Results 131 to 140 of about 4,127,898 (306)

Phelps type duality results in best approximation

Journal of Numerical Analysis and Approximation Theory, 2002
The aim of the present paper is to show that many Phelps type duality result, relating the extension properties of various classes of functions (continuous, linear continuous, bounded bilinear, Hölder-Lipschitz) with the approximation properties ...
Ştefan Cobzaş
doaj   +2 more sources

A Class of degenerate Stochastic differential equations with non-Lipschitz coefficients [PDF]

, 2009
Kuldeep Kumar
openalex   +1 more source

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

Condensation of polyhedric structures onto soap films

, 2009
We study the existence of solutions to general measure-minimization problems over topological classes that are stable under localized Lipschitz homotopy, including the standard Plateau problem without the need for restrictive assumptions such as ...
Feuvrier, Vincent
core  

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

Estimations for the convex modular of the aliasing error of nonlinear sampling Kantorovich operators

Nonlinear Analysis
In this paper, we establish quantitative estimates for the nonlinear sampling Kantorovich operators in the general setting of modular spaces Lρ. To achieve this, we consider a notion of modulus of smoothness based on the convex modular functional ρ ...
Danilo Costarelli, Mariarosaria Natale, Gianluca Vinti   +2 more
doaj   +1 more source

Never, Ever Getting Started: On Prospect Theory Without Commitment

Mathematical Finance, EarlyView.
ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
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

Random Carbon Tax Policy and Investment Into Emission Abatement Technologies

Mathematical Finance, EarlyView.
ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri, Rüdiger Frey, Verena Köck   +2 more
wiley   +1 more source

Relative Arbitrage Opportunities With Interactions Among N Investors

Mathematical Finance, EarlyView.
ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley   +1 more source