C*(S) consists of signed measures which need only be finitely additive if 5 is not compact. On p. 239, where the author twice speaks of separable subsets having nonmeasurable cardinal, he means "discrete" rather than "separable." Theorem 1.4 is Ulam's theorem that a Borel probability on a complete separable metric space is tight. Theorem 1 of Appendix 3 weakens completeness to topological completeness. After mentioning that probabilities on the rationals are tight, the author says it is an

Convergence of probability measures

Martingales and arbitrage in multiperiod securities markets

Martingales and stochastic integrals in the theory of continuous trading

Consider a common stock that pays dividends at a discrete sequence of future times: t = 1,2, Taking all other prices and the random process that determines future dividends as exogenously given, we can ask what will be the price ofthe stock? In a world with a complete set of contingency claims markets, in which every investor can buy and sell without restriction, the answer is given by arbitrage. Let dtixt) denote the dividend that will be paid at time t if contingency Xj prevails, and let Ptixt) denote the current {t = 0) price ofa one dollar claim payable at time t if contingency Xt prevails. Then the current stock price must be 2(2;t,i3t(x«)dt(xf). Furthermore, in such a world it makes no difference whether markets reopen after initial trading. If markets were to reopen, investors would be content to maintain the positions they obtained initially (cf. Arrow, 1968). The situation becomes more complicated if markets are imperfect or incomplete or both. Ownership ofthe stock implies not only ownership of a dividend stream but also the right to sell that dividend stream at a future date. Investors may be unable initially to achieve positions with which they will be forever content, and thus the current stock price may be affected by whether or not markets will reopen in the future. If they do reopen, a speculative phenomenon may appear. An investor may buy the stock now so as to sell it later for more than he thinks it is actually worth, thereby reaping capital gains. This possibility of speculative profits will then be reflected in the current price. Keynes (1931, Ch. 12) attributes primary importance to this phenomenon (and goes on to suggest that it might be better if markets never reopened).

https://ms.mcmaster.ca/~grasselli/HarrisonKreps78.pdf

Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations

Brownian Motion. Stochastic Models of Buffered Flow. Further Analysis of Brownian Motion. Stochastic Calculus. Regulated Brownian Motion. Optimal Control of Brownain Motion. Optimizing Flow System Performance. Appendixes. Index.

J. Michael Harrison

Papers

Martingales and arbitrage in multiperiod securities markets

Martingales and stochastic integrals in the theory of continuous trading

Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations

Brownian motion and stochastic flow systems

A stochastic calculus model of continuous trading: Complete markets