Search Results - subject:"differentiability"

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

Persistent link: https://www.econbiz.de/10015324975

A neutrosophic differential equation approach for modelling glucose distribution in the bloodstream using neutrosophic sets

Acharya, Ashish; Mahata, Animesh; Mukherjee, Supriya; … - In: Decision analytics journal 8 (2023), pp. 1-11

under Hukuhara differentiability are used to model the amount of glucose distribution and absorption rates in blood …

Persistent link: https://www.econbiz.de/10014516474

Differentiability results and sensitivity calculation for optimal control of incompressible two-phase Navier-Stokes equations with surface tension

Diehl, Elisabeth; Haubner, Johannes; Ulbrich, Michael; … - In: Computational Optimization and Applications 87 (2022) 3, pp. 711-751

the differentiability of the solution with respect to initial and distributed controls for appropriate spaces resulting …. Then we deduce differentiability results for the solution in the physical coordinates. Finally, we state an equivalent … Volume-of-Fluid type formulation and use the obtained differentiability results to derive rigorosly the corresponding …

Persistent link: https://www.econbiz.de/10015192108

Subgradient sampling for nonsmooth nonconvex minimization

Bolte, Jérôme; Le, Tam; Pauwels, Edouard - 2022

Persistent link: https://www.econbiz.de/10012888151

Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models

Francq, Christian; Zakoïan, Jean-Michel - 2022

Persistent link: https://www.econbiz.de/10013162003

Uniform inference for value functions

Firpo, Sergio; Galvao, Antonio Fialho <Jr.>; Parker, Thomas - 2022

Persistent link: https://www.econbiz.de/10013499397

Differentiability results and sensitivity calculation for optimal control of incompressible two-phase Navier-Stokes equations with surface tension

Diehl, Elisabeth; Haubner, Johannes; Ulbrich, Michael; … - In: Computational Optimization and Applications 87 (2022) 3, pp. 711-751

Persistent link: https://www.econbiz.de/10015408297

First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function

Kern, Patrick; Simroth, Axel; Zähle, Henryk - In: Mathematical Methods of Operations Research 92 (2020) 1, pp. 165-197

probabilities. ‘Differentiability’ is obtained for a fairly broad class of MDMs, and the ‘derivative’ is specified explicitly. Our …

Persistent link: https://www.econbiz.de/10014503414

Loss Aversion and the Welfare Ranking of Policy Interventions

Firpo, Sergio; Galvao, Antonio F.; Kobus, Martyna; … - 2020

In this paper we develop theoretical criteria and econometric methods to rank policy interventions in terms of welfare when individuals are loss-averse. The new criterion for "loss aversion-sensitive dominance" defines a weak partial ordering of the distributions of policy-induced gains and...

Persistent link: https://www.econbiz.de/10012207857

Inference on breakdown frontiers

Masten, Matthew A.; Poirier, Alexandre - In: Quantitative Economics 11 (2020) 1, pp. 41-111

Given a set of baseline assumptions, a breakdown frontier is the boundary between the set of assumptions which lead to a specific conclusion and those which do not. In a potential outcomes model with a binary treatment, we consider two conclusions: First, that ATE is at least a specific value...

Persistent link: https://www.econbiz.de/10012215413