Results 21 to 30 of about 352 (49)
Optimal transportation with an oscillation-type cost: the one-dimensional case [PDF]
, 2012 The main result of this paper is the existence of an optimal transport map $T$ between two given measures $\mu$ and $\nu$, for a cost which considers the maximal oscillation of $T$ at scale $\delta$, given by $\omega_\delta(T):=\sup_{|x-y|
Lesesvre, Didier +2 more
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Purely finitely additive measures as generalized elements in a maximin problem [PDF]
, 2013 We study the asymptotic behavior of maximin values of a payoff function, when admissible controls tend to infinity. The payoff function is superposition of a continuos function and a function that is uniform limit of step functions.
Baklanov, A.
core +1 more source
Are law-invariant risk functions concave on distributions?
Dependence Modeling, 2013 While it is reasonable to assume that convex combinations on the level of random variables lead to a reduction of risk (diversification effect), this is no more true on the level of distributions.
Acciaio Beatrice, Svindland Gregor
doaj +1 more source
Lagrange optimality system for a class of nonsmooth convex optimization [PDF]
, 2015 In this paper, we revisit the augmented Lagrangian method for a class of nonsmooth convex optimization. We present the Lagrange optimality system of the augmented Lagrangian associated with the problems, and establish its connections with the standard ...
Jin, Bangti, Takeuchi, Tomoya
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On question about extension of maximin problem with phase constraints [PDF]
, 2013 We study the asymptotic behavior of maximin values of a payoff function, when relaxed constraints are tightened. The payoff function depends on the trajectories of controlled systems of the first and second player.
Baklanov, A.
core +1 more source
On utility-based super-replication prices of contingent claims with unbounded payoffs
, 2006 Consider a financial market in which an agent trades with utility-induced restrictions on wealth. For a utility function which satisfies the condition of reasonable asymptotic elasticity at $-\infty$ we prove that the utility-based super-replication ...
Elliott +7 more
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On the Lebesgue Property of Monotone Convex Functions
, 2013 The Lebesgue property (order-continuity) of a monotone convex function on a solid vector space of measurable functions is characterized in terms of (1) the weak inf-compactness of the conjugate function on the order-continuous dual space, (2) the ...
Owari, Keita
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Dynamic robust duality in utility maximization
, 2015 A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities: (i) The optimal terminal wealth $X^*(T) : = X_{\varphi^*}(T)$ of the problem to maximize the expected $U$-utility of the ...
Sulem, Agnès, Øksendal, Bernt
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Market free lunch and large financial markets
, 2006 The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences.
Klein, Irene
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Morozov's principle for the augmented Lagrangian method applied to linear inverse problems
, 2010 The Augmented Lagrangian Method as an approach for regularizing inverse problems received much attention recently, e.g. under the name Bregman iteration in imaging.
Frick, Klaus +2 more
core +1 more source