Search Results - subject:"Differentiability"

A globalized inexact semismooth Newton method for nonsmooth fixed-point equations involving variational inequalities

Alphonse, Amal; Christof, Constantin; Hintermüller, Michael - In: Computational Optimization and Applications 93 (2025) 1, pp. 1-55

We develop a semismooth Newton framework for the numerical solution of fixed-point equations that are posed in Banach spaces. The framework is motivated by applications in the field of obstacle-type quasi-variational inequalities and implicit obstacle problems. It is discussed in a general...

Persistent link: https://www.econbiz.de/10015564097

A neutrosophic differential equation approach for modelling glucose distribution in the bloodstream using neutrosophic sets

Acharya, Ashish; Mahata, Animesh; Mukherjee, Supriya; … - 2023

under Hukuhara differentiability are used to model the amount of glucose distribution and absorption rates in blood …

Persistent link: https://www.econbiz.de/10014516474

Parabolic regularity of spectral functions

Mohammadi, Ashkan; Sarabi, Ebrahim - In: Mathematics of operations research 50 (2025) 3, pp. 2017-2046

Persistent link: https://www.econbiz.de/10015444707

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

Persistent link: https://www.econbiz.de/10015324975

Differentiability results and sensitivity calculation for optimal control of incompressible two-phase Navier-Stokes equations with surface tension

Diehl, Elisabeth; Haubner, Johannes; Ulbrich, Michael; … - In: Computational Optimization and Applications 87 (2022) 3, pp. 711-751

the differentiability of the solution with respect to initial and distributed controls for appropriate spaces resulting …. Then we deduce differentiability results for the solution in the physical coordinates. Finally, we state an equivalent … Volume-of-Fluid type formulation and use the obtained differentiability results to derive rigorosly the corresponding …

Persistent link: https://www.econbiz.de/10015192108

A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities

Liang, Zongxia; Liu, Yang; Ma, Ming; Vinoth, Rahul Pothi - In: Quantitative finance 24 (2024) 2, pp. 281-303

Persistent link: https://www.econbiz.de/10014551987

Differentiability results and sensitivity calculation for optimal control of incompressible two-phase Navier-Stokes equations with surface tension

Diehl, Elisabeth; Haubner, Johannes; Ulbrich, Michael; … - In: Computational Optimization and Applications 87 (2022) 3, pp. 711-751

Persistent link: https://www.econbiz.de/10015408297

Inference on breakdown frontiers

Masten, Matthew A.; Poirier, Alexandre - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 41-111

Given a set of baseline assumptions, a breakdown frontier is the boundary between the set of assumptions which lead to a specific conclusion and those which do not. In a potential outcomes model with a binary treatment, we consider two conclusions: First, that ATE is at least a specific value...

Persistent link: https://www.econbiz.de/10012202176

First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function

Kern, Patrick; Simroth, Axel; Zähle, Henryk - In: Mathematical methods of operations research : ZOR 92 (2020) 1, pp. 165-197

Persistent link: https://www.econbiz.de/10012301681

Subgradient sampling for nonsmooth nonconvex minimization

Bolte, Jérôme; Le, Tam; Pauwels, Edouard - 2022

Persistent link: https://www.econbiz.de/10012888151