Special Issue "New Trends in Random Evolutions and Their Applications"

A special issue of Mathematics (ISSN 2227-7390). This special issue belongs to the section "Financial Mathematics".

Deadline for manuscript submissions: 31 July 2020.

Special Issue Editor

Prof. Dr. Anatoliy Swishchuk
Website
Guest Editor
Department of Mathematics and Statistics, University of Calgary, Calgary, AB T2N 1N4, Canada
Interests: mathematical finance; energy finance; stochastic modelling; risk theory; random evolutions and their applications; modeling high-frequency and algorithmic trading; deep and machine learning in quantitative finance

Special Issue Information

Dear Colleagues,

It is my pleasure to announce a forthcoming Special Issue in Mathematics devoted to the new trends in random evolutions (REs) and their many applications. REs began to be studied in the 1970s, because of their potential applications in finance, insurance, biology, signal processing, quantum physics, traffic, storage, queuing, and risk theories, to name a few.

In mathematical language, a RE is an operator integro-differential equation with generator depending on a parameter, and this parameter is a stochastic process. The stochastic processes define the name for the REs: Markov, semi-Markov, stationary, Levy, etc. Additionally, depending on structure of the operator equation, we have continuous, discontinuous/jump, discrete, homogeneous, inhomogeneous REs, etc. Markov REs in Euclidian spaces are usually called in the literature hidden Markov or regime-switching models. In physical language, a RE is a model for a dynamical system in random environment, in which equation of state is subject to random variation.

In this Special Issue, we introduce new directions in modern theory of REs and their many applications.

The deadline for papers submission is 30 June 2019.

Thank you in advance for your participation in this project.

Prof. Dr. Anatoliy Swishchuk
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Mathematics is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1200 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Random evolutions (RE)
  • Limit theorems for RE
  • Applications of RE in finance and insurance
  • Applications of RE in biology, medicine, epidemiology, branching theory

Published Papers (2 papers)

Order results
Result details
Select all
Export citation of selected articles as:

Research

Open AccessArticle
Stability Estimates for Finite-Dimensional Distributions of Time-Inhomogeneous Markov Chains
Mathematics 2020, 8(2), 174; https://doi.org/10.3390/math8020174 - 02 Feb 2020
Abstract
This paper is devoted to the study of the stability of finite-dimensional distribution of time-inhomogeneous, discrete-time Markov chains on a general state space. The main result of the paper provides an estimate for the absolute difference of finite-dimensional distributions of a given time-inhomogeneous [...] Read more.
This paper is devoted to the study of the stability of finite-dimensional distribution of time-inhomogeneous, discrete-time Markov chains on a general state space. The main result of the paper provides an estimate for the absolute difference of finite-dimensional distributions of a given time-inhomogeneous Markov chain and its perturbed version. By perturbation, we mean here small changes in the transition probabilities. Stability estimates are obtained using the coupling method. Full article
(This article belongs to the Special Issue New Trends in Random Evolutions and Their Applications)
Open AccessFeature PaperArticle
Inhomogeneous Random Evolutions: Limit Theorems and Financial Applications
Mathematics 2019, 7(5), 447; https://doi.org/10.3390/math7050447 - 19 May 2019
Cited by 2
Abstract
The paper is devoted to the inhomogeneous random evolutions (IHRE) and their applications in finance. We introduce and present some properties of IHRE. Then, we prove weak law of large numbers and central limit theorems for IHRE. Financial applications are given to illiquidity [...] Read more.
The paper is devoted to the inhomogeneous random evolutions (IHRE) and their applications in finance. We introduce and present some properties of IHRE. Then, we prove weak law of large numbers and central limit theorems for IHRE. Financial applications are given to illiquidity modeling using regime-switching time-inhomogeneous Levy price dynamics, to regime-switching Levy driven diffusion based price dynamics, and to a generalized version of the multi-asset model of price impact from distress selling, for which we retrieve and generalize their diffusion limit result for the price process. Full article
(This article belongs to the Special Issue New Trends in Random Evolutions and Their Applications)
Back to TopTop