Related papers: A Lundberg-type inequality for an inhomogeneous re…
We consider the inverse problem of reconstructing inhomogeneities by performing a finite number of scattering measurements of acoustic type in the time-harmonic setting. We set up the reconstruction as a fully discrete variational problem…
Linear quantile regression models aim at providing a detailed and robust picture of the (conditional) response distribution as function of a set of observed covariates. Longitudinal data represent an interesting field of application of such…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
The central limit theorem of martingales is the fundamental tool for studying the convergence of stochastic processes, especially stochastic integrals and differential equations. In this paper, general central limit theorems and functional…
This paper discusses endogenous treatment models with duration outcomes, competing risks and random right censoring. The endogeneity issue is solved using a discrete instrumental variable. We show that the competing risks model generates a…
This paper considers inference for conditional moment inequality models using a multiscale statistic. We derive the asymptotic distribution of this test statistic and use the result to propose feasible critical values that have a simple…
We find the asymptotic distribution of the sample autocovariances of long-memory processes in cases of finite and infinite fourth moment. Depending on the interplay of assumptions on moments and the intensity of dependence, there are three…
This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common…
In this paper, we first prove the weighted Levin-Cochran-Lee type inequalities on homogeneous Lie groups for arbitrary weights, quasi-norms, and $L^p$-and $L^q$-norms. Then, we derive a sharp weighted inequality involving specific weights…
In this paper, by using the representation theorem for sublinear expectations, we give a simple proof to obtain two inequalities about the sample mean for independent random vectors under sublinear expectations.
For binary outcome models, an endogeneity correction based on nonlinear rank-based transformations is proposed. Identification without external instruments is achieved under one of two assumptions: either the endogenous regressor is a…
In this paper we consider a multivariate risk model with common renewal process, while the logarithmic returns of the insurers investment portfolio, are described by a Levy process. In the two main results are established an asymptotic…
We give a scheme of using the coupling method to obtain strong bounds for the convergence rate of the distribution of the backward renewal process in the total variation distance. This scheme can be applied to a wide class of regenerative…
We consider the problem of an agent who faces losses in continuous time over a finite time horizon and may choose to share some of these losses with a counterparty. The agent is uncertain about the true loss distribution and has multiple…
The main subject of the study in this paper is the simultaneous renewal time for two time-inhomogeneous Markov chains which start with arbitrary initial distributions. By a simultaneous renewal we mean the first time of joint hitting the…
In this paper, we establish an exponential inequality for random fields, which is applied in the context of convergence rates in the law of large numbers and H\"olderian weak invariance principle.
We introduce a multi-parameter generalization of the Lambda-determinant of Robbins and Rumsey, based on the cluster algebra with coefficients attached to a T-system recurrence. We express the result as a weighted sum over alternating sign…
In neuroscience, the time elapsed since the last discharge has been used to predict the probability of the next discharge. Such predictions can be improved taking into account the last two discharge times, and possibly more. Such multi-time…
We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…
Inhomogeneous Kirchhoff type equations with indefinite data are considered. Some necessary and sufficient conditions for the existence of positive solutions of the problem under consideration are presented.