Results 81 to 90 of about 5,027 (259)
Marchenko–Pastur Laws for Daniell Smoothed Periodograms
Journal of Time Series Analysis, EarlyView.ABSTRACT Given a sample X0,…,Xn−1$$ {X}_0,\dots, {X}_{n-1} $$ from a d$$ d $$‐dimensional stationary time series (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$, the most commonly used estimator for the spectral density matrix F(θ)$$ F\left(\theta \right) $$ at a given frequency θ∈[0,2π)$$ \theta \in \left[0,2\pi \right) $$ is the Daniell smoothed ...
Ben Deitmar
wiley +1 more source
Hereditarily additive families in descriptive set theory and Borel measurable multimaps
, 1983 A family B \mathcal {B} of Borel subsets of a space X X is (boundedly) Borel additive if, for some countable ordinal α \alpha , the union of every subfamily of B ...
Roger W. Hansell
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Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
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, 1990 We investigate the question of which homogeneous (zero-dimensional absolute) Borel sets can have the structure of a topological group. We show that a Baire such space can only be a group if it is topologically complete.
van Engelen, Fons
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Advanced Nonlinear StudiesWe study the existence problem for semilinear equations (E): −Au = f(⋅, u) + μ, with Borel measure μ and operator A that generates a symmetric Markov semigroup.
Klimsiak Tomasz
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Свойство выпуклости взаимных мультифрактальных размерностей [PDF]
Проблемы анализа, 2010 В работе установлено свойство выпуклости взаимной мультифрактальной упаковочной размерности подмножества пересечения носителей вероятностных борелевских мер μ и v.
Светова Н. Ю.
doaj
Construction of Borel Inseparable Coanalytic Sets
Real Analysis Exchange, 2003 The authors prove several general combinatorial results each of which gives a large family of pairwise disjoint, Borel inseparable, complete coanalytic sets. They use these combinatorial results to construct some concrete examples of such families in analysis and topology.
CAMERLO, RICCARDO, U. B. DARJI
openaire +5 more sources
Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
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On generalized Borel sets [PDF]
Journal of the Australian Mathematical Society, 1978 AbstractA certain natural extension B of the Borel σ-algebra is studied in generalized weakly θ-refinable spaces. It is shown that a set belongs to B whenever it belongs to B locally. From this it is derived that if ℵωα is more complicated than aunion of less than ℵα weakly θ-refinable subspaces.
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Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source