Results 31 to 40 of about 481,670 (272)
Orbit measures, random matrix theory and interlaced determinantal processes [PDF]
, 2008 A connection between representation of compact groups and some invariant ensembles of Hermitian matrices is described. We focus on two types of invariant ensembles which extend the Gaussian and the Laguerre Unitary ensembles.
Defosseux, Manon
core +6 more sources
Regularity of invariant densities for 1D-systems with random switching [PDF]
, 2014 This is a detailed analysis of invariant measures for one-dimensional dynamical systems with random switching. In particular, we prove smoothness of the invariant densities away from critical points and describe the asymptotics of the invariant densities
Bakhtin, Yuri +2 more
core +2 more sources
Subdiagrams of Bratteli diagrams supporting finite invariant measures [PDF]
, 2014 We study finite measures on Bratteli diagrams invariant with respect to the tail equivalence relation. Amongst the proved results on finiteness of measure extension, we characterize the vertices of a Bratteli diagram that support an ergodic finite ...
Bezuglyi, S. +2 more
core +3 more sources
Lognormal scale invariant random measures
, 2012 In this article, we consider the continuous analog of the celebrated Mandelbrot star equation with lognormal weights. Mandelbrot introduced this equation to characterize the law of multiplicative cascades.
B. Castaing +19 more
core +1 more source
Dynamics of Systems with a Discontinuous Hysteresis Operator and Interval Translation Maps
Axioms, 2021 We studied topological and metric properties of the so-called interval translation maps (ITMs). For these maps, we introduced the maximal invariant measure and study its properties. Further, we study how the invariant measures depend on the parameters of
Sergey Kryzhevich +4 more
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Moment estimates for invariant measures of stochastic Burgers equations
Advances in Difference Equations, 2020 In this paper, we study moment estimates for the invariant measure of the stochastic Burgers equation with multiplicative noise. Based upon an a priori estimate for the stochastic convolution, we derive regularity properties on invariant measure.
Yu Shi, Bin Liu
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Deep Equal Risk Pricing of Financial Derivatives with Non-Translation Invariant Risk Measures
Risks, 2023 The objective is to study the use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives.
Alexandre Carbonneau, Frédéric Godin
doaj +1 more source
Invariant measures for Cartesian powers of Chacon infinite transformation
, 2017 We describe all boundedly finite measures which are invariant by Cartesian powers of an infinite measure preserving version of Chacon transformation. All such ergodic measures are products of so-called diagonal measures, which are measures generalizing ...
De La Rue, Thierry +2 more
core +3 more sources
Surplus-Invariant Risk Measures [PDF]
Mathematics of Operations Research, 2020 This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some special spaces of random variables.
Gao, Niushan, Munari, Cosimo
openaire +5 more sources
Law invariant risk measures and information divergences
Dependence Modeling, 2018 Aone-to-one correspondence is drawnbetween lawinvariant risk measures and divergences,which we define as functionals of pairs of probability measures on arbitrary standard Borel spaces satisfying a few natural properties.
Lacker Daniel
doaj +1 more source