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	1. Explicit estimate for convergence rates of continuous time markov chains (I)
	HOU Zhenting,ZHANG Zhuo,YAN Zhenhai
	Mathematics 16 May 2017
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	Abstract:justifying In this paper, we give explicit estimate on the rate of convergence of the transition probabilities to the stationary distribution for a class of exponential ergodic Markov chains. Our results are different from earlier estimates using coupling theory and from estimates using stochastically monotone. The estimates show a noticeable improvement on existing results if Markov chains contain instantaneous state or nonconservative state. The method of proof uses existing result of discrete time Markov chain, together with $h-$ skeleton. We apply this results, Ray-Knight compactification and $mbox{It}hat{o}$ excursion theory to two examples: a class of singular Markov chains and Kolmogorov matrix. In addition, we apply the Ray-Knight compactification, $mbox{It}hat{o}$ excursion theory and explicit estimate for convergence rates of continuous time markov chains to two examples: a class of singular Markov chains and Kolmogorovmatrix.
	TO cite this article:HOU Zhenting,ZHANG Zhuo,YAN Zhenhai. Explicit estimate for convergence rates of continuous time markov chains (I) [OL].[16 May 2017] http://en.paper.edu.cn/en_releasepaper/content/4734375


	2. Joint Mixability of Elliptical Distributions and Related Families
	YIN Chuancun,ZHU Dan
	Mathematics 22 April 2017
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	Abstract: In this paper, we further develop the theoryof complete mixability and joint mixability, we provided sufficient conditions for some univariate distributions with one-side unbounded support are not joint mixable; We present an alternative proof to a result of Wang and Wang (2016) which related to the joint mixability of ellipticaldistributions with the same characteristic generator. We also study the joint mixability of slash-elliptical distributions and skew-elliptical distributions. Further, in the multivariate ease, the complete mixability and joint mixability of multivariate elliptical distributions and multivariate slash-elliptical distributions are also investigated.
	TO cite this article:YIN Chuancun,ZHU Dan. Joint Mixability of Elliptical Distributions and Related Families [OL].[22 April 2017] http://en.paper.edu.cn/en_releasepaper/content/4727543

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	3. Pruning L'evy trees via an admissible family of branching mechanisms
	HE Hui
	Mathematics 01 April 2014
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	Abstract: By studying an admissible family of branching mechanisms introduced in Li (2014), a pruning procedure on L'evy trees is obtained. Then a decreasing L'evy-CRT-valued process ${T_t}$ by pruning L'evy trees and an analogous process ${T^_t}$ are constructed by pruning a critical L'evy tree conditioned to be infinite. Under a regular condition on the admissible family of branching mechanisms, it is shown that the law of ${T_t}$ at the ascension time can be represented by ${T^_t}$. The results generalize those studied in Abraham and Delmas (2012).
	TO cite this article:HE Hui. Pruning L'evy trees via an admissible family of branching mechanisms[OL].[ 1 April 2014] http://en.paper.edu.cn/en_releasepaper/content/4591607


	4. Barrier dividend problem on the dual risk model with general income distribution
	GUO Junyi,Zhang Xin,HE Yali
	Mathematics 05 February 2013
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	Abstract:In this paper, we consider dividend problems for the so-called dualmodel in which the aggregate incomes process follows a compoundPoisson process. By the strong Markov property of the surplusprocess of the dual model, we obtain an explicit expression for theexpected discounted dividends until ruin under the barrier strategywhen incomes are generally distributed.
	TO cite this article:GUO Junyi,Zhang Xin,HE Yali. Barrier dividend problem on the dual risk model with general income distribution[OL].[ 5 February 2013] http://en.paper.edu.cn/en_releasepaper/content/4520504


	5. Backward Doubly Stochastic Differential Equations with Time Delayed Generators
	LUO Jiaowan,ZHANG Youcun,LI Zhi
	Mathematics 25 December 2012
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	Abstract:In this paper, we study backward doubly stochastic differential equation with time delayed generators. In this new type of equations, generators at time t can depend on the values of a solution in the past, weighted with a time delay function for instance of the moving average type. We prove existence and uniqueness of a solution for a sufficiently small Lipschitz constant of generators.
	TO cite this article:LUO Jiaowan,ZHANG Youcun,LI Zhi. Backward Doubly Stochastic Differential Equations with Time Delayed Generators[OL].[25 December 2012] http://en.paper.edu.cn/en_releasepaper/content/4506993


