Results 31 to 40 of about 388,083 (283)
Copula conditional tail expectation for multivariate financial risks
Arab Journal of Mathematical Sciences, 2018 Our goal in this paper is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables.
Brahimi Brahim +2 more
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A Hoeffding-Azuma Type Inequality for Random Processes
International Journal of Analysis and Applications, 2023 The subject of this paper is a Hoeffding-Azuma type estimation for the difference between an adapted random process and its conditional expectation given a related filtration.
Mahir Hasanov
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Unbounded weighted conditional expectation operators [PDF]
, 2015 In this note basic properties of unbounded weighted conditional expectation operators are investigated. A description of polar decomposition and quasinormality in this context are provided. Also, we study hyperexpan- sive weighted conditional expectation
Estaremi, Yousef
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Fractal and Fractional, 2022 This paper presents an explicit formula of conditional expectation for a product of polynomial functions and the discounted characteristic function based on the Cox–Ingersoll–Ross (CIR) process.
Ratinan Boonklurb +3 more
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Dynamic shortfall constraints for optimal portfolios [PDF]
Surveys in Mathematics and its Applications, 2010 We consider a portfolio problem when a Tail Conditional Expectation constraint is imposed. The financial market is composed of n risky assets driven by geometric Brownian motion and one risk-free asset.
Bernd Luderer +2 more
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Gauss process state-space model optimization algorithm with expectation maximization
International Journal of Distributed Sensor Networks, 2019 A Gauss process state-space model trained in a laboratory cannot accurately simulate a nonlinear system in a non-laboratory environment. To solve this problem, a novel Gauss process state-space model optimization algorithm is proposed by combining the ...
Hongqiang Liu +3 more
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Different Types of Conditional Expectation and the Lueders - von Neumann Quantum Measurement
, 2010 In operator algebra theory, a conditional expectation is usually assumed to be a projection map onto a sub-algebra. In the paper, a further type of conditional expectation and an extension of the Lueders - von Neumann measurement to observables with ...
G. K. Pedersen +13 more
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Smoothing the payoff for efficient computation of Basket option prices [PDF]
, 2016 We consider the problem of pricing basket options in a multivariate Black Scholes or Variance Gamma model. From a numerical point of view, pricing such options corresponds to moderate and high dimensional numerical integration problems with non-smooth ...
Bayer, Christian +2 more
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An approach for metric space with a convex combination operation and applications
, 2015 In this paper, we embed metric space endowed with a convex combination operation, named convex combination space, into a Banach space and the embedding preserves the structures of metric and convex combination.
Thuan, Nguyen Tran
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Riemann-Theta Boltzmann Machine
, 2020 A general Boltzmann machine with continuous visible and discrete integer valued hidden states is introduced. Under mild assumptions about the connection matrices, the probability density function of the visible units can be solved for analytically ...
Carrazza, Stefano +3 more
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