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A Class of Lyapunov Functionals for Analyzing Hybrid Dynamical Systems
Lyapunov Functionals Analyzing Hybrid Dynamical Systems
2015/7/10
In this paper, we introduce a new class of Lyapunov functionals for analyzing hybrid dynamical systems. This class can be thought of as a generalization of the Lyapunov functional introduced by Yakubo...
Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes
Central Limit Theorems Large Deviations Additive Functionals Reflecting Diffusion Processes
2015/7/6
This paper develops central limit theorems (CLT's) and large deviations results for additive functionals associated with reflecting disions in which the functional may include a term associated with t...
Nonparametric functionals as generalized functions
Nonparametric functionals generalized functions
2013/4/27
The paper considers probability distribution, density, conditional distribution and density and conditional moments as well as their kernel estimators in spaces of generalized functions. This approach...
Estimation of entropy-type integral functionals
U-statistics estimation of divergence density power divergence asymptotic normality entropy estimation Raenyi entrop
2012/11/22
Integrated powers of densities of one- or two-multidimensional random variables appear in a variety of problems in mathematical statistics, information theory, and computer science. We study U-statist...
Quarticity and other functionals of volatility: efficient estimation
semimartingale high frequency data volatility estimation central limit theo-rem efficient estimation
2012/9/19
We consider a multidimensional It坥 semimartingale regularly sampled on [0,t] at high frequency 1/∆n, with ∆n going to zero. The goal of this paper is to provide an estimator for the integr...
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
Computing Functionals of Multidimensional Diffusions Monte Carlo Methods Numerical Analysis Computational Finance
2012/4/28
We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processe...
Density Functional Resonance Theory: complex density functions, convergence, orbital energies, and functionals
Density Functional Resonance Theory complex density functions convergence orbital energies functionals
2012/2/29
Aspects of Density Functional Resonance Theory (DFRT) [Phys. Rev. Lett. \textbf{107}, 163002 (2011)], a recently developed complex-scaled version of ground-state Density Functional Theory (DFT), are s...
On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals
interest rate models term structure dynamics Heath-Jarrow-Morton framework pricing kernels Wiener chaos Flesaker-Hughston models potentials
2011/7/19
In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration (Ft)t0. Let X be a square-integrable F1-measur...
Functionals of Exponential Brownian Motion and Divided Differences
Functionals of Exponential Brownian Motion Divided Differences
2010/10/20
We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlatio...
The distribution and quantiles of functionals of weighted empirical distributions when observations have different distributions
Edgeworth-Cornish-Fisher expansions von Mises derivatives Weighted em-pirical distribution
2010/3/10
This paper extends Edgeworth-Cornish-Fisher expansions for the distribution
and quantiles of nonparametric estimates in two ways. Firstly it allows observations to have
different distributions. Seco...
Minima of convex integral functionals and unbiased estimation
convex integral functionals unbiased estimation
2009/9/24
Minima of convex integral functionals and unbiased estimation。
The second order optimality of tests and estimators for minimum contrast functionals. I
The second order optimality of tests estimators for minimum contrast functionals
2009/9/24
The second order optimality of tests and estimators for minimum contrast functionals. I。
Extension of Lipschitz integrands and minimization of nonconvex integral functionals. Applications to the optimal recourse problem in discrete time
Extension of Lipschitz integrands minimization of nonconvex integral functionals
2009/9/24
Extension of Lipschitz integrands and minimization of nonconvex integral functionals. Applications to the optimal recourse problem in discrete time。
On the rate of convergence for distributions of integral type functionals for sums of infima of independent random variables
the rate of convergence distributions of integral type functionals independent random variables
2009/9/23
On the rate of convergence for distributions of integral type functionals for sums of infima of independent random variables。
Infinite divisibility of some functionals on stochastic processes
Infinite divisibility some functionals on stochastic processes
2009/9/22
The paper deals with non-negative stochastic processes
X(t, w) (t 2 0) with stationary and independent increments, continuous
on the right sample functions, non-degenerate to 0 and
fulfilling the i...