Results 61 to 70 of about 341 (205)
Empirical‐Process Limit Theory and Filter Approximation Bounds for Score‐Driven Time Series Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This article examines the filtering and approximation‐theoretic properties of score‐driven time series models. Under specific Lipschitz‐type and tail conditions, new results are derived, leading to maximal and deviation inequalities for the filtering approximation error using empirical process theory.
Enzo D'Innocenzo
wiley +1 more source
, 2017 A method of spatial (integral) differentiation of multivector fields in an N -dimensional manifold M, into which a hyper-rectangle [a,b] is mapped by a bijective smooth map r : [a,b] ? M, has been introduced.
Branko Saric
core +1 more source
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
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A note on the axisymmetric diffusion equation
, 2021 We consider the explicit solution to the axisymmetric diffusion equation. We recast the solution in the form of a Mellin inversion formula, and outline a method to compute a formula for \(u(r,t)\) as a series using the Cauchy residue theorem.
Patkowski, Alexander
core
, 2020 Abstract The Green’s Function of a Dirac Driven Wave Equation was obtained after applying Cauchy’s Residue Theorem to a contour integral. Solutions were obtained for initial conditions t < 0 and t > 0 by Fourier transforming the Green’s function, obtaining preferred spatial variables of the Fourier transform, and inverse Fourier transforming back
openaire +2 more sources
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
Solutions of Some Nielsen-type Integrals Through Hypergeometric Technique with Applications
, 2020 Nielsen integrals and similar type of integrals were evaluated by the use of suitable contour integrals and Cauchy’s residue theorem. In this article, we obtain the solutions of Nielsen-type integrals and the associated integrals with suitable ...
Javid Majid; Department of Applied Sciences and Humanities Faculty of Engineering and Technology Jamia Millia Islamia (A Central University), New Delhi-110025, India +1 more
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Summation of a family of finite secant sums
, 2007 We use contour integrals and the Cauchy residue theorem in order to derive several summation formulas, in terms of the higher-order Bernoulli polynomials and the ordinary Bernoulli and Euler polynomials, for a remarkably general family of secant sums ...
Srivastava, H. M., Cvijović, Đurđe
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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
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