Results 131 to 140 of about 80,027 (267)
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
wiley +1 more source
Mathematical Finance, EarlyView.ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
wiley +1 more source
On the spectrum of tridiagonal matrices with two-periodic main diagonal
Special MatricesWe find the spectrum and eigenvectors of an arbitrary irreducible complex tridiagonal matrix with two-periodic main diagonal. This is expressed in terms of the spectrum and eigenvectors of the matrix with the same sub- and superdiagonals and zero main ...
Dyachenko Alexander, Tyaglov Mikhail
doaj +1 more source
Recurrence Coefficients of a New Generalization of the Meixner Polynomials
Symmetry, Integrability and Geometry: Methods and Applications, 2011 We investigate new generalizations of the Meixner polynomials on the lattice N, on the shifted lattice N+1−β and on the bi-lattice N∪(N+1−β). We show that the coefficients of the three-term recurrence relation for the orthogonal polynomials are related ...
Galina Filipuk, Walter Van Assche
doaj +1 more source
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
Least Trimmed Squares: Cointegration and Outliers
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley +1 more source
Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley +1 more source
Repelled Point Processes With Application to Numerical Integration
Scandinavian Journal of Statistics, EarlyView.ABSTRACT We look at Monte Carlo numerical integration from a stochastic geometry point of view. While crude Monte Carlo estimators relate to linear statistics of a homogeneous Poisson point process (PPP), linear statistics of more regularly spread point processes can yield unbiased estimators with faster‐decaying variance, and thus lower integration ...
Diala Hawat +3 more
wiley +1 more source
Knowledge Spillover, Trust, Effort, and Error Exposure in Peer‐Assisted Learning
Topics in Cognitive Science, EarlyView.Abstract Peer‐assisted learning has the potential to improve learning in academic settings and beyond. However, the cognitive and motivational mechanisms of learning through interaction with other learners are not fully understood. Here, we present an empirical study in which we compare a peer‐assisted learning condition with two individual learning ...
Ion Juvina +5 more
wiley +1 more source
Quantitative asymptotics for polynomial patterns in the primes
Mathematika, Volume 72, Issue 3, July 2026.Abstract We prove quantitative estimates for averages of the von Mangoldt and Möbius functions along polynomial progressions n+P1(m),…,n+Pk(m)$n+P_1(m),\ldots, n+P_k(m)$ for a large class of polynomials Pi$P_i$. The error terms obtained save an arbitrary power of logarithm, matching the classical Siegel–Walfisz error term.
Lilian Matthiesen +2 more
wiley +1 more source