Results 111 to 120 of about 18,905 (246)

Stochastic Gradient Descent in High Dimensions for Multi‐Spiked Tensor PCA

Communications on Pure and Applied Mathematics, Volume 79, Issue 10, Page 2291-2369, October 2026.
ABSTRACT We study the high‐dimensional dynamics of online stochastic gradient descent (SGD) for the multi‐spiked tensor model. This multi‐index model arises from the tensor principal component analysis (PCA) problem with multiple spikes, where the goal is to estimate the unknown signal vectors within the N$N$‐dimensional unit sphere through maximum ...
Gérard Ben Arous, Cédric Gerbelot, Vanessa Piccolo   +2 more
wiley   +1 more source

The martingale index: A measure of self-deception in betting and finance

Judgment and Decision Making
People who repeatedly risk money, whether they be traders for financial institutions, corporate executives, day traders, or sports bettors, sometimes appear to do better than chance only because the risk of large losses is hidden or overlooked.
Valentin Dimitrov, Glenn Shafer
doaj   +1 more source

Pricing Equity-Indexed Annuities under Stochastic Interest Rates Using Copulas

Journal of Probability and Statistics, 2010
We develop a consistent evaluation approach for equity-linked insurance products under stochastic interest rates. This pricing approach requires that the premium information of standard insurance products is given exogenously. In order to evaluate equity-
Patrice Gaillardetz
doaj   +1 more source

Random Carbon Tax Policy and Investment Into Emission Abatement Technologies

Mathematical Finance, Volume 36, Issue 4, Page 804-825, October 2026.
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, Rüdiger Frey, Verena Köck   +2 more
wiley   +1 more source

Martingale sinh bởi bước đi ngẫu nhiên một chiều có điều kiện

Tạp chí Khoa học Đại học Cần Thơ
Trong bài báo này, mô hình bước đi ngẫu nhiên một chiều và bước đi ngẫu nhiên một chiều có điều kiện đã được xem xét. Trong khi bước đi ngẫu nhiên là một quá trình martingale thì bước đi ngẫu nhiên có điều kiện lại là một submartingale chặt.
Lê Hoài Nhân, Lâm Hoàng Chương, Dương Thị Bé Ba   +2 more
doaj   +1 more source

A Model of Strategic Sustainable Investment

Mathematical Finance, Volume 36, Issue 4, Page 771-803, October 2026.
ABSTRACT We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero‐sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous‐time on an infinite‐time horizon.
Tiziano De Angelis, Caio César Graciani Rodrigues, Peter Tankov   +2 more
wiley   +1 more source

Vector valued martingale-ergodic and ergodic-martingale theorems

, 2012
We prove martingale-ergodic and ergodic-martingale theorems for vector-valued Bochner integrable functions. We obtain dominant and maximal inequalities.
Shahidi, Farruh, Ganiev, Inomjon
core   +1 more source

Dam Management in the Era of Climate Change

Mathematical Finance, Volume 36, Issue 4, Page 870-895, October 2026.
ABSTRACT Climate change has a dramatic impact, particularly by concentrating rainfall into a few short periods, interspersed with long dry spells. In this context, the role of dams is crucial. We consider the optimal control of a dam, where the water level must neither exceed a designated safety threshold nor fall below a minimum level to ensure ...
Cristina Di Girolami, M'hamed Gaïgi, Vathana Ly Vath, Simone Scotti   +3 more
wiley   +1 more source

Regression Asymptotics Using Martingale Convergence Methods [PDF]

Weak convergence of partial sums and multilinear forms in independent random variables and linear processes to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The
Peter C.B. Phillips, Rustam Ibragimov
core  

Solar Energy Risks: Stochastic Radiation Modeling and Optimal Hedging Strategies

Mathematical Finance, Volume 36, Issue 4, Page 663-699, October 2026.
ABSTRACT The growing integration of solar power into electricity markets increasingly demands advanced risk management tools to address the inherent variability of solar radiation and its interaction with electricity prices. This paper introduces a novel framework for modeling and pricing new financial instruments designed to link payoffs directly to ...
Silvia Romagnoli, Beniamino Sartini
wiley   +1 more source