Results 1 to 10 of about 216 (90)
Annals of Statistics, 2022 ∗Supported by EPSRC grant EP/R044732/1. †Supported in part by funding from the Lloyd’s Register Foundation – Alan Turing Institute Programme on Data-Centric Engineering, and by EPSRC grants EP/R034710/1 and EP/T004134/1.
Jere Koskela +3 more
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Detection of arbitrage opportunities in multi-asset derivatives markets
Dependence Modeling, 2021 We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simultaneously.
Papapantoleon Antonis +1 more
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Some New Results on Policy Limit Allocations
Journal of the Iranian Statistical Society, 2021 . Suppose that a policyholder faces n risks X 1 , . . . , X n which are insured under the policy limit with the total limit of l . Usually, the policyholder is asked to protect each X i with an arbitrary limit of l i such that (cid:80) ni = 1 l i = l ...
Sirous Fathi Manesh +2 more
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Upper bounds for superquantiles of martingales
Comptes rendus. Mathematique, 2021 Let (Mn )n be a discrete martingale in Lp for p in ]1,2] or p = 3. In this note, we give upper bounds on the superquantiles of Mn and the quantiles and superquantiles of M∗ n = max(M0, M1, . . . , Mn ). 2020 Mathematics Subject Classification.
E. Rio
semanticscholar +1 more source
Dilation Type Inequalities for Strongly-Convex Sets in Weighted Riemannian Manifolds
Analysis and Geometry in Metric Spaces, 2021 In this paper, we consider a dilation type inequality on a weighted Riemannian manifold, which is classically known as Borell’s lemma in high-dimensional convex geometry.
Tsuji Hiroshi
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Dispersive order comparisons on extreme order statistics from homogeneous dependent random vectors
Dependence Modeling, 2021 In this paper, we investigate sufficient conditions for preservation property of the dispersive order for the smallest and largest order statistics of homogeneous dependent random vectors.
Mesfioui Mhamed, Trufin Julien
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Exponential concentration for first passage percolation through modified Poincaré inequalities [PDF]
, 2006 We provide a new exponential concentration inequality for first passage percolation valid for a wide class of edge times distributions. This improves and extends a result by Benjamini, Kalai and Schramm (Ann. Probab.
M. Benaim, Raphael Rossignol
semanticscholar +1 more source
Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2021 We give a stochastic order for Varma residual entropy and study several properties of it, like closure, reversed closure and preservation of this order in some stochastic models.
Sfetcu Sorina-Cezarina
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On the symmetrized s-divergence
Open Mathematics, 2020 In this study, we work with the relative divergence of type s,s∈ℝs,s\in {\mathbb{R}}, which includes the Kullback-Leibler divergence and the Hellinger and χ 2 distances as particular cases.
Simić Slavko +2 more
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Complete consistency for the estimator of nonparametric regression model based on m-END errors
Open Mathematics, 2021 In this paper, we study the complete consistency for the estimator of nonparametric regression model based on m-END errors and obtain the convergence rates of the complete consistency under more general conditions.
Zhang Shui-Li, Hou Tiantian, Qu Cong
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