This paper presents a 3D model for pricing defaultable bonds with embedded call options. The pricing model incorporates three essential ingredients in the pricing of defaultable bonds: stochastic interest rate, stochastic default risk, and call provision. Both the stochastic interest rate and the stochastic default risk are modeled as a square-root diffusion process. The default risk process is...

Abstract: In this project we will explore the properties of stochastic matrices in both the real and the finite fields. We first explore what properties 2  2 stochastic matrices in the real field have and then exam if they hold in the finite fields. We will prove how, given the conditions of a finite field, properties hold or fail to hold. We will extend our scope to 3  3 stochastic matrices ...

This paper investigates the problem of finite-time state feedback stabilization for nonholonomic mobile robot with stochastic disturbance in the forward velocity. First of all, an appropriate state/input transformation is introduced to convert the mentioned control model into stochastic nonholonomic system in chain form. Then, by using stochastic finite-time stability theorem and the method of ...

A stochastic finite element method for analysis of effects of spatial variability of material properties is developed with the help of a micromechanics approach. The method is illustrated by evaluating the first and second moments of the global response of a membrane with microstructure of a spatially random inclusionmatrix composite under a deterministic uniformly distributed load. It is shown...

In this paper we present a stochastic extension of finite PBC, sPBC, in which actions have a stochastic delay associated, which is taken from a negative exponential distribution. We define for the language both an operational and a denotational semantics, using a class of labelled stochastic Petri net as supporting values. In this paper we restrict our attention to finite sPBC, i.e., we conside...

This paper presents the first stochastic finite-state morphological parser for Turkish. The non-probabilistic parser is a standard finite-state transducer implementation of two-level morphology formalism. A disambiguated text corpus of 200 million words is used to stochastize the morphotactics transducer, then it is composed with the morphophonemics transducer to get a stochastic morphological ...

The localization of populations of replicating bacteria, viruses or autocatalytic chemicals arises in various contexts, such as ecology, evolution, medicine or chemistry. Several deterministic mathematical models have been used to characterize the conditions under which localized states can form, and how they break down due to convective driving forces. It has been repeatedly found that populat...

In this paper, we consider the problem of robust H finite-time control for a class of switched stochastic systems with time delay. Firstly, the concept of finite-time boundedness is extended to switched stochastic systems. Then, based on the average dwell time method, some sufficient conditions under which switched stochastic systems are finite-time stochastically bounded are given. Moreover, f...

We consider two-player partial-observation stochastic games on finite-state graphs where player 1 has partial observation and player 2 has perfect observation. The winning condition we study are ω-regular conditions specified as parity objectives. The qualitative-analysis problem given a partial-observation stochastic game and a parity objective asks whether there is a strategy to ensure that t...

In this paper, finite and infinite horizon stochastic H2/H∞ control problems with all state, control input and external disturbance-dependent noise are studied. It is shown that the existence condition of finite horizon stochastic H2/H∞ control is equivalent to the solvability of four coupled matrix-valued differential equations, and that of infinite horizon stochastic H2/H∞ control is equivale...