Related papers: Structure Preserving Equivalent Martingale Measure…
In the high-dimensional sparse modeling literature, it has been crucially assumed that the sparsity structure of the model is homogeneous over the entire population. That is, the identities of important regressors are invariant across the…
In this study, we explore the partial identification of nonseparable models with continuous endogenous and binary instrumental variables. We show that the structural function is partially identified when it is monotone or concave in the…
The convergence of stochastic integrals is essential to stochastic analysis, especially in applications to mathematical finance, where they model the gains associated with a self-financing strategy. However, Fatou convergence of…
This paper provides a dynamical frame to study non-autonomous parabolic partial differential equations with finite delay. Assuming monotonicity of the linearized semiflow, conditions for the existence of a continuous separation of type II…
The strong convergence of the semi-implicit Euler-Maruyama (EM) method for stochastic differential equations with non-linear coefficients driven by a class of L\'evy processes is investigated. The dependence of the convergence order of the…
In this paper, we treat extended balancing for continuous-time linear time-invariant systems, and we address the problem of structure-preserving model reduction of the subclass of port-Hamiltonian systems. We establish sufficient conditions…
A structure-preserving Finite Element Method (FEM) for the transport equation in one- and two-dimensional domains is presented. This Distributed Parameter System (DPS) has non-collocated boundary control and observation, and reveals a…
Let $A$ be a pseudo-differential operator with symbol $q(x,\xi)$. In this paper we derive sufficient conditions which ensure the existence of a solution to the $(A,C_c^{\infty}(\mathbb{R}^d))$-martingale problem. If the symbol $q$ depends…
We demonstrate that backward stochastic differential equations (BSDE) may be reformulated as ordinary functional differential equations on certain path spaces. In this framework, neither It\^{o}'s integrals nor martingale representation…
Let $S$ be an additively idempotent semiring and $\mathbf{M}_n(S)$ be the semiring of all $n\times n$ matrices over $S$. We characterize the conditions of when the semiring $\mathbf{M}_n(S)$ is congruence-simple provided that the semiring…
Exact discrete-time models of nonlinear systems are difficult or impossible to obtain, and hence approximate models may be employed for control design. Most existing results provide conditions under which the stability of the approximate…
We introduce a notion of approximate orthogonality preserving mappings between Hilbert $C^*$-modules. We define the concept of $(\delta, \varepsilon)$-orthogonality preserving mapping and give some sufficient conditions for a linear mapping…
A joint conditional autoregressive expectile and Expected Shortfall framework is proposed. The framework is extended through incorporating a measurement equation which models the contemporaneous dependence between the realized measures and…
Model sets (also called cut and project sets) are generalizations of lattices, and multi-component model sets are generalizations of lattices with colourings. In this paper, we study self-similarities of multi-component model sets. The main…
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For L\'evy processes, a widely applied class of stochastic processes, these notions have not been studied. By the…
We study multi-default model which satisfies the quasi-left-continuity, the martingale representation property, the drift multiplier assumption and the full viability. We use $\natural$-model to construct one such model.
Instrumental variables analysis using genetic markers as instruments is now a widely used technique in epidemiology and biostatistics. As single markers tend to explain only a small proportion of phenotypic variation, there is increasing…
We explore the possibility of putting constraints on quintessence models with large-scale structure observations. In particular we compute the linear and second order growth rate of the fluctuations in different flavors of quintessence…
When dealing with Heston's stochastic volatility model, the change of measure from the subjective measure P to the objective measure Q is usually investigated under the assumption that the Feller condition is satisfied. This paper closes…
We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly…