Results 71 to 80 of about 575 (217)

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

On Birkhoff quadrature formulas II

Journal of Approximation Theory, 1989
Let \(-1=x_{nn}
Department of Mathematics, University of Florida, Gainesville, Florida 32611, U.S.A. ( host institution ), Varma, A.K ( author ), Saxena, R.B ( author )   +2 more
openaire   +3 more sources

The Optimal Mean–Variance Selling Problem With Finite Horizon

Mathematical Finance, EarlyView.
ABSTRACT The optimal mean–variance selling problem seeks to determine a dynamically optimal stopping time in the nonlinear problem sup0≤τ≤TE(Xτ)−cVar(Xτ)$\sup _{0 \le \tau \le T} \left[ \mathsf {E}\,\!(X_\tau) - c\, \mathsf {V}ar\,\!(X_\tau) \right]$, where X$X$ is a geometric Brownian motion with strictly positive drift, the supremum is taken over ...
Peter Johnson, Jesper Lund Pedersen, Goran Peskir   +2 more
wiley   +1 more source

Modelling tsunami initial conditions due to rapid coseismic seafloor displacement: efficient numerical integration and a tool to build unit source databases [PDF]

Natural Hazards and Earth System Sciences
The initial conditions for the simulation of a seismically induced tsunami for a rapid, assumed-to-be-instantaneous vertical seafloor displacement is given by the Kajiura low-pass filter integral.
A. Abbate, A. Abbate, J. M. González Vida, M. J. Castro Díaz, F. Romano, H. B. Bayraktar, A. Babeyko, S. Lorito   +7 more
doaj   +1 more source

Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach

Mathematical Finance, EarlyView.
ABSTRACT Stochastic versions of recursive integrated climate‐economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving these models via deterministic grid‐based dynamic programming (e.g., value‐function iteration/projection ...
Aleksandar Arandjelović, Pavel V. Shevchenko, Tomoko Matsui, Daisuke Murakami, Tor A. Myrvoll   +4 more
wiley   +1 more source

Some New Boole-Type Inequalities via Modified Convex Functions with Their Applications and Computational Analysis

Mathematics
In numerical analysis, the Boole’s formula serves as a pivotal tool for approximating definite integrals. The approximation of the definite integrals has a big role in numerical methods for differential equations; in particular, in the finite volume ...
Talha Anwar, Abdul Mateen, Hela Elmannai, Muhammad Aamir Ali, Loredana Ciurdariu   +4 more
doaj   +1 more source

Quadrature formulas for monotone functions [PDF]

Proceedings of the American Mathematical Society, 1992
We prove that adaptive quadrature formulas for the class of monotone functions are much better than nonadaptive ones if the average error is considered. Up to now it was only known that adaptive methods are not better in the worst case (for this and many other classes of functions) or in various average case settings.
openaire   +2 more sources

Likelihood Estimation for Stochastic Differential Equations with Mixed Effects

Scandinavian Journal of Statistics, EarlyView.
ABSTRACT Stochastic differential equations provide a powerful tool for modelling dynamic phenomena affected by random noise. When time series are observed for several experimental units, it is often the case that some of the parameters vary between the individual experimental units.
Fernando Baltazar‐Larios, Mogens Bladt, Michael Sørensen   +2 more
wiley   +1 more source

Repelled Point Processes With Application to Numerical Integration

Scandinavian Journal of Statistics, EarlyView.
ABSTRACT We look at Monte Carlo numerical integration from a stochastic geometry point of view. While crude Monte Carlo estimators relate to linear statistics of a homogeneous Poisson point process (PPP), linear statistics of more regularly spread point processes can yield unbiased estimators with faster‐decaying variance, and thus lower integration ...
Diala Hawat, Gabriel Mastrilli, Rémi Bardenet, Raphaël Lachièze‐Rey   +3 more
wiley   +1 more source

Inequalities for Beta and Gamma functions via some classical and new integral inequalities

Journal of Inequalities and Applications, 2000
In this survey paper we present the natural applications of certain integral inequalities such as Chebychev's inequality for synchronous and asynchronous mappings, Hölder's inequality and Grüss' and Ostrowski's inequalities for the celebrated ...
Agarwal RP, Dragomir SS, Barnett NS
doaj