Browsing by Author "Wu, Ching-Tang"

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Further results on some singular linear stochastic differential equations
(2009-04-01)
Alili, Larbi
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Wu, Ching-Tang
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應用數學系
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Department of Applied Mathematics
A class of Volterra transforms, preserving the Wiener measure, with kernels of Goursat type is considered. Such kernels satisfy a self-reproduction property. We provide some results on the inverses of the associated Gramian matrices which lead to a new self-reproduction property. A connection to the classical reproduction property is given. Results are then applied to the study of a class of singular linear stochastic differential equations together with the corresponding decompositions of filtrations. The studied equations are viewed as non-canonical decompositions of some generalized bridges. (C) 2008 Elsevier B.V. All rights reserved.
INTEGRATED PRODUCTION AND THE INVESTMENT-UNCERTAINTY RELATIONSHIP
(2009-03-01)
Tsai, Yingyi
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Wu, Ching-Tang
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應用數學系
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Department of Applied Mathematics
This paper studies the role of production mode in determining the effects of an increase in uncertainty on the choice of investment outlay. In a continuous-time model of optimal capital investment with innovative R&D under demand uncertainty, we show that investments in both capital and innovative research decrease with an increase in uncertainty, and that such investments rise with the level of primary demand. Our result sheds light on the mode of production as a source of the negative investment-uncertainty relationship.
MEASURING THE "NON-STOPPING TIMENESS" OF ENDS OF PREVISIBLE SETS
(2012-10-01)
Wu, Ching-Tang
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Yen, Ju-Yi
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Yor, Marc
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應用數學系
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Department of Applied Mathematics
In this paper, we propose some "measurements" of the "non-stopping timeness" of ends G of previsible sets, such that G avoids stopping times, in an ambiant filtration. We then study several explicit examples, involving last passage times of some remarkable martingales.