A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
, 2016 A method for calculating multi-portfolio time consistent multivariate risk measures in discrete time is presented. Market models for $d$ assets with transaction costs or illiquidity and possible trading constraints are considered on a finite probability ...
Feinstein, Zachary, Rudloff, Birgit
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Semidefinite programming in matrix unknowns which are dimension free
, 2011 One of the main applications of semidefinite programming lies in linear systems and control theory. Many problems in this subject, certainly the textbook classics, have matrices as variables, and the formulas naturally contain non-commutative polynomials
Helton, J. William +2 more
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Asymptotic behavior of gradient-like dynamical systems involving inertia and multiscale aspects
, 2016 In a Hilbert space $\mathcal H$, we study the asymptotic behaviour, as time variable $t$ goes to $+\infty$, of nonautonomous gradient-like dynamical systems involving inertia and multiscale features.
Attouch, Hedy, Czarnecki, Marc-Olivier
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Order preserving and order reversing operators on the class of convex functions in Banach spaces
, 2014 A remarkable result by S. Artstein-Avidan and V. Milman states that, up to pre-composition with affine operators, addition of affine functionals, and multiplication by positive scalars, the only fully order preserving mapping acting on the class of lower
Iusem, Alfredo N. +2 more
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A D-induced duality and its applications [PDF]
This paper attempts to extend the notion of duality for convex cones, by basing it on a predescribed conic ordering and a fixed bilinear mapping. This is an extension of the standard definition of dual cones, in the sense that the nonnegativity of the ...
Brinkhuis, J., Zhang, S.
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A convex extension of lower semicontinuous functions defined on normal Hausdorff space
, 2017 We prove that, any problem of minimization of proper lower semicontinuous function defined on a normal Hausdorff space, is canonically equivalent to a problem of minimization of a proper weak * lower semicontinuous convex function defined on a weak ...
Bachir, Mohammed
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A Note on Utility Maximization with Unbounded Random Endowment [PDF]
This paper addresses the applicability of the convex duality method for utility maximization, in the presence of random endowment. When the price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true, for a
Keita Owari
core
Complete positivity and distance-avoiding sets. [PDF]
Math Program, 2022 DeCorte E, Filho FMO, Vallentin F.
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Functional version for Furuta parametric relative operator entropy. [PDF]
J Inequal Appl, 2018 Raïssouli M, Furuichi S.
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Pseudo almost periodic solutions for shunting inhibitory cellular neural networks with continuously distributed delays. [PDF]
J Inequal Appl, 2017 Lu Y, Ji D.
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