Asymptotic independence in more than two dimensions and its implications on risk management
Canadian Journal of Statistics, EarlyView.Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley +1 more source
Semi-Quenched Invariance Principle for the Random Lorentz Gas: Beyond the Boltzmann-Grad Limit. [PDF]
Entropy (Basel)Tóth B.
europepmc +1 more source
On some strong ratio limit theorems for heat kernels
, 2010 Martin Fraas +2 more
openalex +2 more sources
Canadian Journal of Statistics, EarlyView.Abstract We analyze the effect of regulatory capital constraints on financial stability in a large homogeneous banking system using a mean‐field game (MFG) model. Each bank holds cash and a tradable risky asset. Banks choose absolutely continuous trading rates in order to maximize expected terminal equity, with trades subject to transaction costs ...
Rüdiger Frey, Theresa Traxler
wiley +1 more source
Prediction of bearing capacity of ring footings on cohesive frictional soils using Terzaghi stability factors and Kolmogorov Arnold networks. [PDF]
Sci RepVu-Hoang T +4 more
europepmc +1 more source
Some strong limit theorems for the largest entries of sample correlation matrices [PDF]
, 2006 Deli Li, Andrew Rosalsky
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A Markov approach to credit rating migration conditional on economic states
Canadian Journal of Statistics, EarlyView.Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley +1 more source
BoxesZero: An Efficient and Computationally Frugal Dots-and-Boxes Agent. [PDF]
Entropy (Basel)Niu X, Liu Q, Chen W, Zheng Y, Jin Z.
europepmc +1 more source
Isoperimetric inequalities on slabs with applications to cubes and Gaussian slabs
Communications on Pure and Applied Mathematics, EarlyView.Abstract We study isoperimetric inequalities on “slabs”, namely weighted Riemannian manifolds obtained as the product of the uniform measure on a finite length interval with a codimension‐one base. As our two main applications, we consider the case when the base is the flat torus R2/2Z2$\mathbb {R}^2 / 2 \mathbb {Z}^2$ and the standard Gaussian measure
Emanuel Milman
wiley +1 more source
Nonlinear SPDEs and Maximal Regularity: An Extended Survey. [PDF]
Nonlinear Differ Equ ApplAgresti A, Veraar M.
europepmc +1 more source