Results 91 to 100 of about 524,480 (211)
On Inverse and Implicit Function Theorem for Sobolev Mappings
AxiomsWe extend Clarke’s local inversion theorem for Sobolev mappings. We use this result to find a general implicit function theorem for continuous locally Lipschitz mapping in the first variable and satisfying just a topological condition in the second ...
Mihai Cristea
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Parametric Time‐Variation in the Unconditional Volatility: Estimation and Inference
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose modeling time‐variation in the unconditional volatility by augmenting the standard GARCH model by a deterministic time‐varying intercept. The model, called the additive time‐varying (ATV‐)GARCH model, can be interpreted as a reduced form of a model including covariates and can be derived from a multiplicative decomposition of ...
Niklas Ahlgren +2 more
wiley +1 more source
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
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
Journal of Mathematical Extension, 2015 In this paper we establish necessary and sufficient optimality conditions for a nondifferenriable, nonconvex semi-infinite vector optimization problem involving locally Lipschitz functions, whose constraints are required to depend continuously on an ...
N. Kanzi∗
doaj
Second-Order Optimality Conditions in Locally Lipschitz Inequality-Constrained Multiobjective Optimization. [PDF]
J Optim Theory Appl, 2020 Constantin E.
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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
Sign Changing Critical Points for Locally Lipschitz Functionals [PDF]
In this paper, some existence results for sign-changing critical points of locally Lipschitz functionals in real Banach space are obtained by the method combining the invariant sets of descending ow method with a quantitative deformation. First we assume
Qin, Baoxia, Xu, Xian
core +1 more source
Infinitely many solutions for an anisotropic differential inclusion on unbounded domains
Electronic Journal of Qualitative Theory of Differential EquationsThe problem deals with the anisotropic $p(x)$-Laplacian operator where $p_i$ are Lipschitz continuous functions $2\leq p_i(x)
Giovany Figueiredo, Abdolrahman Razani
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Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver. [PDF]
Stochastics (Abingdon), 2020 Geiss C, Steinicke A.
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