Results 51 to 60 of about 238 (174)
Testing Distributional Granger Causality With Entropic Optimal Transport
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley +1 more source
Classification supervisée et estimation non-paramétrique pour les EDS
, 2023 This thesis deals with statistical studies based on functional data modelled by stochastic differential equations whose solutions are called diffusion processes.
Ella Mintsa, Eddy
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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
Regularity of minima: an invitation to the Dark Side of the Calculus of Variations [PDF]
, 2006 summary:I am presenting a survey of regularity results for both minima of variational integrals, and solutions to non-linear elliptic, and sometimes parabolic, systems of partial differential equations. I will try to take the reader to the Dark Side..
Mingione, Giuseppe, Giuseppe Mingione
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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
Functions of normal operators under perturbations
, 2011 In Peller (1980) [27], Peller (1985) [28], Aleksandrov and Peller (2009) [2], Aleksandrov and Peller (2010) [3], and Aleksandrov and Peller (2010) [4] sharp estimates for f(A)−f(B) were obtained for self-adjoint operators A and B and for various classes ...
Aleksandrov, A.B. +7 more
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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
We study the problem of global optimization, where we analyze the performance of the Piyavskii--Shubert algorithm and its variants. For any given time duration T, instead of the extensively studied simple regret (which is the difference of the losses ...
Gökcesu, Hakan, Gokcesu, Kaan
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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
Lipschitz classes of A-harmonic functions in Carnot groups, to appear
, 2008 The Hölder continuity of a harmonic function is characterized by the growth of its gradient.
Craig A. Nolder
core