Related papers: Law-Invariant Return and Star-Shaped Risk Measures
Sufficient conditions for comparing the convolutions of heterogeneous gamma random variables in terms of the usual stochastic order are established. Such comparisons are characterized by the Schur convexity properties of the cumulative…
Meta-conformal invariance is a novel class of dynamical symmetries, with dynamical exponent $z=1$, and distinct from the standard ortho-conformal invariance. The meta-conformal Ward identities can be directly read off from the Lie algebra…
We present a theory of expected utility with state-dependent linear utility functions for monetary returns, that incorporates the possibility of loss-aversion. Our results relate to first order stochastic dominance, mean-preserving spread,…
In this note we provide a full conjugacy and subdifferential calculus for convex convex-composite functions in finite-dimensional space. Our approach, based on infimal convolution and cone-convexity, is straightforward and yields the…
We introduce a polynomial time algorithm for optimizing the class of star-convex functions, under no restrictions except boundedness on a region about the origin, and Lebesgue measurability. The algorithm's performance is polynomial in the…
In recent years, stochastic dominance for independent and identically distributed (iid) infinite-mean random variables has received considerable attention. The literature has identified several classes of distributions of nonnegative random…
We investigate variants of a Three Circles type Theorem in the context of \mathcal{Q}-valued functions. We prove some convexity inequalities related to the L^{2} growth function in the \mathcal{Q}-valued settings. Optimality of these…
This current article aims to study a new subclass of meromorphic functions with positive coefficients by reconstructing a new operator in the punctured open disc. Also, some geometric properties are considered and investigated, such results…
Asymptotic laws of records values have usually been investigated as limits in type. In this paper, we use functional representations of the tail of cumulative distribution functions in the extreme value domain of attraction to directly…
We report our efforts to constrain the form of the low-mass star and brown dwarf mass function via Bayesian inference. Recent surveys of M, L, and T dwarfs in the local solar neighborhood are an essential component of our study.…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
Bairamov et al. (Aust N Z J Stat 47:543-547, 2005) characterize the exponential distribution in terms of the regression of a function of a record value with its adjacent record values as covariates. We extend these results to the case of…
We explain the exact meaning of a statement we made in a previous paper on invariants, namely that a complex-valued function of the data of the functional equation of an $L$-function is an invariant if and only if it is stable under the…
We consider the class univalent log-harmonic mappings on the unit disk. Firstly, we obtain necessary and sufficient conditions for a complex-valued continuous function to be starlike or convex in the unit disk. Then we present a general…
In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-valued measures with the same dimension as the underlying risk…
The characteristic functional is the infinite-dimensional generalization of the Fourier transform for measures on function spaces. It characterizes the statistical law of the associated stochastic process in the same way as a characteristic…
This paper is devoted to a systematic study and characterizations of the fundamental notions of variational and strong variational convexity for lower semicontinuous functions. While these notions have been quite recently introduced by…
A plethora of spaces in Functional Analysis (Braun-Meise-Taylor and Carleman ultradifferentiable and ultraholomorphic classes; Orlicz, Besov, Lipschitz, Lebesque spaces, to cite the main ones) are defined by means of a weighted structure,…
We conduct numerical experiments to determine the density probability distribution function (PDF) produced in supersonic, isothermal, self-gravitating turbulence of the sort that is ubiquitous in star-forming molecular clouds. Our…
Risk measures connect probability theory or statistics to optimization, particularly to convex optimization. They are nowadays standard in applications of finance and in insurance involving risk aversion. This paper investigates a wide…