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An invariance principle under the total variation distance
Nourdin, Ivan; Poly, Guillaume - In: Stochastic Processes and their Applications 125 (2015) 6, pp. 2190-2205
Let X1,X2,… be a sequence of i.i.d. random variables, with mean zero and variance one and let Sn=(X1+⋯+Xn)/n. An old …
Persistent link: https://www.econbiz.de/10011209766
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On cash settled IRR-swaptions and Markov functional modeling
Bermin, Hans-Peter; Williams, Gareth - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10011686834
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Chaos expansion and asymptotic behavior of the Pareto distribution
Tudor, Ciprian A. - In: Statistics & Probability Letters 91 (2014) C, pp. 62-68
We give the chaos expansion of a random variable with Pareto distribution and we analyze, by using the Malliavin calculus, the convergence in the distribution of a sequence of random variable with Pareto distribution toward the standard exponential law.
Persistent link: https://www.econbiz.de/10010776542
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Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
Lebovits, Joachim; Lévy Véhel, Jacques; Herbin, Erick - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 678-708
Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic integration requires specific developments. Multifractional...
Persistent link: https://www.econbiz.de/10011064949
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Discrete Wasserstein barycenters : optimal transport for discrete data
Anderes, Ethan; Borgwardt, Steffen; Miller, Jacob - In: Mathematical methods of operations research 84 (2016) 2, pp. 389-409
Persistent link: https://www.econbiz.de/10011673536
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Weighted Frechet means as convex combinations in metric spaces: Properties and generalized median inequalities
Ginestet, Cedric E.; Simmons, Andrew; Kolaczyk, Eric D. - In: Statistics & Probability Letters 82 (2012) 10, pp. 1859-1863
In this short note, we study the properties of the weighted Frechet mean as a convex combination operator on an … Frechet mean. These tools allow us to derive several types of median inequalities for abstract metric spaces that hold for …
Persistent link: https://www.econbiz.de/10010597168
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Lyapunov functions for time-scale dynamics on Riemannian geometries of the simplex
Harper, Marc; Fryer, Dashiell - In: Dynamic games and applications : DGA 5 (2015) 3, pp. 318-333
Persistent link: https://www.econbiz.de/10011547155
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Geometric proofs for convex hull defining formulations
Zuckerberg, Mark - In: Operations research letters 44 (2016) 5, pp. 625-629
Persistent link: https://www.econbiz.de/10011596577
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Theorem of conflicts for a pair of probability measures
Koshmanenko, Volodymyr - In: Computational Statistics 59 (2004) 2, pp. 303-313
We develop mathematical tools suitable for the construction of conflict models with non-annihilating adversaries. In a set of probability measures we introduce a non-commutative conflict composition and consider the associated dynamical system. We prove that for each couple of non-identical...
Persistent link: https://www.econbiz.de/10010848028
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Theorem of conflicts for a pair of probability measures
Koshmanenko, Volodymyr - In: Mathematical Methods of Operations Research 59 (2004) 2, pp. 303-313
We develop mathematical tools suitable for the construction of conflict models with non-annihilating adversaries. In a set of probability measures we introduce a non-commutative conflict composition and consider the associated dynamical system. We prove that for each couple of non-identical...
Persistent link: https://www.econbiz.de/10011000019