Results 111 to 120 of about 560,829 (251)
Hybrid adaptive observers for locally Lipschitz systems with application to mechanical oscillators [PDF]
, 2009 peer reviewedAdaptive observer design procedure is proposed for nonlinear locally Lipschitz systems. Possible presence of disturbances is taken into account.
Pyrkin, Anton +5 more
core +1 more source
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
Analytical Bounds on the Local Lipschitz Constants of ReLU Networks
IEEE Transactions on Neural Networks and Learning Systems11 pages, 8 ...
Trevor Avant, Kristi A. Morgansen
openaire +3 more sources
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
Sierpiński's hierarchy and locally Lipschitz functions [PDF]
, 1995 Let Z be an uncountable Polish space. It is a classical result that if I ⊆ ℝ is any interval (proper or not), f: I → ℝ and $α 0)$ in Sierpiński's classification of Borel measurable functions the analogous result holds where the condition that f is ...
Morayne, Michał
core
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
Second-Order Optimality Conditions in Locally Lipschitz Inequality-Constrained Multiobjective Optimization. [PDF]
J Optim Theory Appl, 2020 Constantin E.
europepmc +1 more source
Fault Diagnosis Method for DC Current Transformers Based on Deep Learning Hybrid Model
Vector: The Journal of Engineering, Volume 2027, Issue 1, January/December 2027.Aiming at the problems of scarce fault samples, strong noise interference and complex feature coupling in the current DCCT fault diagnosis process, a DCCT fault diagnosis method based on a hybrid deep learning model is proposed. The performance of the proposed method is verified through experiments.
Cai Xu +4 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
Existence, uniqueness and Malliavin differentiability of Lévy-driven BSDEs with locally Lipschitz driver. [PDF]
Stochastics (Abingdon), 2020 Geiss C, Steinicke A.
europepmc +1 more source