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DynaDiffuse: A Dynamic Diffusion Model for Continuous Time Constrained Influence Maximization
A Dynamic Diffusion Model Constrained Influence Maximization
2016/1/22
Studying the spread of phenomena in social networks is critical but still not fully solved. Existing influence max-imization models assume a static network, disregarding its evolution over time. We in...
Estimation of Continuous-time Markov Processes Sampled at Random Time Intervals
Method of moments parameter estimation Markov process
2015/7/6
We introduce a family of generalized-method-of-moments estimators of the parameters of a continuous-time Markov process observed at random time intervals. The results include strong consistency, asymp...
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding
Optimal Portfolio Rules Continuous Time Consumption Binding
2015/5/13
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding.
This paper is a note on the use of Bayesian nonparametric mixture models for continuous time series. We identify a key requirement for such models, and then establish that there is a single type of mo...
On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Potentially complete market Continuous-time financial market Radner equilibrium It坥 diffusion
2012/9/14
We prove that in smooth Markovian continuous杢ime economies with potentially complete asset markets, Radner equilibria with endoge-nously complete markets exist.
Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
mean-variance criterion Markowitz problem portfolio optimisation time consistency time-inconsistent optimal control
2012/6/5
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dyna...
Power Efficient Continuous-Time Delta-Sigma Modulator Architectures for Wideband Analog to Digital Conversion
Analog-to-Digital Conversion CMOS Integrated Circuit Continuous-Time Delta-Sigma Modulator Low-Power Wideband
2014/11/7
This work presents novel continuous-time delta-sigma modulator architectures with low-power consumption and improved signal transfer functions which are suitable for wideband A/D conversion in wireles...
Dephasing by a Continuous-Time Random Walk Process
Dephasing Continuous-Time Random Walk Process Chemical Physics
2012/5/17
Stochastic treatments of magnetic resonance spectroscopy and optical spectroscopy require evaluations of functions like i int_0^t Q(s)ds)>, where t is time, Q(s) is the value of a stochastic proc...
Cone-Constrained Continuous-Time Markowitz Problems
Markowitz problem cone constraints portfolio selection mean-variancehedging stochastic control semimartingales BSDEs martingale optimality principle opportunity process E-martingales linear-quadratic control
2012/9/14
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We
study this in continuous time in a gener...
Comparing the reliability of a discrete-time and a continuous-time Markov chain model in
discrete-time transition matrix the default probability the empirical results
2011/8/30
This article compares the reliability of a discrete-time and a continuous-time Markov chain model for estimating credit risk and for investigating loans of Chiao Tung Bank in Taiwan. The continuous-ti...
An EM Algorithm for Continuous-time Bivariate Markov Chains
Parameter estimation EM algorithm Continuous-time bivariate Markov chain
2011/7/19
We study properties and parameter estimation of finite-state homogeneous continuous-time bivariate Markov chains.
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Ambiguous Volatility, Possibility and Utility in Continuous Time
ambiguity uncertain volatility option pricing recursive utility stochastic differential utility G-expectation G-Brownian motion nonequivalent measures uncertain possibility quasisure analysis
2011/3/30
We formulate a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity or model uncertainty. The main novelty is in the range of model uncertainty th...