Results 71 to 80 of about 1,199 (217)
On the composite Bernstein type quadrature formula
Journal of Numerical Analysis and Approximation Theory, 2010 Considering a given function \(f\in C[0,1]\), the interval \([0,1]\) is divided in \(m\) equally spaced subintervals \(\left[\tfrac{k-1}{m},\tfrac{k}{m}\right]\), \(k=\overline{1,m}\).
Dan Bărbosu, Dan Miclăuş
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Local quadrature formulas on the sphere
Journal of Complexity, 2004 Among other things, the author proves the existence of quadrature formulae of a fixed degree on a spherical cap.
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Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function
International Statistical Review, EarlyView.Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler +3 more
wiley +1 more source
Density‐Valued ARMA Models by Spline Mixtures
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
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The error norm of quadrature formulae
Numerical Algorithms, 2012 This paper surveys the methods for computation of the norms of the error term functionals of quadrature formulas covering Gauss, Gauss-Lobatto, Gauss-Radau, Gauss-Kronrod and Fejér type quadratures.
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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 ) +2 more
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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
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 +2 more
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Hermite-Hadamard type inequalities by using Newton-Cotes quadrature formulas
Miskolc Mathematical NotesA convex function f:[a,b]→ℝ f (a+b2)≤1b−a∫ abf(t)dt≤f(a)+f(b)2. 1b−aIn(f)In(f)
Angshuman R. Goswami, Ferenc Hartung
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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.
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