Results 51 to 60 of about 1,238 (176)
MathematicsIn this paper, the remainder term of anti-Gaussian quadrature rules for analytic integrands with respect to Jacobi weight functions ωa,b(x)=(1−x)a(1+x)b, where a,b>−1, is analyzed, and sharp estimates of the error are provided.
Ramon Orive +4 more
doaj +1 more source
Dynamic capital allocation in general insurance
Journal of Risk and Insurance, EarlyView.Abstract This paper provides a model for allocating capital to different insurance lines with varying development periods for a value‐maximizing insurance company. In our model, the company makes capitalization and exposure decisions considering its capital level and its relevant loss history.
Qiheng Guo +2 more
wiley +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
, 2019 Generalized averaged Gaussian quadrature rules associated with some measure, and truncated variants of these rules, can be used to estimate the error in Gaussian quadrature rules.
Đukić, Dušan +3 more
core +1 more source
Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach
Mathematical Finance, EarlyView.ABSTRACT Stochastic versions of recursive integrated climate‐economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving these models via deterministic grid‐based dynamic programming (e.g., value‐function iteration/projection ...
Aleksandar Arandjelović +4 more
wiley +1 more source
Likelihood Estimation for Stochastic Differential Equations with Mixed Effects
Scandinavian Journal of Statistics, EarlyView.ABSTRACT Stochastic differential equations provide a powerful tool for modelling dynamic phenomena affected by random noise. When time series are observed for several experimental units, it is often the case that some of the parameters vary between the individual experimental units.
Fernando Baltazar‐Larios +2 more
wiley +1 more source
, 2019 Generalized averaged Gaussian quadrature rules and truncated variants associated with a nonnegative measure with support on a real open interval {t : a lt t lt b} may have nodes outside this interval, in other words the rules may fail to be internal.
Đukić, Dušan +2 more
core +1 more source
An Efficient Quadrature Rule for Highly Oscillatory Integrals with Airy Function
MathematicsIn this work, our primary focus is on the numerical computation of highly oscillatory integrals involving the Airy function. Specifically, we address integrals of the form ∫0bxαf(x)Ai(−ωx)dx over a finite or semi-infinite interval, where the integrand ...
Guidong Liu, Zhenhua Xu, Bin Li
doaj +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
Some remarks on the construction of extended Gaussian quadrature rules
, 1978 We recall some results from a paper by Szegö on a class of polynomials which are related to extended Gaussian quadrature rules. We show that a very efficient algorithm, for the computation of the abscissas of the rules in question, was already described ...
Giovanni Monegato, Monegato, Giovanni
core +1 more source