Results 111 to 120 of about 2,481 (254)
Mathematical Finance, EarlyView.ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici +3 more
wiley +1 more source
Relative Arbitrage Opportunities With Interactions Among N Investors
Mathematical Finance, EarlyView.ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley +1 more source
Some Properties of the Cauchy-Type Integral for the Laplace Vector Fields Theory [PDF]
, 2004 International Workshop on Global Analysis -- APR 15-17, 2004 -- Cankaya Univ, Ankara, TURKEYWe study the analog of the Cauchy-type integral for the Laplace vector fields theory in case of a piece-wise Liapunov surface of integration and we prove the ...
Schneider, B, Shapiro, M
core
The Optimal Mean–Variance Selling Problem With Finite Horizon
Mathematical Finance, EarlyView.ABSTRACT The optimal mean–variance selling problem seeks to determine a dynamically optimal stopping time in the nonlinear problem sup0≤τ≤TE(Xτ)−cVar(Xτ)$\sup _{0 \le \tau \le T} \left[ \mathsf {E}\,\!(X_\tau) - c\, \mathsf {V}ar\,\!(X_\tau) \right]$, where X$X$ is a geometric Brownian motion with strictly positive drift, the supremum is taken over ...
Peter Johnson +2 more
wiley +1 more source
Regularization of non-linear measure differential equations
Le Matematiche, 1989 The Cauchy problem for a non-linear system of regularized measure differential equations is studied. It is proved that the solutions of the regularized problems converges to a solution of an integral equation involving measures.
Jan Persson
doaj
Boundary Value Problems, 2005 We study the Riemann boundary value problem Φ+(t)=G(t)Φ−(t)+g(t), for analytic functions in the class of analytic functions represented by the Cauchy-type integrals with density in the spaces Lp(·)(Γ) with variable exponent.
S. Samko +2 more
doaj +1 more source
A general form of Green’s Formula and the Cauchy Integral Theorem
Proceedings of the American Mathematical Society, 2014 We prove a general form of Green’s Formula and the Cauchy Integral Theorem for arbitrary closed rectifiable curves in the plane. We use Vituśkin’s localization of singularities method and a decomposition of a rectifiable curve in terms of a sequence of Jordan rectifiable sub-curves due to Carmona and Cufí.
Cufí, Julià, Verdera, Joan
openaire +1 more source
The inverse Fueter mapping theorem [PDF]
, 2011 In a recent paper the authors have shown how to give an integral representation of the Fueter mapping theorem using the Cauchy formula for slice monogenic functions.
Colombo, Fabrizio +5 more
core +1 more source
Assessing the Effectiveness of Workers' Selection Exams: The Case of the Bank of Italy
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT High‐stakes exams can be used to rank and select candidates for job openings, and the ability of those selected hinges on the design of the exam. I propose a method to model candidates' performance to assess how effective the exam is at selecting high‐ability candidates.
Santiago Pereda‐Fernández
wiley +1 more source
Curvilinear Integral Theorem for G-Monogenic Mappings in the Algebra of Complex Quaternion [PDF]
, 2016 For G-monogenic mappings taking values in the algebra of complex quaternion we prove a curvilinear analogue of the Cauchy integral theorem in the case where a curve of integration lies on the boundary of a domain of G ...
Kuzmenko T. S.
core