Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing

DOI10.1007/S10436-019-00355-YMaRDI QIDQ2174174zbMATHOpenAlexFDO

Authors Yanyan Li

Publication date 20 April 2020

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1911.08412

zbMATH Keywords

viscosity solutioninfinitesimal generatorhypothesis testsoil priceLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Abstract: In this paper, we present the testing of four hypotheses on two streams of observations that are driven by L'evy processes. This is applicable for sequential decision making on the state of two-sensor systems. In one case, each sensor receives or does not receive a signal obstructed by noise. In another, each sensor receives data-driven by L'evy processes with large or small jumps. In either case, these give rise to four possibilities. Infinitesimal generators are presented and analyzed. Bounds for infinitesimal generators in terms of emph{super-solutions} and emph{sub-solutions} are computed. An application of this procedure for the stochastic model is also presented in relation to the financial market.

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Cited in

(6)

• Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
• Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
• Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
• Hypothesis testing for a Lévy-driven storage system by Poisson sampling
• Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model
• Sequential hypothesis testing in machine learning, and crude oil price jump size detection

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