Related papers: Asymptotic Linearity of Consumption Functions and …
The output distribution, when rate is above capacity, is investigated. It is shown that there is an asymptotic equipartition property (AEP) of the typical output sequences, independently of the specific codebook used, as long as the…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. A non-Markovian environment with unbounded parameters is considered, which is more realistic in practical financial…
A goodness-of-fit index measures the consistency of consumption data with a given model of utility-maximization. We show that for the class of well-behaved (i.e., continuous and increasing) utility functions there is no goodness-of-fit…
We study the existence, strong consistency and asymptotic normality of estimators obtained from estimating functions, that are p-dimensional martingale transforms. The problem is motivated by the analysis of evolutionary clustered data,…
We explore the implications of a preference ordering for an investor-consumer with a strong preference for keeping consumption above an exogenous social norm, but who is willing to tolerate occasional dips below it. We do this by splicing…
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal…
This paper studies the differentiability of the value function of switched linear systems under arbitrary switching and controlled switching, referred to as worst-case and optimal value functions respectively. First, we show that the value…
In this paper, we study the functional linear multiplicative model based on the least product relative error criterion. Under some regularization conditions, we establish the consistency and asymptotic normality of the estimator. Further,…
In the paper we develop an approach to asymptotic normality through factorial cumulants. Factorial cumulants arise in the same manner from factorial moments, as do (ordinary) cumulants from (ordinary) moments. Another tool we exploit is a…
We study an intertemporal consumption and portfolio choice problem under Knightian uncertainty in which agent's preferences exhibit local intertemporal substitution. We also allow for market frictions in the sense that the pricing…
Large and moderate deviation probabilities play an important role in many applied areas, such as insurance and risk analysis. This paper studies the exact moderate and large deviation asymptotics in non-logarithmic form for linear processes…
We analyze a stochastic approximation algorithm for decision-dependent problems, wherein the data distribution used by the algorithm evolves along the iterate sequence. The primary examples of such problems appear in performative prediction…
This work concerns the estimation of multidimensional nonlinear regression models using multilayer perceptrons (MLPs). The main problem with such models is that we need to know the covariance matrix of the noise to get an optimal estimator.…
This paper solves the problem of optimal dynamic consumption, investment, and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect Gompertz' law and investment opportunities are constant.…
For optimal control problems on finite graphs in continuous time, the dynamic programming principle leads to value functions characterized by systems of nonlinear ordinary differential equations. In this paper, we consider the case of…
In this paper we introduce several extremal sequences of points on locally compact metric spaces and study their asymptotic properties. These sequences are defined through a greedy algorithm by minimizing a certain energy functional whose…
Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves…
Suppose that $m_n$ observations are made from the distribution $\mathbf {R}$ and $n-m_n$ from the distribution $\mathbf {S}$. Associate with each pair, $x$ from $\mathbf {R}$ and $y$ from $\mathbf {S}$, a nonnegative score $\phi(x,y)$. An…
We study the average asymptotic growth rate of cells in randomly fluctuating environments, with multiple viable phenotypes per environment. We show that any information processing strategy has an asymptotic growth rate, which is the sum of:…
This paper addresses a distributed optimization problem in a communication network where nodes are active sporadically. Each active node applies some learning method to control its action to maximize the global utility function, which is…