Results 51 to 60 of about 6,838,637 (208)
Mathematical Finance, EarlyView.ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
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On the Exact Limiting Distribution of a Volatility Target Index
Mathematical Finance, EarlyView.ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
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Unified Stein‐Type Characterizations of Bivariate Count Distributions With Applications
Scandinavian Journal of Statistics, EarlyView.ABSTRACT The derivation and application of Stein identities have received considerable research interest, especially for continuous distributions and univariate discrete distributions. In this article, we derive a unified Stein‐type characterization for three bivariate count models, namely the bivariate Poisson, type‐I bivariate binomial, and bivariate
Shaochen Wang, Christian H. Weiß
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Eigenvalues Associated with Borel Sets
Real Analysis Exchange, 2006 Every Borel subset K of an interval [c, d] induces a sequence of eigenvalues. If K is closed, the asymptotic behavior of the eigenvalues is related to the positions and lengths of its complementary intervals. The rate of growth becomes “lowest possible” if K has self-similarity properties.
openaire +2 more sources
Nonparametric Survival Estimation With Contaminated and Adjudicated Events
Scandinavian Journal of Statistics, EarlyView.ABSTRACT We study the conditional expert Kaplan–Meier estimator, an extension of the classical Kaplan–Meier estimator designed for time‐to‐event data subject to both right‐censoring and contamination. Such contamination, where observed events may not reflect true outcomes, is common in applied settings, including insurance and credit risk, where expert
Martin Bladt, Kristian Vilhelm Dinesen
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There Is More Than Meets the Eye: The Dual Role of Perception in Shaping Color Lexicons
Topics in Cognitive Science, EarlyView.Abstract Color's ultimate physical reality is continuous, and yet human beings “cut” this continuum into a rather small number of categories reflected in their languages’ color lexicon. There are striking cross‐linguistic differences in the color lexicon, which are primarily attributed to differences in communicative needs, but also striking ...
Mathilde Josserand +3 more
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Frequency‐dependent contraction rates for the Bayesian method to the inverse source problem
Transactions of the London Mathematical Society, Volume 13, Issue 1, December 2026.Abstract This paper addresses an inverse source problem for acoustic waves in a range of frequencies. Our study has two main goals. First, although the problem is severely ill‐posed with a logarithmic stability estimate, we demonstrate, through careful analysis of the forward map's singular values, that increasing the frequency range enhances stability,
Pu‐Zhao Kow, Jenn‐Nan Wang
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The SIR Model in a Moving Population: Propagation of Infection and Herd Immunity
Communications on Pure and Applied Mathematics, Volume 79, Issue 11, Page 2375-2429, November 2026.ABSTRACT In a collection of particles performing independent random walks on Zd$\mathbb {Z}^d$ we study the spread of an infection with SIR dynamics. Susceptible particles become infected when they meet an infected particle. Infected particles heal and are removed at rate ν$\nu$.
Duncan Dauvergne, Allan Sly
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Testing for Genetic Interactions in Complex Disease With Distance Correlation
Biometrical Journal, Volume 68, Issue 5, October 2026.ABSTRACT Understanding epistasis (genetic interaction) may shed some light on the genomic basis of common diseases, including disorders of maximum interest due to their high socioeconomic burden, like schizophrenia. Distance correlation is an association measure that characterizes general statistical independence between random variables, not only the ...
Fernando Castro‐Prado +4 more
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International Journal of Robust and Nonlinear Control, Volume 36, Issue 15, Page 7193-7213, October 2026.ABSTRACT This paper proposes a Machine Learning (ML)‐enabled estimator‐controller design framework, in which a parameterized Model Predictive Controller (MPC) and a parameterized Moving Horizon Estimator (MHE) are jointly refined using Bayesian Optimization (BO).
Hossein Nejatbakhsh Esfahani +1 more
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