Related papers: Law-Invariant Return and Star-Shaped Risk Measures
We introduce functional Wulff shapes based on the classical construction for compact convex sets. With this new tool, we establish a functional version of Aleksandrov's variational lemma in the family of convex functions with compact…
Let $V\in C^2(\R^d)$ such that $\mu_V(\d x):= \e^{-V(x)}\,\d x$ is a probability measure, and let $\aa\in (0,2)$. Explicit criteria are presented for the $\aa$-stable-like Dirichlet form $$\E_{\aa,V}(f,f):= \int_{\R^d\times\R^d}…
In this paper, we consider functionals of the form $H_\alpha(u)=F(u)+\alpha G(u)$ with $\alpha\in[0,+\infty)$, where $u$ varies in a set $U\neq\emptyset$ (without further structure). We first revisit a result stating that, excluding at most…
Hyper-Positive Real, matrix-valued, rational functions are associated with absolute stability (the Lurie problem). Here, quantitative subsets of Hyper-positive functions, related through nested inclusions, are introduced. Structurally, this…
The main goal of this paper is to obtain sufficient conditions so that Le Roy type functions and multivariate Le Roy type functions satisfy subordination of exponential function. Moreover conditions on parameters have been derived to claim…
Stochastic non-local conservation law equation in the presence of discontinuous flux functions is considered in an $L^{1}\cap L^{2}$ setting. The flux function is assumed bounded and integrable (spatial variable). Our result is to prove…
In the literature on risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable contingent claims. Cash subadditivity has been traditionally…
We develop a complete theory of non-formal deformation quantization exhibiting a nonzero minimal uncertainty in position. An appropriate integral formula for the star-product is introduced together with a suitable space of functions on…
This paper deals with shape optimization for elastic materials under stochastic loads. It transfers the paradigm of stochastic dominance, which allows for flexible risk aversion via comparison with benchmark random variables, from…
The paper addresses the question whether a random functional, a map from a set $E$ into the space of real-valued measurable functions on a probability space, has a measurable version with values in ${\mathbb R}^E$. Similarly, one may ask…
In this article we study the structure of $\Gamma$-invariant spaces of $L^2(\bf R)$. Here $\bf R$ is a second countable LCA group. The invariance is with respect to the action of $\Gamma$, a non commutative group in the form of a semidirect…
This paper addresses the study of novel constructions of variational analysis and generalized differentiation that are appropriate for characterizing robust stability properties of constrained set-valued mappings/multifunctions between…
In this short note, we show that every convex, order bounded above functional on a Frechet lattice is automatically norm continuous. This improves a result in \cite{RS06} and applies to many deviation and variability measures. We also show…
Regularisation allows one to handle ill-posed inverse problems. Here we focus on discrete unfolding problems. The properties of the results are characterised by the consistency between measurements and unfolding result and by the posterior…
Spaces of convex and concave functions appear naturally in theory and applications. For example, convex regression and log-concave density estimation are important topics in nonparametric statistics. In stochastic portfolio theory, concave…
We study the shape of convective rolls in the Marine Atmospheric Boundary Layer from Synthetic Aperture Radar images of the ocean. We propose a multiscale analysis with structure functions which allow an easy generalization to analyse…
In this work we deal with the stochastic homogenization of the initial boundary value problems of monotone type. The models of monotone type under consideration describe the deformation behaviour of inelastic materials with a microstructure…
Smoothness of the subdiagonals of the Cholesky factor of large covariance matrices is closely related to the degrees of nonstationarity of autoregressive models for time series and longitudinal data. Heuristically, one expects for a nearly…
The purpose of this paper is to provide a set of sufficient conditions so that the normalized form of the Fox-Wright functions have certain geometric properties like close-to-convexity, univalency, convexity and starlikeness inside the unit…
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a…