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  • Search: subject:"Variational formula"
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Ambiguity aversion 1 Birth–death process on tree 1 Coherent risk measures 1 Cumulant-generating functions 1 Decision under risk 1 Dirichlet eigenvalue 1 Donsker-Varadhan variational formula 1 Dual representation 1 Entropie 1 Entropy 1 Entscheidung unter Risiko 1 Kullback-Leibler divergence 1 Kusuoka representation 1 Large deviations 1 Lp spaces 1 Luxemburg norms 1 Moment-generating functions 1 Nutzenfunktion 1 Orlicz hearts and spaces 1 Orlicz norms 1 Relative entropy 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Social norm 1 Soziale Norm 1 Theorie 1 Theory 1 Utility function 1 Variational formula 1 diffusion large deviations variational formula 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 2 English 1
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Ahmadi-Javid, Amir 1 Korzeniowski, Andrzej 1 Pichler, Alois 1 Wang, Ling-Di 1 Zhang, Yu-Hui 1
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Statistics & Probability Letters 2 Mathematics and financial economics 1
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Ahmadi-Javid, Amir; Pichler, Alois - In: Mathematics and financial economics 11 (2017) 4, pp. 527-550
Persistent link: https://www.econbiz.de/10011900598
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The first Dirichlet eigenvalue of birth–death process on trees
Wang, Ling-Di; Zhang, Yu-Hui - In: Statistics & Probability Letters 83 (2013) 9, pp. 1973-1982
This paper investigates the birth–death (“B–D” for short) process on trees, emphasizing on estimating the principal eigenvalue (equivalently, the convergence rate) of the process with Dirichlet boundary at the unique root 0. Three kinds of variational formulas for the eigenvalue are...
Persistent link: https://www.econbiz.de/10011039841
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On diffusions that cannot escape from a convex set
Korzeniowski, Andrzej - In: Statistics & Probability Letters 8 (1989) 3, pp. 229-234
Let Xt be a diffusion on D with a generator , where f is a probability density such that f 0 on an open convex set D and vanishes outside. Then [integral operator]D 1/f = [infinity] implies that Xt never leaves D. As an application we extend the asymptotics of Wiener integrals of...
Persistent link: https://www.econbiz.de/10005137713
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