We apply general moment identities for Poisson stochastic integrals with random integrands to the computation of the moments of Markovian growth-collapse processes. This extends existing formulas for mean and variance available in the literature to closed form moments expressions of all orders. In comparison with other methods based on differential equations, our approach yields polynomial expressions in the time parameter. We also treat the case of the associated embedded chain.
The existence and uniqueness of the numerical invariant measure of the backward Euler-Maruyama method for stochastic differential equations with Markovian switching is yielded, and it is revealed that the numerical invariant measure converges to the underlying invariant measure in the Wasserstein metric. Under the polynomial growth condition of drift term the convergence rate is estimated. The global Lipschitz condition on the drift coefficients required by Bao et al., 2016 and Yuan et al., 2005 is released. Several examples and numerical experiments are given to verify our theory.
(Working Paper) Using a purely probabilistic argument, we prove the global well-posedness of multidimensional superquadratic backward stochastic differential equations (BSDEs) without Markovian assumption. The key technique is the interplay between the local well-posedness of fully coupled path-dependent forward backward stochastic differential equations (FBSDEs) and backward iterations of the superquadratic BSDE. The superquadratic BSDE studied in this article includes quadratic BSDEs appear in stochastic differential game and price impact model. We also study the well-posedness of superquadr…
Markovian growth-fragmentation processes introduced by Bertoin extend the pure fragmentation model by allowing the fragments to grow larger or smaller between dislocation events. What becomes of the known asymptotic behaviors of self-similar pure fragmentations when growth is added to the fragments is a natural question that we investigate in this paper. Our results involve the terminal value of some additive martingales whose uniform integrability is an essential requirement. Dwelling first on the homogeneous case, we exploit the connection with branching random walks and in particular the ma…
We consider a general class of Markovian models describing the growth in a randomly fluctuating environment of a clonal biological population having several phenotypes related by stochastic switching. Phenotypes differ e.g. by the level of gene expression for a population of bacteria. The time-averaged growth rate of the population, $Λ$, is self-averaging in the limit of infinite times; it may be understood as the fitness of the population in a context of Darwinian evolution. The observation time $T$ being however typically finite, the growth rate fluctuates. For $T$ finite but large, we obtai…
ENS Paris-Saclay(巴黎萨克雷高等师范学院);Ecole Polytechnique(巴黎综合理工学院);HSE University(俄罗斯国家研究型高等经济大学);The Chinese University of Hong Kong(香港中文大学)
This paper studies the exponential stability of random matrix products driven by a general (possibly unbounded) state space Markov chain. It is a cornerstone in the analysis of stochastic algorithms in machine learning (e.g. for parameter tracking in online learning or reinforcement learning). The existing results impose strong conditions such as uniform boundedness of the matrix-valued functions and uniform ergodicity of the Markov chains. Our main contribution is an exponential stability result for the $p$-th moment of random matrix product, provided that (i) the underlying Markov chain sati…
The purpose of the present work is twofold. First, we develop the theory of general self-similar growth-fragmentation processes by focusing on martingales which appear naturally in this setting and by recasting classical results for branching random walks in this framework. In particular, we establish many-to-one formulas for growth-fragmentations and define the notion of intrinsic area of a growth-fragmentation. Second, we identify a distinguished family of growth-fragmentations closely related to stable Lévy processes, which are then shown to arise as the scaling limit of the perimeter proce…
We consider the problem of maximizing the asymptotic growth rate of an investor under drift uncertainty in the setting of stochastic portfolio theory (SPT). As in the work of Kardaras and Robertson we take as inputs (i) a Markovian volatility matrix $c(x)$ and (ii) an invariant density $p(x)$ for the market weights, but we additionally impose long-only constraints on the investor. Our principal contribution is proving a uniqueness and existence result for the class of concave functionally generated portfolios and developing a finite dimensional approximation, which can be used to numerically f…