Results 51 to 60 of about 32,104 (213)

Buyer‐Optimal Platform Design

The RAND Journal of Economics, EarlyView.
ABSTRACT A platform matches a unit mass of sellers, each owning a single product of heterogeneous quality, to a unit mass of buyers with differing valuations for unit‐quality. After matching, sellers make take‐it‐or‐leave‐it price‐offers to buyers. Initially, valuations of buyers are only known to them and the platform, but sellers make inferences from
Daniele Condorelli, Balazs Szentes
wiley   +1 more source

Exponential inequalities for nonstationary Markov chains

Dependence Modeling, 2019
Exponential inequalities are main tools in machine learning theory. To prove exponential inequalities for non i.i.d random variables allows to extend many learning techniques to these variables.
Alquier Pierre, Doukhan Paul, Fan Xiequan   +2 more
doaj   +1 more source

Some Properties of Annulus SLE

, 2006
An annulus SLE$_\kappa$ trace tends to a single point on the target circle, and the density function of the end point satisfies some differential equation. Some martingales or local martingales are found for annulus SLE$_4$, SLE$_8$ and SLE$_{8/3}$. From
Zhan, Dapeng
core   +1 more source

Idiosyncratic asset return and wage risk of US households

Economic Inquiry, Volume 63, Issue 2, Page 636-657, April 2025.
Abstract This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel‐data measurements for returns on household assets are proposed. Sizable transitory idiosyncratic return heterogeneity is documented to exist concurrently with permanent ...
Stephen Snudden
wiley   +1 more source

Closed‐Form Optimal Investment Under Generalized GARCH Models

European Financial Management, EarlyView.
ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel, Tobias Lausser, Rudi Zagst   +2 more
wiley   +1 more source

Recurrence of the plane Elephant random walk

Comptes Rendus. Mathématique
We give a short proof of the recurrence of the two-dimensional elephant random walk in the diffusive regime. This was recently established by Qin (2023), but our proof mainly uses very rough comparison with the standard plane random walk.
Curien, Nicolas, Laulin, Lucile
doaj   +1 more source

Chaotic expansion of powers and martingale representation [PDF]

, 2005
This paper extends a recent martingale representation result of [N-S] for a L´evy process to filtrations generated by a rather large class of semimartingales.
Jamshidian, Farshid
core   +1 more source

Miners' Reward Elasticity and Stability of Competing Proof‐of‐Work Cryptocurrencies

International Economic Review, EarlyView.
ABSTRACT Proof‐of‐Work cryptocurrencies employ miners to sustain the system through algorithmic reward adjustments. We develop a stochastic model of the multicurrency mining and identify conditions for stable transaction speeds. Bitcoin's algorithm requires hash supply elasticity <$<$1 for stability, while ASERT remains stable for any elasticity and ...
Kohei Kawaguchi, Junpei Komiyama, Shunya Noda   +2 more
wiley   +1 more source

Convergence Theorems for Operators Sequences on Functionals of Discrete-Time Normal Martingales

Journal of Function Spaces, 2018
We aim to investigate the convergence of operators sequences acting on functionals of discrete-time normal martingales M. We first apply the 2D-Fock transform for operators from the testing functional space S(M) to the generalized functional space S⁎(M ...
Jinshu Chen
doaj   +1 more source

On Metric Choice in Dimension Reduction for Fréchet Regression

International Statistical Review, EarlyView.
Summary Fréchet regression is becoming a mainstay in modern data analysis for analysing non‐traditional data types belonging to general metric spaces. This novel regression method is especially useful in the analysis of complex health data such as continuous monitoring and imaging data.
Abdul‐Nasah Soale, Congli Ma, Siyu Chen, Obed Koomson   +3 more
wiley   +1 more source