Results 131 to 140 of about 5,171,937 (249)
Asymptotics of Time‐Varying Processes in Continuous‐Time Using Locally Stationary Approximations
Journal of Time Series Analysis, EarlyView.ABSTRACT We introduce a general theory on stationary approximations for locally stationary continuous‐time processes. Based on the stationary approximation, we use θ$$ \theta $$‐weak dependence to establish laws of large numbers and central limit type results under different observation schemes.
Robert Stelzer, Bennet Ströh
wiley +1 more source
Detecting Multiple Change Points in Linear Models With Heteroscedasticity
Journal of Time Series Analysis, EarlyView.ABSTRACT The problem of detecting change points in the parameters of a linear regression model with errors and covariates exhibiting heteroscedasticity is considered. Asymptotic results for weighted functionals of the cumulative sum (CUSUM) processes of model residuals are established when the model errors are weakly dependent and non‐stationary ...
Lajos Horváth +2 more
wiley +1 more source
Partial Time‐Varying Regression Modelling Under General Heterogeneity
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper studies a semiparametric time‐varying regression model in which a subset of regressors is associated with fixed parameters, while the remaining regressors have parameters that evolve smoothly over time. We propose a closed‐form semiparametric Frisch‐Waugh‐Lovell estimator for the fixed parameters, and a non‐parametric kernel type ...
Liudas Giraitis +3 more
wiley +1 more source
A De Giorgi conjecture on the regularity of minimizers of Cartesian area in 1D. [PDF]
Ann Univ Ferrara Sez 7 Sci MatBellettini G, Kholmatov SY.
europepmc +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
wiley +1 more source
, 2002 Function spaces of type Bspq and Fspq cover as special cases classical and fractional Sobolev spaces, classical Besov spaces, Hölder-Zygmund spaces and inhomogeneous Hardy spaces. In the last 2 or 3 decades they haven been studied preferably on Rn and in
Triebel, Hans
core
Convergence Analysis of Controlled Particle Systems Arising in Deep Learning: From Finite to Infinite Sample Size. [PDF]
Appl Math OptimLiao H, Mészáros AR, Mou C, Zhou C.
europepmc +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
Kinetic interacting particle Langevin Monte Carlo. [PDF]
Stat ComputValsecchi Oliva P, Akyildiz OD.
europepmc +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