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  • Search: subject:"Perron–Frobenius theory"
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Year of publication
Subject
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Perron-Frobenius theory 4 Asset pricing 2 Markov processes 2 Nonparametric identification 2 Nonparametric models 2 Shape restrictions 2 Theorie 2 Theory 2 Algorithm 1 Algorithmus 1 CAPM 1 Collectives 1 Critical curve 1 Disorder relevance 1 Eigenvector computation 1 Estimation 1 Fair division 1 Finite range correlations 1 Fractional moments 1 Game theory 1 Gerechtigkeit 1 Harris criterion 1 Justice 1 Markov chain 1 Markov renewal theory 1 Markov-Kette 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Option pricing theory 1 Optionspreistheorie 1 Perron–Frobenius theory 1 Phase transition 1 Pinning 1 Pricing kernel 1 Risiko 1 Risikomanagement 1 Risk 1 Risk management 1 Risk sharing 1 Ross recovery 1
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Online availability
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Undetermined 3 Free 2
Type of publication
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Article 4 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 5 Undetermined 1
Author
All
Christensen, Timothy M. 2 Bolte, Jérôme 1 Dillschneider, Yannick 1 Gaubert, Stéphane 1 Maurer, Raimond 1 Pazdera, Jaroslav 1 Poisat, Julien 1 Schumacher, Johannes M. 1 Vigeral, Guillaume 1 Werker, Bas J. M. 1
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Published in...
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CEMMAP working papers / Centre for Microdata Methods and Practice 1 Journal of economic dynamics & control 1 Journal of mathematical economics 1 Mathematics of operations research 1 Stochastic Processes and their Applications 1 cemmap working paper 1
Source
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ECONIS (ZBW) 4 EconStor 1 RePEc 1
Showing 1 - 6 of 6
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Functional Ross recovery : theoretical results and empirical tests
Dillschneider, Yannick; Maurer, Raimond - In: Journal of economic dynamics & control 108 (2019), pp. 1-32
Persistent link: https://www.econbiz.de/10012313623
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Nonparametric identification of positive eigenfunctions
Christensen, Timothy M. - 2014
Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return relationships in dynamic asset pricing models and components of marginal utility in external habit formation models....
Persistent link: https://www.econbiz.de/10011282649
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Nonparametric identification of positive eigenfunctions
Christensen, Timothy M. - 2014 - Rev. August 2014
Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return relationships in dynamic asset pricing models and components of marginal utility in external habit formation models....
Persistent link: https://www.econbiz.de/10010403496
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The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
Pazdera, Jaroslav; Schumacher, Johannes M.; Werker, Bas … - In: Journal of mathematical economics 72 (2017), pp. 122-133
Persistent link: https://www.econbiz.de/10011833220
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Definable zero-sum stochastic games
Bolte, Jérôme; Gaubert, Stéphane; Vigeral, Guillaume - In: Mathematics of operations research 40 (2015) 1, pp. 171-191
Persistent link: https://www.econbiz.de/10010497625
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Random pinning model with finite range correlations: Disorder relevant regime
Poisat, Julien - In: Stochastic Processes and their Applications 122 (2012) 10, pp. 3560-3579
The purpose of this paper is to show how one can extend some results on disorder relevance obtained for the random pinning model with i.i.d disorder to the model with finite range correlated disorder. In a previous work, the annealed critical curve of the latter model was computed, and equality...
Persistent link: https://www.econbiz.de/10010603461
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