Search Results - subject:"Weak Convergence"

Speeding up the Euler scheme for killed diffusions

Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707

Persistent link: https://www.econbiz.de/10015130359

A unified theory of extreme Expected Shortfall inference

Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024

Persistent link: https://www.econbiz.de/10015097279

On the relation between extremal dependence and concomitants

Khorrami Chokami, Amir; Kratz, Marie - 2023

Persistent link: https://www.econbiz.de/10014327421

Diffusion approximations of the ruin probability for the insurer-Reinsurer model driven by a renewal process

Burnecki, Krzysztof; Teuerle, Marek A.; Wilkowska, … - In: Risks : open access journal 10 (2022) 6, pp. 1-16

approximation presented here is based on the weak convergence of stochastic processes, which enables one to replace the original …

Persistent link: https://www.econbiz.de/10013359170

On approximating solutions to non-monotone variational inequality problems : an approach through the modified projection and contraction method

Duong Viet Thong; Vu Tien Dung; Pham Thi Huong Huyen; … - In: Networks and spatial economics : a journal of … 24 (2024) 4, pp. 789-818

Persistent link: https://www.econbiz.de/10015195230

Alternated inertial subgradient extragradient method for equilibrium problems

Shehu, Yekini; Dong, Qiao-Li; Liu, Lulu; Yao, Jen Chih - In: Top : an official journal of the Spanish Society of … 31 (2023) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10014276684

General conditions of weak convergence of discrete-time multiplicative scheme to asset price with memory

Mišura, Julija S.; Ralchenko, Kostiantyn; Shklyar, S. V. - In: Risks 8 (2020) 1, pp. 1-29

We present general conditions for the weak convergence of a discrete-time additive scheme to a stochastic process with …

Persistent link: https://www.econbiz.de/10013200546

General conditions of weak convergence of discrete-time multiplicative scheme to asset price with memory

Mišura, Julija S.; Ralchenko, Kostiantyn; Shklyar, S. V. - In: Risks : open access journal 8 (2020) 1/11, pp. 1-29

We present general conditions for the weak convergence of a discrete-time additive scheme to a stochastic process with …

Persistent link: https://www.econbiz.de/10012204032

Bootstrapping Non-Stationary Stochastic Volatility

Boswijk, Peter; Cavaliere, Giuseppe; Georgiev, Iliyan; … - 2019

. Consequently, the conventional approaches to proofs of bootstrap consistency, based on the notion of weak convergence in … probability of the bootstrap statistic, fail to deliver the required validity results. Instead, we use the concept of `weak … convergence in distribution' to develop and establish novel conditions for validity of the wild bootstrap, conditional on the …

Persistent link: https://www.econbiz.de/10012233957

Mean field analysis of deep neural networks

Sirignano, Justin; Spiliopoulos, Konstantinos - In: Mathematics of operations research 47 (2022) 1, pp. 120-152

Persistent link: https://www.econbiz.de/10013364855