Results 131 to 140 of about 9,704 (289)
Marchenko–Pastur Laws for Daniell Smoothed Periodograms
Journal of Time Series Analysis, EarlyView.ABSTRACT Given a sample X0,…,Xn−1$$ {X}_0,\dots, {X}_{n-1} $$ from a d$$ d $$‐dimensional stationary time series (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$, the most commonly used estimator for the spectral density matrix F(θ)$$ F\left(\theta \right) $$ at a given frequency θ∈[0,2π)$$ \theta \in \left[0,2\pi \right) $$ is the Daniell smoothed ...
Ben Deitmar
wiley +1 more source
The extension of starshaped bounded Lipschitz functions
Journal of Numerical Analysis and Approximation Theory, 1980 Not available.
C. Mustăţa
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The oscillation of separately locally Lipschitz functions
Karpatsʹkì Matematičnì Publìkacìï, 2011 We prove that a function which dened on the product of two metric Baire spaces is the oscillation of some separately locally Lipschitz function if and only if it is an upper semicontinuous non-negative function which has a crosswise nowhere dense closure
V. H. Herasymchuk, O. V. Maslyuchenko
doaj
Essentially Strictly Differentiable Lipschitz Functions
, 1995 In this paper we address some of the most fundamental questions regarding the differentiability structure of locally Lipschitz functions defined on Banach spaces.
Jonathan M. Borwein, Warren B. Moors
core
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
(δ,γ)-Jacobi-Dunkl Lipschitz Functions in the Space L2(R,Aα,β(x)dx)
International Journal of Analysis and Applications, 2015 Using a generalized Jacobi-Dunkl translation, we obtain an analog of Theorem 5.2 in Younis paper [7] for the Jacobi-Dunkl transform for functions satisfying the (δ,γ)-Jacobi-Dunkl Lipschitz condition in the space L2(R,Aα,β(x)dx), α ≥ β ≥−1/2, α ≠−1/2.
R. Daher, S. El Ouadih
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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
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
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Oscillation and variation inequalities for the multilinear singular integrals related to Lipschitz functions. [PDF]
J Inequal Appl, 2017 Hu Y, Wang Y.
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
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