Results 81 to 90 of about 82,525 (218)

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, EarlyView.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source

Well-posedness of generalized magnetohydrodynamic equations in variable Lebesgue spaces

Electronic Journal of Differential Equations
This article concerns the well-posedness of the generalized magnetohydrodynamic equations in variable Lebesgue spaces. By using some basic properties of variable Lebesgue spaces and decay estimates of the fractional heat kernel, we prove the existence ...
Jinyi Sun, Yuanwei Mai, Minghua Yang
doaj  

Approximation by Zygmund means in variable exponent Lebesque spaces [PDF]

Mathematica Moravica, 2019
In the present work we investigate the approximation of the functions by the Zygmund means in variable exponent Lebesgue spaces. Here the estimate which is obtained depends on sequence of the best approximation in Lebesgue spaces with variable exponent ...
Jafarov Sadulla Z.
doaj  

The Classical Integral Operators in Weighted Lorentz Spaces with Variable Exponent. [PDF]

In this paper the Lorentz spaces with variable exponent are introduced. These Banach function spaces are defined on the base of variable Lebesgue spaces. Boundedness of classical integral operators are proved in variable Lorentz spaces.
D.M. Israfilov, N.P. Tuzkaya
core   +1 more source

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, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling

Mathematical Finance, EarlyView.
ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici, Gianluca Fusai, Anna Maria Gambaro, Daniele Marazzina   +3 more
wiley   +1 more source

Spatial depth for data in metric spaces

Scandinavian Journal of Statistics, EarlyView.
Abstract We propose a novel measure of statistical depth, the metric spatial depth, for data residing in an arbitrary metric space. The measure assigns high (low) values for points located near (far away from) the bulk of the data distribution, allowing quantifying their centrality/outlyingness.
Joni Virta
wiley   +1 more source

Lebesgue number and total boundedness

Pracì Mìžnarodnogo Geometričnogo Centru
A generalization of the Lebesgue number lemma is obtained. For a metric space X in the class of strongly metrizable spaces, sufficient conditions for each open cover of X with a Lebesgue number has a finite subcover are obtained.
Ajit Kumar Gupta
doaj   +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, Mogens Bladt, Michael Sørensen   +2 more
wiley   +1 more source

Generalization of one theorem of F. Riesz to some other spaces

Қарағанды университетінің хабаршысы. Математика сериясы, 2020
It is known from the analysis course that in order a function to serve as an undefined integral of a summable function, it is necessary and sufficient that it be absolutely continuous. Therefore, it is natural to raise the question of the characteristic
S. Bitimkhan, D.T. D.T.
doaj