Results 191 to 200 of about 12,325 (304)

Penalized Convex Estimation in Dynamic Location Models

open access: yesJournal 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

open access: yesMathematical 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

Impact‐diagnostic criteria for use in confirming a meteorite impact origin of terrestrial geological structures: Recommendations by the Impact Cratering Committee of the Meteoritical Society

open access: yesMeteoritics &Planetary Science, EarlyView.
Abstract The framework of the Impact Cratering Committee (ICC) of the Meteoritical Society was approved in 2020, with the first committee members appointed in 2023. The ICC has a mandate to (1) approve, maintain, and update a database of confirmed terrestrial meteorite impact structures, (2) define and regularly update the criteria used for ...
A. J. Cavosie   +11 more
wiley   +1 more source

Immunizing Conic Quadratic Optimization Problems Against Implementation Errors

open access: yes
We show that the robust counterpart of a convex quadratic constraint with ellipsoidal implementation error is equivalent to a system of conic quadratic constraints.
Ben-Tal, A., Hertog, D. den
core  

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