Results 71 to 80 of about 467,935 (128)
Sparse Causal Dynamic Linear Regression
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a sparse causal dynamic regression framework for long multivariate time series. With very long time series, the potentially large number of lags and leads in a dynamic regression model often makes time‐domain estimation numerically unstable or intractable.
Rui Huang, Kung‐Sik Chan
wiley +1 more source
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
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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
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On a Reverse Half-Discrete Hardy-Hilbert’s Inequality with Parameters
Mathematics, 2019 By means of the weight functions, the idea of introduced parameters, and the Euler-Maclaurin summation formula, a reverse half-discrete Hardy-Hilbert’s inequality and the reverse equivalent forms are given.
Bicheng Yang, Shanhe Wu, Aizhen Wang
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Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT Recent results have shown that domain‐uniform stabilizability and detectability imply spatial exponential decay of perturbations in optimally controlled hyperbolic PDEs on one‐dimensional domains. This domain‐uniform stabilizability and detectability can be achieved only if the control domain is distributed over the whole spatial domain such ...
Benedikt Oppeneiger
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On strengthened version of Hardy-Hilbert's type inequality(关于Hardy-Hilbert型不等式的加强)
Zhejiang Daxue xuebao. Lixue ban, 2007 利用改进了的Hölder's不等式对两个Hardy-Hilbert型不等式作了改进，建立了一些新的形如的不等式，其中，R（α，r，s）= (S，(F，γ）— Sq(G，γ))2 < 1.
HELe-ping(贺乐平) +1 more
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Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT Stochastic Galerkin methods offer unexplored potential for the numerical simulation of parabolic problems with random variables, in particular if they are combined with variational discretizations of the space and time variables. Due to the high dimensionality, the solution of the arising algebraic systems do not become feasible without ...
Moataz Dawor +2 more
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On Hilbert's Inequality for Double Series and Its Applications
International Journal of Mathematics and Mathematical Sciences, 2008 This study shows that a refinement of the Hilbert inequality for double series can be established by introducing a real function u(x) and a parameter λ.
Zhou Yu, Gao Mingzhe
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Hilbert's type multiple integral inequality and a best constant factor(Hilbert型重积分不等式及最佳常数)
Zhejiang Daxue xuebao. Lixue ban, 2008 引入参数λ,μ和α,利用权系数方法，得到了Hilbert型重积分不等式，并讨论了某些条件下的最佳常数问题.
HONGYong(洪勇)
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