Search Results - subject:"Weak Convergence"

Campi, Luciano; Fischer, Markus - In: Mathematics of operations research 47 (2022) 3, pp. 2240-2259

Persistent link: https://www.econbiz.de/10013375049

A relaxed forward-backward-forward algorithm with alternated inertial step : weak and linear convergence

Shehu, Yekini; Liu, Lulu; Dong, Qiao-Li; Yao, Jen Chih - In: Networks and spatial economics : a journal of … 22 (2022) 4, pp. 959-990

Persistent link: https://www.econbiz.de/10013455479

Goodness-of-fit test for a parametric survival function with cure fraction

Geerdens, Candida; Janssen, Paul; Van Keilegom, Ingrid - 2018

Persistent link: https://www.econbiz.de/10012050828

Technical note : approximating systems fed by poisson processes with rapidly changing arrival rates

Zheng, Zeyu; Honnappa, Harsha; Glynn, Peter W. - In: Operations research 69 (2021) 5, pp. 1566-1574

Persistent link: https://www.econbiz.de/10012660307

Bootstrapping non-stationary stochastic volatility

Boswijk, Herman Peter; Cavaliere, Giuseppe; Georgiev, Iliyan - In: Journal of econometrics 224 (2021) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10013275368

Stable weak approximation at work in index-linked catastrophe bond pricing

Burnecki, Krzysztof; Giuricich, Mario Nicoló - In: Risks 5 (2017) 4, pp. 1-19

severity data are assumed to follow a heavy-tailed law (in that only the first moment is assumed to exist). By using the weak … convergence of compound renewal processes to a-stable Lévy motion, we derive such weak approximations. Their applicability is then …

Persistent link: https://www.econbiz.de/10011996558

Probability measures on product spaces with uniform metrics

Hellwig, Martin - 2017

topology of weak convergence on the space of Borel measures is metrizable by both the Prohorov metric and the bounded Lipschitz …

Persistent link: https://www.econbiz.de/10011688381

Stable weak approximation at work in index-linked catastrophe bond pricing

Burnecki, Krzysztof; Giuricich, Mario Nicoló - In: Risks : open access journal 5 (2017) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10011783782

Probability measures on product spaces with uniform metrics

Hellwig, Martin - 2017

topology of weak convergence on the space of Borel measures is metrizable by both the Prohorov metric and the bounded Lipschitz …

Persistent link: https://www.econbiz.de/10011645941

Improving convergence of binomial schemes and the Edgeworth expansion

Bock, Alona; Korn, Ralf - In: Risks 4 (2016) 2, pp. 1-22

Binomial trees are very popular in both theory and applications of option pricing. As they often suffer from an irregular convergence behavior, improving this is an important task. We build upon a new version of the Edgeworth expansion for lattice models to construct new and quickly converging...

Persistent link: https://www.econbiz.de/10011709556