This paper proves the existence of a general equilibrium in a financial model with transaction costs. The general equilibrium is shown to exist in a model with convex trading technology, in which the agents include consumers, production firms, brokers and dealers. When the trading technology is...

This paper studies the parameter estimation problem for Ornstein-Uhlenbeck stochastic volatility models driven by Lévy processes. Estimation is regarded as the principal challenge in applying these models since they were proposed by Barndorff-Nielsen and Shephard [<italic>J. R. Stat. Soc. Ser. B</italic>, 2001,...

PCMs (Phase change materials) are used to enhance the thermal storage capacity of building walls, decrease indoor air temperature fluctuations, and shift peak heat transfer rates to off-peak times. PCM location within building walls is recognized to be critical for the optimum performance of the...

Phase change materials (PCMs) are used to enhance the thermal storage capacity of building walls. PCM incorporation into building walls poses several design challenges; a critical one being the integration method (e.g., micro- vs. macro-encapsulation) as well as the location of PCMs within the...

This article solves the portfolio choice problem in a multi-asset jump-diffusion model. We decompose the optimal portfolio weight into components that correspond to a collection of fictitious economies, one of which is a standard diffusion economy, and the others of which are pure-jump...

The Expectation-Maximization (EM) algorithm is a very popular optimization tool for mixture problems and in particular for model-based clustering problems. However, while the algorithm is convenient to implement and numerically very stable, it only produces local solutions. Thus, it may not...