Found 45 Documents (Results 1–45)
Short communication: existence of Markov equilibrium control in discrete time. (English) Zbl 1529.49007
On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results. (English) Zbl 1501.60015
Separability versus robustness of Orlicz spaces: financial and economic perspectives. (English) Zbl 1514.46022
Marginal and dependence uncertainty: bounds, optimal transport, and sharpness. (English) Zbl 1483.60031
Applications of weak transport theory. (English) Zbl 1516.49042
Reviewer: Nicolò De Ponti (Trieste)
A brief introduction to DFA-based multiscale analysis. (English) Zbl 07624829
Grech, Dariusz (ed.) et al., Simplicity of complexity in economic and social systems. Proceedings of the 54th winter school of theoretical physics, Lądek Zdrój, Poland, February 18–24, 2018. Cham: Springer. Springer Proc. Complex., 89-106 (2021).
Representation of increasing convex functionals with countably additive measures. (English) Zbl 1492.46072
Reviewer: Yong Zhang (Winnipeg)
Set-valued risk measures as backward stochastic difference inclusions and equations. (English) Zbl 1461.91363
The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. (English) Zbl 1453.60098
Choquet calculus using operational matrices. (English) Zbl 1454.28016
Reviewer: Wolfgang Näther (Freiberg)
MSC:
28E10
On multistochastic Monge-Kantorovich problem, bitwise operations, and fractals. (English) Zbl 1454.28004
A characterization of probabilities with full support and the Laplace method. (English) Zbl 1447.60005
The quasi-sure limit of convex combinations of nonnegative measurable functions. (English) Zbl 1408.60025
Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint. (English) Zbl 1401.60064
Conic trading in a Markovian steady state. (English) Zbl 1390.91304
Reviewer: Yuliya S. Mishura (Kyïv)
On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence. (English) Zbl 1342.60021
Maximization of nonconcave utility functions in discrete-time financial market models. (English) Zbl 1334.93179
Risk measures with comonotonic subadditivity or convexity on product spaces. (English) Zbl 1349.91159
Time consistency of dynamic risk measures in markets with transaction costs. (English) Zbl 1281.91162
Convergence in the semimartingale topology and constrained portfolios. (English) Zbl 1225.60074
Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XLIII, Poitiers, France, Juin 2009. Berlin: Springer (ISBN 978-3-642-15216-0/pbk; 978-3-642-15217-7/ebook). Lecture Notes in Mathematics 2006, 395-412 (2011).
Reviewer: Klaus Schürger (Bonn)
On Cramér’s theorem for capacities. (English. Abridged French version) Zbl 1206.60029
Multi-level Monte Carlo algorithms for infinite-dimensional integration on \(\mathbb R^{\mathbb N}\). (English) Zbl 1207.65005
Reviewer: Vassil Grozdanov (Blagoevgrad)
Dynamic risk measures: Time consistency and risk measures from BMO martingales. (English) Zbl 1150.91024
Reviewer: Yuliya S. Mishura (Kyïv)
The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\). (English) Zbl 1177.46020
The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models. (English) Zbl 1154.28305
Reviewer: Petr Gurka (Praha)
Filter Results by …
Document Type
- Journal Articles (43)
- Collection Articles (2)
all
top 5
Author
- Kupper, Michael (5)
- Agahi, Hamzeh (3)
- Ararat, Çağın (2)
- Feinstein, Zachary (2)
- Heidergott, Bernd F. (2)
- Jamneshan, Asgar (2)
- Liebrich, Felix-Benedikt (2)
- Mesiar, Radko (2)
- Nendel, Max (2)
- Tangpi, Ludovic (2)
- Alibert, Jean-Jacques (1)
- Angelsberg, Gilles (1)
- Ansari, Jonathan (1)
- Backhoff Veraguas, Julio D. (1)
- Bartl, Daniel (1)
- Bayraktar, Erhan (1)
- Behroozifar, Mahmoud (1)
- Bion-Nadal, Jocelyne (1)
- Bouchitté, Guy (1)
- Carassus, Laurence (1)
- Carl, Merlin (1)
- Carr, Peter Paul (1)
- Cerreia-Vioglio, Simone (1)
- Champion, Thierry (1)
- Cheridito, Patrick (1)
- Czichowsky, Christoph (1)
- Delbaen, Freddy (1)
- Denk, Robert (1)
- Eckstein, Stephan (1)
- Embrechts, Paul (1)
- Fan, Yulian (1)
- Fernández-Sánchez, Juan (1)
- Fuchs, Sebastian L. (1)
- Gladkov, Nikita A. (1)
- Han, Bingyan (1)
- Hickernell, Fred J. (1)
- Hu, Feng (1)
- Hu, Yijun (1)
- Jaffe, Adam Quinn (1)
- Jaśkiewicz, Anna (1)
- Kaelin, Ivo (1)
- Kekkonen, Hanne (1)
- Kiiski, Matti (1)
- Kolesnikov, Alexander V. (1)
- Lassas, Matti J. (1)
- Linetsky, Vadim (1)
- Lux, Thibaut (1)
- Ma, Yue (1)
- Maccheroni, Fabio (1)
- Madan, Dilip B. (1)
- Maggis, Marco (1)
- Marinacci, Massimo (1)
- Menoukeu Pamen, Olivier (1)
- Molchanov, Ilya S. (1)
- Motiee, Mehran (1)
- Mroz, Thomas A. (1)
- Mühlemann, Anja (1)
- Müller-Gronbach, Thomas (1)
- Näf, Joachim (1)
- Neuman, Eyal (1)
- Niu, Ben (1)
- Nowak, Andrzej S. (1)
- Oświęcimka, Paweł (1)
- Pammer, Gudmund (1)
- Papapantoleon, Antonis (1)
- Peng, Yijie (1)
- Pistorius, Martijn R. (1)
- Rásonyi, Miklós (1)
- Rheinländer, Thorsten (1)
- Rigo, Pietro (1)
- Ritter, Klaus (1)
- Rosenbaum, Mathieu (1)
- Rudloff, Birgit (1)
- Rüschendorf, Ludger (1)
- Saksman, Eero (1)
- Schoutens, Wim (1)
- Siltanen, Samuli (1)
- Söhl, Jakob (1)
- Song, Yongsheng (1)
- Steiger, Gallus (1)
- Svindland, Gregor (1)
- Trutschnig, Wolfgang (1)
- Volk-Makarewicz, Warren M. (1)
- Wang, Ruodu (1)
- Wei, Linxiao (1)
- Westray, Nicholas (1)
- Wu, Wenqian (1)
- Yan, Jia-An (1)
- Zapata-García, José Miguel (1)
- Zheng, Harry H. (1)
- Zimin, Alexander P. (1)
all
top 5
Serial
- Finance Stoch. (6)
- J. Optim. Theory Appl. (3)
- SIAM J. Financ. Math. (3)
- Math. Oper. Res. (2)
- SIAM J. Control Optim. (2)
- Ann. Appl. Probab. (2)
- Bernoulli (2)
- Depend. Model. (2)
- Adv. Appl. Probab. (1)
- Stud. Math. (1)
- Inf. Sci. (1)
- J. Comput. Appl. Math. (1)
- J. Stat. Plann. Inference (1)
- Stat. Probab. Lett. (1)
- J. Complexity (1)
- Sci. China, Ser. A (1)
- Eur. J. Appl. Math. (1)
- Appl. Math., Ser. B (Engl. Ed.) (1)
- Calc. Var. Partial Differ. Equ. (1)
- Electron. J. Probab. (1)
- Electron. Commun. Probab. (1)
- Int. J. Theor. Appl. Finance (1)
- Quant. Finance (1)
- C. R., Math., Acad. Sci. Paris (1)
- J. Korean Stat. Soc. (1)
- Inverse Probl. Imaging (1)
- Banach J. Math. Anal. (1)
- J. Log. Anal. (1)
- J. Funct. Spaces (1)
