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  • Search: subject:"Large deviation principle"
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Year of publication
Subject
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Large deviation principle 11 large deviation principle 2 Autoregressive processes 1 Berry–Essen bound 1 Bilinear forms 1 Bottleneck 1 Branching Brownian motion 1 Capital structure 1 Conditional value-at-risk 1 Convex analysis 1 Cournot-Nash equilibrium 1 Divergence 1 Dynamical transition 1 Economic growth 1 Empirical distribution 1 Engpass 1 Essential smoothness 1 Estimation theory 1 Exit times 1 Fleming–Viot process 1 GNP-optimality 1 Game theory 1 Gibbs versus non-Gibbs 1 Global minimisers of rate functions 1 Growth theory 1 Heston model 1 Independent Brownian motions 1 Jump-diffusions 1 Kapitalstruktur 1 Law of iterated logarithm 1 Mean-field model 1 Mean-field stochastic differential equation 1 Moderate deviation principle 1 Moment restriction models 1 NPMLE 1 Nash equilibrium 1 Nash-Gleichgewicht 1 Nichtkooperatives Spiel 1 Noncooperative game 1 Nonlinear diffusion equations 1
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Online availability
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Undetermined 13 Free 1
Type of publication
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Article 13 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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Undetermined 10 English 4
Author
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Albeverio, Sergio 1 Cai, Yujie 1 Fatheddin, Parisa 1 Forde, Martin 1 Gao, Fuqing 1 Huang, Jianhui 1 Jacquier, Antoine 1 Jung, Brita 1 Kitamura, Yuichi 1 Lacker, Daniel 1 Liu, Wei 1 Macci, Claudio 1 Maroulas, Vasileios 1 Mastrogiacomo, Elisa 1 Mijatović, Aleksandar 1 Neininger, Ralph 1 Ramanan, Kavita 1 Redig, F. 1 Röckner, Michael 1 Sun, Hongyan 1 Trapani, Stefano 1 Wang, Shaochen 1 Xiong, Jie 1 Yao, Nian 1 Zhu, Xiang-Chan 1 den Hollander, F. 1 van Zuijlen, W. 1
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Institution
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Cowles Foundation for Research in Economics, Yale University 1
Published in...
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Stochastic Processes and their Applications 4 Statistics & Probability Letters 2 Annals of the Institute of Statistical Mathematics 1 Cowles Foundation Discussion Papers 1 Finance and Stochastics 1 Insurance: Mathematics and Economics 1 International journal of financial engineering 1 Journal of mathematical economics 1 Mathematics of operations research 1 Statistics & Decisions 1
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Source
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RePEc 10 ECONIS (ZBW) 3 Other ZBW resources 1
Showing 1 - 10 of 14
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Large deviation principle for spatial economic growth model on networks
Albeverio, Sergio; Mastrogiacomo, Elisa - In: Journal of mathematical economics 103 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014230373
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Rare nash equilibria and the price of anarchy in large static games
Lacker, Daniel; Ramanan, Kavita - In: Mathematics of operations research 44 (2019) 2, pp. 400-422
Persistent link: https://www.econbiz.de/10012028620
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Optimal leverage ratio estimate of various models for leveraged ETFs to exceed a target : probability estimates of large deviations
Yao, Nian - In: International journal of financial engineering 5 (2018) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10011923005
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Gibbs-non-Gibbs dynamical transitions for mean-field interacting Brownian motions
den Hollander, F.; Redig, F.; van Zuijlen, W. - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 371-400
We consider a system of real-valued spins interacting with each other through a mean-field Hamiltonian that depends on the empirical magnetisation of the spins. The system is subjected to a stochastic dynamics where the spins perform independent Brownian motions. Using large deviation theory we...
Persistent link: https://www.econbiz.de/10011077902
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Large deviations of mean-field stochastic differential equations with jumps
Cai, Yujie; Huang, Jianhui; Maroulas, Vasileios - In: Statistics & Probability Letters 96 (2015) C, pp. 1-9
. We study large deviation estimates of its path solution and our approach for verifying the large deviation principle is …
Persistent link: https://www.econbiz.de/10011115973
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Large deviation principle for some measure-valued processes
Fatheddin, Parisa; Xiong, Jie - In: Stochastic Processes and their Applications 125 (2015) 3, pp. 970-993
We establish a large deviation principle for the solutions of a class of stochastic partial differential equations with … non-Lipschitz continuous coefficients. As an application, the large deviation principle is derived for super …
Persistent link: https://www.econbiz.de/10011194152
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Empirical Likelihood Methods in Econometrics: Theory and Practice
Kitamura, Yuichi - Cowles Foundation for Research in Economics, Yale University - 2006
Recent developments in empirical likelihood (EL) methods are reviewed. First, to put the method in perspective, two interpretations of empirical likelihood are presented, one as a nonparametric maximum likelihood estimation method (NPMLE) and the other as a generalized minimum contrast estimator...
Persistent link: https://www.econbiz.de/10005087392
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Large deviation principles for the stochastic quasi-geostrophic equations
Liu, Wei; Röckner, Michael; Zhu, Xiang-Chan - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 3299-3327
In this paper we establish the large deviation principle for the stochastic quasi-geostrophic equation with small …
Persistent link: https://www.econbiz.de/10011065102
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A large deviation theorem for a branching Brownian motion with random immigration
Sun, Hongyan - In: Statistics & Probability Letters 83 (2013) 6, pp. 1559-1566
We establish a large deviation theorem for a branching Brownian motion with random immigration under the annealed law for d≥5, where the immigration is determined by another branching Brownian motion.
Persistent link: https://www.econbiz.de/10011039892
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Large deviations for posterior distributions on the parameter of a multivariate <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\text{ AR}(p)$$</EquationSource> </InlineEquation> process
Macci, Claudio; Trapani, Stefano - In: Annals of the Institute of Statistical Mathematics 65 (2013) 4, pp. 703-719
We prove the large deviation principle for the posterior distributions on the (unknown) parameter of a multivariate …
Persistent link: https://www.econbiz.de/10011000077
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