Results 81 to 90 of about 1,716 (212)
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
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Do stable neural networks exist for classification problems? – A new view on stability in AI
European Journal of Applied MathematicsIn deep learning (DL), the instability phenomenon is widespread and well documented, and the most commonly used measure of stability is the Lipschitz constant.
David Liu, Anders Hansen
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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
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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Existence of solutions for discontinuous p(x)-Laplacian problems with critical exponents
Electronic Journal of Differential Equations, 2012 In this article, we study the existence of solutions to the problem $$displaylines{ -hbox{div}(|abla u|^{p(x)-2}abla u) =lambda |u|^{p^{*}(x)-2}u + f(u)quad x in Omega ,cr u = 0 quad x in partialOmega, }$$ where $Omega$ is a smooth bounded domain ...
Xudong Shang, Zhigang Wang
doaj
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
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Drift‐Diffusion Models with Schottky Contacts at Metal–Semiconductor Interfaces
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT The paper deals with a drift‐diffusion model for semiconductor devices with Schottky contacts at all metal–semiconductor interfaces. The presented analytical investigations permit Boltzmann as well as Fermi–Dirac statistics for the charge‐carrier densities.
Annegret Glitzky, Matthias Liero
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The Long Shadow of Karl Weierstraß Over the Calculus of Variations
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.ABSTRACT At first glance, it appears that the contents of Karl Weierstraß's (1815–1897) lecture courses on the calculus of variations were made available to the public only in the seventh volume of his Mathematische Werke, and thus not until 30 years after his death.
Peter Ullrich
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