Results 61 to 70 of about 2,478 (171)
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
Existence and uniform asymptotic stability for an abstract differential equation with infinite delay
Electronic Journal of Differential Equations, 2012 Using the Contraction Mapping Principle, we study the existence, uniqueness, and uniform asymptotic stability of solutions to an abstract differential equation with infinite delay of the form $du(t)/dt+Au(t)=B(t,u_t)$, where A is a positive sectorial ...
Cung The Anh, Le Van Hieu
doaj
Private Stochastic Optimization with Large Worst-Case Lipschitz Parameter
The Journal of Privacy and ConfidentialityWe study differentially private (DP) stochastic optimization (SO) with loss functions whose worst-case Lipschitz parameter over all data points may be huge or infinite.
Andrew Lowy, Meisam Razaviyayn
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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 +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
An Inverse Source Problem for Singular Parabolic Equations with Interior Degeneracy
Abstract and Applied Analysis, 2018 The main purpose of this work is to study an inverse source problem for degenerate/singular parabolic equations with degeneracy and singularity occurring in the interior of the spatial domain.
Khalid Atifi +3 more
doaj +1 more source
Inference on Common Trends in a Cointegrated Nonlinear SVAR
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
wiley +1 more source
Repelled Point Processes With Application to Numerical Integration
Scandinavian Journal of Statistics, EarlyView.ABSTRACT We look at Monte Carlo numerical integration from a stochastic geometry point of view. While crude Monte Carlo estimators relate to linear statistics of a homogeneous Poisson point process (PPP), linear statistics of more regularly spread point processes can yield unbiased estimators with faster‐decaying variance, and thus lower integration ...
Diala Hawat +3 more
wiley +1 more source
Applied Mathematics in Science and EngineeringIn this article, we explore the existence and uniqueness of mild solutions to fractional stochastic differential equations involving the ABC derivative with the Lipschitz coefficients.
Maheswari Rangasamy +6 more
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Convergence theorems and stability results for Lipschitz strongly pseudocontractive operators
International Journal of Mathematics and Mathematical Sciences, 2002 Suppose that X is an arbitrary real Banach space and T:X→X is a Lipschitz strongly pseudocontractive operator. It is proved that under certain conditions the Ishikawa iterative method with errors converges strongly to the fixed point of T and this ...
Zeqing Liu, Lili Zhang, Shin Min Kang
doaj +1 more source