Related papers: Weak convergence implies convergence in mean withi…
For non-uniformly hyperbolic dynamical systems we consider the time series of maxima along typical orbits. Using ideas based upon quantitative recurrence time statistics we prove convergence of the maxima (under suitable normalization) to…
We estimate contrasts $\int_0 ^1 \rho(F^{-1}(u)-G^{-1}(u))du$ between two continuous distributions $F$ and $G$ on $\mathbb R$ such that the set $\{F=G\}$ is a finite union of intervals, possibly empty or $\mathbb{R}$. The non-negative…
In this note, we derive a stability and weak-strong uniqueness principle for volume-preserving mean curvature flow. The proof is based on a new notion of volume-preserving gradient flow calibrations, which is a natural extension of the…
This work derives an approximate analytical single period solution of the portfolio choice problem for the power utility function. It is possible to do so if we consider that the asset returns follow a multivariate normal distribution. It…
A new approach to prove weak convergence of random polytopes on the space of compact convex sets is presented. This is used to show that the profile of the rescaled Schl\"afli random cone of a random conical tessellation generated by $n$…
In this paper, we revisit the relationship between investors' utility functions and portfolio allocation rules. We derive portfolio allocation rules for asymmetric Laplace distributed $ALD(\mu,\sigma,\kappa)$ returns and compare them with…
The extremes of a stationary time series typically occur in clusters. A primary measure for this phenomenon is the extremal index, representing the reciprocal of the expected cluster size. Both a disjoint and a sliding blocks estimator for…
A new class of probability distributions closely connected to generalized hyperbolic distributions is introduced. It is more adapted to study the distributions of sums of random number of random variables. The properties of these…
The morphology of galaxy clusters reflects the epoch at which they formed and hence depends on the value of the mean cosmological density, Omega. Recent studies have shown that the distribution of dark matter in clusters can be mapped from…
This work deals with the asymptotic distribution of both potentials and couplings of entropic regularized optimal transport for compactly supported probabilities in $\R^d$. We first provide the central limit theorem of the Sinkhorn…
Given a convergence theorem in analysis, under very general conditions a model-theoretic compactness argument implies that there is a uniform bound on the rate of metastability. We illustrate with three examples from ergodic theory.
The {\it curvature} and the {\it reduced curvature} are basic differential invariants of the pair: (Hamiltonian system, Lagrange distribution) on the symplectic manifold. We show that negativity of the curvature implies that any bounded…
We investigate three aspects of weak* convergence of the $n$-step distributions of random walks on finite volume homogeneous spaces $G/\Gamma$ of semisimple real Lie groups. First, we look into the obvious obstruction to the upgrade from…
In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corresponding utility maximization problems. Moreover, we…
A note on the property of weak contraction, which implies that all bounded solutions of a nonlinear system converge to a (possibly non-unique) equilibrium. We provide some simple results about interconnections of such systems, and a brief…
We present a novel and accurate approximation for the distribution of the sum of equally correlated Nakagami-m variates. Ascertaining on this result we study the performance of Equal Gain Combining (EGC) receivers, operating over equally…
We measure the distribution of velocity dispersions of groups of galaxies identified in the UZC catalog; we use the distribution to derive the group mass function. We introduce a new method which makes efficient use of the entire magnitude…
Motivated in part by understanding average case analysis of fundamental algorithms in computer science, and in part by the wide array of network data available over the last decade, a variety of random graph models, with corresponding…
We study mean-risk optimal portfolio problems where risk is measured by Recovery Average Value at Risk, a prominent example in the class of recovery risk measures. We establish existence results in the situation where the joint distribution…
We study the well-known problem of estimating a sparse $n$-dimensional unknown mean vector $\theta = (\theta_1, ..., \theta_n)$ with entries corrupted by Gaussian white noise. In the Bayesian framework, continuous shrinkage priors which can…