Abstract T his paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to determine the structure of dependence. Finally, the impact of the dep...

In this paper comparison results of convex type are established for several path-dependent options in some classes of semimartingale models. The options considered are some classes of lookback options, Asian and American options and barrier options. Comparison of the path-dependent options is based on ordering properties of the local characteristics of the underlying processes as well as on sui...

We formulate a stochastic gauge fixing method to study the gauge dependence of Abelian projection. In this method, one can change the gauge from the maximally Abelian one to no gauge fixing continuously. We have found that the linear part of the heavy quark potential from Abelian contribution depends little on the gauge parameter. Similar results have been obtained for the monopole contribution...

Based on the Fokker-Planck and the entropy balance equations we have studied the relaxation of a dissipative dynamical system driven by external Ornstein-Uhlenbeck noise processes in the absence and presence of nonequilibrium constraint in terms of the thermodynamically inspired quantities such as entropy flux and entropy production. The interplay of nonequilibrium constraint, dissipation, and ...

Economists have become interested in the behavior of random processes with positive feedback but have sometimes found it difficult to introduce students to this research. Simulation of the law of large numbers with increasing amounts of feedback provides a convenient framework for such discussion and facilitates a nontechnical introduction to recent work on path dependence.

We develop a pathwise theory for scalar conservation laws with quasilinear multiplicative rough path dependence, a special case being stochastic conservation laws with quasilinear stochastic dependence. We introduce the notion of pathwise stochastic entropy solutions, which is closed with the local uniform limits of paths, and prove that it is well posed, i.e., we establish existence, uniquenes...

In epidemiologic studies, there is often more than one outcome measured on the same subject. Multiple failures from the same individual induce multivariate failure time data involving within-subject dependence. Furthermore, participants may not be independent within a cluster (e.g., as with members of the same family). Responses from subjects in the same cluster generate multivariate failure ti...

stochastic programs are effective for solving long-term planning problems under uncertainty. Such programs are usually based on scenario generation model about future environment developments. In the present paper, the scenario model is developed for the case when enough data paths can be generated, but due to solvability of stochastic program the scenario tree has to be constructed. The propos...

Stochastic independence is an idealized relationship located at one end of a continuum of values measuring degrees of dependence. Modeling real world systems, we are often not interested in the distinction between exact independence and any degree of dependence, but between weak ignorable and strong substantial dependence. Good models map signiicant deviance from independence and neglect approx...