Results 161 to 170 of about 3,430 (271)

Penalized Convex Estimation in Dynamic Location Models

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley   +1 more source

The fundamental theorem of asset pricing with and without transaction costs

Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

Replication of 10 novel loci involved in human plasma protein N-glycosylation using MALDI-MS and UHPLC-FD data. [PDF]

Glycobiology
Timoshchuk A, Naber A, Slieker R, Soplenkova A, Maslov DE, Potapova NA, Nicolardi S, Elders PJM, Sijbrands EJG, Sharapov S, 't Hart LM, van Hoek M, Wuhrer M, Aulchenko YS.   +13 more
europepmc   +1 more source

Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling

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, Gianluca Fusai, Anna Maria Gambaro, Daniele Marazzina   +3 more
wiley   +1 more source

In silico analysis of the invasion mechanics and invasiveness of the Plasmodium falciparum merozoite. [PDF]

Biomech Model Mechanobiol
Msosa C, Abdalrahman T, Franz T.
europepmc   +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

A Parameterized Cross-Sectional Model for Simulating Balloon Angioplasty in Atherosclerotic Arteries. [PDF]

Int J Numer Method Biomed Eng
Kwakman SMB, Terzano M, Rolf M, Holzapfel GA.   +3 more
europepmc   +1 more source

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, Jesper Lund Pedersen, Goran Peskir   +2 more
wiley   +1 more source

Analysis of digital vernier caliper <i>versus</i> digital thickness gauge consistency and user experience in measuring arterial wall thickness: implications for biomechanical assessment. [PDF]

Front Bioeng Biotechnol
Ciucanu CC, Russu E, Mureşan A, Asztalos AI, Ion AP, Bartus R, Arbănaşi EM, Mureşan AV, Radu CC, Hogea T, Chirilă TV, Voidǎzan ST, Arbănaşi EM.   +12 more
europepmc   +1 more source

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
wiley   +1 more source