Results 51 to 60 of about 417 (168)
Solar Energy Risks: Stochastic Radiation Modeling and Optimal Hedging Strategies
Mathematical Finance, EarlyView.ABSTRACT The growing integration of solar power into electricity markets increasingly demands advanced risk management tools to address the inherent variability of solar radiation and its interaction with electricity prices. This paper introduces a novel framework for modeling and pricing new financial instruments designed to link payoffs directly to ...
Silvia Romagnoli, Beniamino Sartini
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Variance Ratio Tests for Panels With Cross‐Section Dependence
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper develops panel variance ratio statistics to examine serial dependence in time series with cross‐sectional dependence. We derive asymptotic properties for panels where the cross‐section dimension N$$ N $$ is fixed or grows with T. Using a factor structure to explain cross‐sectional dependence, we propose a common correlation effects ...
Seongman Moon, Carlos Velasco
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Stochastic integrals of point processes and the decomposition of two-parameter martingales
Journal of Multivariate Analysis, 1989 Let M be a two-parameter square-integrable martingale with trajectories that have limits in all quadrants and are continuous from the right. The paper gives the decomposition of M into four orthogonal components: \(M=\sum^{4}_{i=1}M_ i,\) where \(M_ 1\) is continuous, \(M_ 2\) is purely discontinuous, \(M_ 3\) and \(M_ 4\) are continuous in one ...
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r-variations for two-parameter continuous martingales and itô's formula
Stochastic Processes and their Applications, 1989 Let \(M=\{M_ z;z\in [0,1]^ 2\}\) be a two-parameter continuous martingale bounded in \(L^ 4\), and suppose that f is a real-valued function of class \(C^ 4\) such that \(f(0)=0\). The aim of this paper is to establish an Itô's formula of the type \[ f(M_ z)=\sum^{4}_{r=1}(r!)^{-1}\int_{[0,z]}f^{(r)}(M_ u)d\mu^ r_ M(u), \] where the processes \(\mu^ r_ ...
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With‐Replacement Balanced Sampling
Scandinavian Journal of Statistics, EarlyView.ABSTRACT Balanced sampling ensures that selected samples allow Horvitz–Thompson estimators to reproduce known auxiliary totals. However, no efficient procedures currently exist for producing balanced samples with replacement despite their potential applications to balanced imputations or balanced stream sampling.
Jean Rubin, Guillaume Chauvet
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Orthogonal projections on martingale $H^{1}$ spaces of two parameters
Illinois Journal of Mathematics, 1994 Given natural numbers \(n\) and \(i\) so that \(1\leq i\leq 2^ n\), let \((n, i)\) denote the ``dyadic interval'' \(\left[{i- 1\over 2^ n}, {i\over 2^ n}\right]\), \(h_{(n, i)}\) the \(L^ \infty\)-normalized Haar function supported on \((n, i)\), and \(h_{(n, i)\times (m, j)}(s, t)= h_{(n, i)}(s) h_{(m, j)}(t)\) (for \(s,t\in [0, 1]\)). If \(F= \sum c_{
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Frequency‐dependent contraction rates for the Bayesian method to the inverse source problem
Transactions of the London Mathematical Society, Volume 13, Issue 1, December 2026.Abstract This paper addresses an inverse source problem for acoustic waves in a range of frequencies. Our study has two main goals. First, although the problem is severely ill‐posed with a logarithmic stability estimate, we demonstrate, through careful analysis of the forward map's singular values, that increasing the frequency range enhances stability,
Pu‐Zhao Kow, Jenn‐Nan Wang
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Stochastic Gradient Descent in High Dimensions for Multi‐Spiked Tensor PCA
Communications on Pure and Applied Mathematics, Volume 79, Issue 10, Page 2291-2369, October 2026.ABSTRACT We study the high‐dimensional dynamics of online stochastic gradient descent (SGD) for the multi‐spiked tensor model. This multi‐index model arises from the tensor principal component analysis (PCA) problem with multiple spikes, where the goal is to estimate the unknown signal vectors within the N$N$‐dimensional unit sphere through maximum ...
Gérard Ben Arous +2 more
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Statistical inference with exchangeability and martingales. [PDF]
Philos Trans A Math Phys Eng Sci, 2023 Holmes CC, Walker SG.
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Nonparametric Assessment of the Calibration of Individualized Treatment Effects
Statistics in Medicine, Volume 45, Issue 20-22, September 2026.ABSTRACT An important aspect of the performance of algorithms that predict individualized treatment effects (ITEs) is moderate calibration, that is, the average treatment effect among individuals with predicted treatment effect of z being equal to z. The assessment of moderate calibration is a challenging task on two fronts: counterfactual responses ...
Mohsen Sadatsafavi +3 more
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