Results 1 to 10 of about 1,048 (72)
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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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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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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Three candidate plurality is stablest for small correlations
Forum of Mathematics, Sigma, 2021 Using the calculus of variations, we prove the following structure theorem for noise-stable partitions: a partition of n-dimensional Euclidean space into m disjoint sets of fixed Gaussian volumes that maximise their noise stability must be $(m-1 ...
Steven Heilman, Alex Tarter
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A Stochastic Gronwall Lemma [PDF]
, 2013 We prove a stochastic Gronwall lemma of the following type: if $Z$ is an adapted nonnegative continuous process which satisfies a linear integral inequality with an added continuous local martingale $M$ and a process $H$ on the right hand side, then for ...
Scheutzow, Michael
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Dependence Modeling, 2020 We first review an approach that had been developed in the past years to introduce concepts of “bivariate ageing” for exchangeable lifetimes and to analyze mutual relations among stochastic dependence, univariate ageing, and bivariate ageing.
Nappo Giovanna, Spizzichino Fabio
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Sklar’s theorem, copula products, and ordering results in factor models
Dependence Modeling, 2021 We consider a completely specified factor model for a risk vector X = (X1, . . ., Xd), where the joint distributions of the components of X with a risk factor Z and the conditional distributions of X given Z are specified.
Ansari Jonathan, Rüschendorf Ludger
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