Related papers: A note on the Cobb-Douglas function
We consider "time-of-use" pricing as a technique for matching supply and demand of temporal resources with the goal of maximizing social welfare. Relevant examples include energy, computing resources on a cloud computing platform, and…
Scaling-invariant functions preserve the order of points when the points are scaled by the same positive scalar (with respect to a unique reference point). Composites of strictly monotonic functions with positively homogeneous functions are…
We generalize the notion of the submartingale property and Doob's inequality. Furthermore, we show how the latter leads to new inequalities for several stochastic processes: certain time series, Levy processes, random walks, processes with…
Recently, for the joint partial sum and partial maxima processes constructed from linear processes with independent identically distributed innovations that are regularly varying with tail index $\alpha \in (0, 2)$, a functional limit…
Consider a real-valued function that can only be observed with stochastic noise at a finite set of design points within a Euclidean space. We wish to determine whether there exists a convex function that goes through the true function…
Partiality is a natural phenomenon in computability that we cannot get around. So, the question is whether we can give the areas where partiality occurs, that is, where non-termination happens, more structure. In this paper we consider…
This note concerns bounded derivations on maximal triangular operator algebras on a Hilbert space. Given any bounded derivation $\delta$ on a maximal triangular algebra whose invariant lattice is continuous at 1, an operator which is shown…
We consider a nonlinear pricing environment with private information. We provide profit guarantees (and associated mechanisms) that the seller can achieve across all possible distributions of willingness to pay of the buyers. With a…
The classical Davis inequality $\mathbb{E} Mf\simeq \mathbb{E} Sf$, where $(Sf)^2=\sum_{k}\left|f_{k}-f_{k-1}\right|^2$ is the square function and $Mf= \sup_n \left|f_n\right|$ is the maximal function, is true with a universal constant for…
In recent years economics agents and systems have became more and more interacting and juxtaposed, therefore the social sciences need to rely on the studies of physical sciences to analyze this complexity in the relationships. According to…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
Let us say that a convex function f\colon C\to[-\infty,\infty] on a convex set C\subseteq\R is infimum-stable if, for any sequence (f_n) of convex functions f_n\colon C\to[-\infty,\infty] converging to f pointwise, one has \inf_C…
With the increasing interest in applying the methodology of difference-of-convex (dc) optimization to diverse problems in engineering and statistics, this paper establishes the dc property of many well-known functions not previously known…
A classical problem in ergodic continuous time control consists of studying the limit behavior of the optimal value of a discounted cost functional with infinite horizon as the discount factor $\lambda$ tends to zero. In the literature,…
This works aims at understanding further convergence properties of first order local search methods with complex geometries. We focus on the composite optimization model which unifies within a simple formalism many problems of this type. We…
We derive a discrete version of the results of our previous work. If $M$ is a compact metric space, $c : M\times M \to \mathbb R$ a continuous cost function and $\lambda \in (0,1)$, the unique solution to the discrete $\lambda$-discounted…
In this paper, we study the martingale property for a Scott correlated stochastic volatility model, when the correlation coefficient between the Brownian motion driving the volatility and the one driving the asset price process is…
We present a numerical iterative optimization algorithm for the minimization of a cost function consisting of a linear combination of three convex terms, one of which is differentiable, a second one is prox-simple and the third one is the…
This paper presents a synthesis of the theories of portfolio generating functions and option pricing. The theory of portfolio generation is extended to measure the value of portfolios generated by positive C^{2,1} functions of asset prices…
Consider the commutative algebra $\mathbb{B}$ over the field of complex numbers with the bases $\{e_1,e_2\}$ such that %satisfying the conditions $(e_1^2+e_2^2)^2=0$, $e_1^2+e_2^2\ne 0$. %$\mathbb{B}$ is unique. Let $D$ be a domain in…