Related papers: Moment conditions for random coefficient AR($\inft…
In this paper, we propose second-order sufficient optimality conditions for a very general nonconvex constrained optimization problem, which covers many prominent mathematical programs.Unlike the existing results in the literature, our…
For a smooth vectorial stationary Gaussian random field $X : \Omega \times \mathbb{R}^d \to \mathbb{R}^d$, we give necessary and sufficient conditions to have a finite second moment for the number of roots of $X(t) - u$. The results are…
The moment problem in probability theory asks for criteria for when there exists a unique measure with a given tuple of moments. We study a variant of this problem for random objects in a category, where a moment is given by the average…
We derive two-sided bounds for moments of random multilinear forms (random chaoses) with nonnegative coeficients generated by independent nonnegative random variables $X_i$ which satisfy the following condition on the growth of moments:…
We study stationarity and moments properties of some count time series models from contraction and stability properties of iterated random maps. Both univariate and multivariate processes are considered, including the recent multivariate…
Theoretical results for importance sampling rely on the existence of certain moments of the importance weights, which are the ratios between the proposal and target densities. In particular, a finite variance ensures square root convergence…
In this article we study optimal control problems for systems that are affine with respect to some of the control variables and nonlinear in relation to the others. We consider finitely many equality and inequality constraints on the…
We consider Markov processes in continuous time with state space $\posint^N$ and provide two sufficient conditions and one necessary condition for the existence of moments $E(\|X(t)\|^r)$ of all orders $r \in \nat$ for all $t \geq 0$. The…
Most numerical methods developed for solving nonlinear programming problems are designed to find points that satisfy certain optimality conditions. While the Karush-Kuhn-Tucker conditions are well-known, they become invalid when constraint…
We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expressions for…
We first derive the recurisions for integer moments of two-type continuous-state branching processes in L\'{e}vy random environments. Result shows that the $n$th moment of the process is a polynomial of the initial value of the process with…
In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption that the errors are uncorrelated but not necessarily…
Models phrased though moment conditions are central to much of modern inference. Here these moment conditions are embedded within a nonparametric Bayesian setup. Handling such a model is not probabilistically straightforward as the…
This paper extends the model reduction method by the operator projection to the one-dimensional special relativistic Boltzmann equation. The derivation of arbitrary order globally hyperbolic moment system is built on our careful study of…
In this paper relations among some kinds of cumulative entropies and moments of order statistics are presented. By using some characterizations and the symmetry of a non negative and absolutely continuous random variable X, lower and upper…
We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…
We consider the random conductance model in a stationary and ergodic environment. Under suitable moment conditions on the conductances and their inverse, we prove a quenched invariance principle for the random walk among the random…
We study conditions under which integer sequences with independent, identically distributed gaps are asymptotically $k$-complete, meaning that every sufficiently large integer can be represented as the sum of exactly $k$ distinct elements…
Positive semidefiniteness, recursiveness, and the variety condition of a moment matrix are necessary and sufficient conditions to solve the quadratic and quartic moment problems. Also, positive semidefiniteness, combined with another…
In this paper, we theoretically prove a set of fundamental conditions pertaining discrete velocity sets and corresponding weights. These conditions provide sufficient conditions for a priori formulation of lattice Boltzmann models that…