Results 181 to 190 of about 8,682 (260)

Online Jump and Kink Detection in Segmented Linear Regression: Statistical Optimality Meets Computational Efficiency

Journal of Time Series Analysis, EarlyView.
ABSTRACT We consider the problem of sequential (online) estimation of a single change point in a piecewise linear regression model under a Gaussian setup. We demonstrate that certain CUSUM‐type statistics attain the minimax optimal rates for localizing the change point.
Annika Hüselitz, Housen Li, Axel Munk
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, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

Complex Time Approach to the Hamiltonian and the Entropy Production of the Damped Harmonic Oscillator. [PDF]

Entropy (Basel)
Aslani KE.
europepmc   +1 more source

The fundamental theorem of asset pricing with and without transaction costs

Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

Statistical control of relaxation and synchronization in open anyonic systems. [PDF]

Sci Rep
Bittner ER, Tyagi B.
europepmc   +1 more source

Robust Bernoulli Mixture Models for Credit Portfolio Risk

Mathematical Finance, EarlyView.
ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley   +1 more source

Quantum gravity: are we there yet? [PDF]

Philos Trans A Math Phys Eng Sci
Majid S.
europepmc   +1 more source

Hypercomplex neural networks: Exploring quaternion, octonion, and beyond in deep learning. [PDF]

MethodsX
Devadas RM, Hiremani V, Preethi, T S, R S, Gujjar P.   +5 more
europepmc   +1 more source

Can we repudiate ontology altogether?

Noûs, EarlyView.
Abstract Ontological nihilists repudiate ontology altogether, maintaining that ontological structure is an unnecessary addition to our theorizing. Recent defenses of the view involve a sophisticated combination of highly expressive but ontologically innocent languages combined with a metaphysics of features—non‐objectual, complete but modifiable states
Christopher J. Masterman
wiley   +1 more source

Lagrangian Relations and Quantum L ∞ Algebras. [PDF]

Commun Math Phys
Jurčo B, Pulmann J, Zika M.
europepmc   +1 more source