	6. Exit problems for jump processes with applicationsto dividend problems
	YIN Chuancun,SHEN Ying,WEN Yuzhen
	Mathematics 11 December 2012
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	Abstract:This paper investigates the first passage times to flat boundaries for hyper-exponential jump (diffusion) processes.Explicit solutions of the Laplace transforms of the distribution of the first passage times, the joint distribution of the first passage times and undershoot (overshoot), the joint distribution of the process and running suprema (infima), are obtained. The processes recover many models appearing in the literature such as the compound Poisson risk models, the diffusion perturbed compound Poisson risk models, and their dual models. As applications, we present explicit expressions of the dividend formulae forbarrier strategy and threshold strategy.
	TO cite this article:YIN Chuancun,SHEN Ying,WEN Yuzhen. Exit problems for jump processes with applicationsto dividend problems[J].


	7. Alternative approach to the optimality of the threshold strategyfor spectrally negative L'evy processes
	YIN Chuancun,SHEN Ying,YUEN Kam-Chuen
	Mathematics 22 November 2012
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	Abstract:This paper considers the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative L'evy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. We shown that a thresholdstrategy forms an optimal strategy under the condition that theL'evy measure has a completely monotone density.
	TO cite this article:YIN Chuancun,SHEN Ying,YUEN Kam-Chuen. Alternative approach to the optimality of the threshold strategyfor spectrally negative L'evy processes[OL].[22 November 2012] http://en.paper.edu.cn/en_releasepaper/content/4497694


	8. European option pricing and hedging with both fixed and proportional transaction costs under the fractional Black-Scholes model
	ZHANG Ningling,WANG Xiaotian
	Mathematics 15 November 2012
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	Abstract:This paper deals with the problem of discrete time option pricing using the fractional Black-Scholes model with both fixed and proporational transaction costs.Through the 'anchoring and adjustment' argument in a discrete time setting, a European call option pricing formula is obtained. The pseudo-super-replicating price of an option under both fixed and proporational transaction costs is obtained.
	TO cite this article:ZHANG Ningling,WANG Xiaotian. European option pricing and hedging with both fixed and proportional transaction costs under the fractional Black-Scholes model[OL].[15 November 2012] http://en.paper.edu.cn/en_releasepaper/content/4495215


	9. Moderate deviations and central limit theorem for small perturbation Wishart processes
	CHEN Lei,GAO Fuqing,WANG Shaochen
	Mathematics 12 March 2012
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	Abstract:Let Xε be a small perturbation Wishart process,i.e., the process Xε/ε is a Wishart process withdimension ρ/ε, starting at x/ε. In this paper, we prove that (Xε t-X 0 t)/√￣εh2(ε) satisfies a large deviation principle, and (Xεt-X 0 t)/√￣ε converges to a Gaussian process, where h(ε)→+∞ and √￣εh(ε)→0 asε→0 We also obtain a moderate deviation principle and a functional central limit theorem for the eigenvalue process of Xε by delta method and matrix perturbation theory.
	TO cite this article:CHEN Lei,GAO Fuqing,WANG Shaochen. Moderate deviations and central limit theorem for small perturbation Wishart processes[OL].[12 March 2012] http://en.paper.edu.cn/en_releasepaper/content/4470943


	10. Exponential convergence rates of second quantization semigroups and applications
	DENG Changsong,WANG Fengyu
	Mathematics 15 April 2011
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	Abstract:Exponentialconvergence rates in the L2-tail norm and entropy are characterized forthe second quantization semigroups by using the corresponding baseDirichlet form. This supplements the well known result on theL2-exponential convergence rate of second quantizationsemigroups.
	TO cite this article:DENG Changsong,WANG Fengyu. Exponential convergence rates of second quantization semigroups and applications[OL].[15 April 2011] http://en.paper.edu.cn/en_releasepaper/content/4422320

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