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  • Search: subject:"First-passage probability"
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Subject
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First-passage probability 2 Intra-horizon risk 1 Markov chain 1 Markov chains 1 Markov-Kette 1 Mathematical programming 1 Mathematische Optimierung 1 Maximum 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Portfolio optimization 1 Portfolio selection 1 Portfolio-Management 1 Probability theory 1 Random walks 1 Records 1 Risikomaß 1 Risk measure 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Wahrscheinlichkeitsrechnung 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Majumdar, Satya N. 1 Nicolau, João 1 Rodrigues, Paulo M. M. 1 Zsurkis, Gabriel 1
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European journal of operational research : EJOR 1 Physica A: Statistical Mechanics and its Applications 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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First passage times in portfolio optimization : a novel nonparametric approach
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M. M. - In: European journal of operational research : EJOR 312 (2024) 3, pp. 1074-1085
Persistent link: https://www.econbiz.de/10014456467
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Universal first-passage properties of discrete-time random walks and Lévy flights on a line: Statistics of the global maximum and records
Majumdar, Satya N. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 20, pp. 4299-4316
In these lecture notes I will discuss the universal first-passage properties of a simple correlated discrete-time sequence {x0=0,x1,x2,…,xn} up to n steps where xi represents the position at step i of a random walker hopping on a continuous line by drawing independently, at each time step, a...
Persistent link: https://www.econbiz.de/10011062733
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