Estimation by maximumlikelihood is burdensome for models such that convolutions and stable distributions. Alternatively, we propose to use moments based on the empirical characteristic function. The objective of this paper is to propose an asymptotically efficient estimator.

Testing frequently involves nuisance parameters wich are identified only under the alternative. This article proposes a class of test statistics wich asymptotic distributions are standard, namely chi-squares. We estimate the parameter vector using the generalized method of moments applied to...

In this paper, we investigate static super-replicating strategies for European-type call options written on a weighted sum of asset prices. This class of exotic options includes Asian options and basket options among others. We assume that there exists a market where the plain vanilla options on...

Let X(N,d) be a N-parameter Omstein-Uhlenbeck process taking values in ##R##d. In this paper, we prove that, for an arbitrary pair of positive integers (N, d) and any open set S in ##R##d, X(N,d) is recurrent to S. This is surprisingly different from the recurrence properties of the N-parameter...

An integrated optimization method is developed for supporting agriculture water management and planning in Tarim River Basin, Northwest China. The developed method couples two-stage stochastic programming (TSP) with inexact quadratic program (IQP). The hydrological model is provided for...

The paper clarified the effect of humidity adjustment of Trombe wall on indoor environment by the experimental comparison between a passive solar cell and a reference cell. Theoretical analysis on indoor humidity adjustment of Trombe wall in the passive solar cell is also performed based on...

Greenhouse gas (GHG) concentrations are expected to continue to rise due to the ever-increasing use of fossil fuels and ever-boosting demand for energy. This leads to inevitable conflict between satisfying increasing energy demand and reducing GHG emissions. In this study, an integrated...

In this study, a two-stage inexact-stochastic programming (TISP) method is developed for planning carbon dioxide (CO2) emission trading under uncertainty. The developed TISP incorporates techniques of interval-parameter programming (IPP) and two-stage stochastic programming (TSP) within a...