Probability of stochastic processes and spacetime geometry
β Scribed by Enrique Canessa
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 288 KB
- Volume
- 375
- Category
- Article
- ISSN
- 0378-4371
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π SIMILAR VOLUMES
## Abstract Let __X~a,b~__ be nonnegative random variables with the property that __X~a,b~ β¦ X~a,c~ + X~c.b~__ for all 0__β¦ a < c < b β¦ T__, where __T >__ 0 is fixed. We define __M~a,b~ =__ sup {__X~a,c~: a < c β¦ h__} and establish bounds for __P__[__M~a,b~ β§ Ξ»__] in terms of given bounds for __P[X
We study distorted survival probabilities related to risks in incomplete markets. The risks are modeled as diffusion processes, and the distortions are of general type. We establish a connection between distorted survival probabilities of the original risk process and distortion-free survival probab