Results 141 to 150 of about 10,513 (300)
On Testing for Independence Between Generalized Error Models of Several Time Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi +2 more
wiley +1 more source
Best uniform approximation of semi-Lipschitz functions by extensions
Journal of Numerical Analysis and Approximation Theory, 2007 In this paper we consider the problem of best uniform approximation of a real valued semi-Lipschitz function \(F\) defined on an asymmetric metric space \((X,d),\) by the elements of the set \(\mathcal{E}_{d}(\left. F\right\vert _{Y})\) of all extensions
Costică Mustăţa
doaj +2 more sources
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
Quantization dimensions for the bi-Lipschitz recurrent iterated function systems
In this paper, the quantization dimensions of the Borel probability measures supported on the limit sets of the bi-Lipschitz recurrent iterated function systems under the strong open set condition in terms of the spectral radius have been ...
Roychowdhury, Mrinal Kanti +2 more
core +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
Relations between polynomial solutions, extensions, radical ideals and Lipschitz normal embeddings.
, 2019 Take polynomials $f,g\in k[X]$, where $k$ is the field of complex or real numbers. Under certain assumptions we show equivalence of the following conditions: (i) $(f,g)$ is radical (ii) for every polynomial $h$ if there exists a pointwise solution of $$
Michalska, Maria
core
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
Encoder Lipschitz integers: the Lipschitz integers that have the division with small remainder property [PDF]
A quaternion, each component is in integers, is called a Lipschitz integer. A Lipschitz integer is called a primitive Lipschitz integer just if the greatest common divisor of its components is one.
Guzeltepe, Murat, Duran, Ramazan
core +1 more source
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 +3 more
wiley +1 more source
On Lipschitz properties of generated aggregation functions
, 2010 This article discusses Lipschitz properties of generated aggregation functions. Such generated functions include triangular norms and conorms, quasi-arithmetic means, uninorms, nullnorms and continuous generated functions with a neutral element.
Simon James (13094904) +2 more
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