Related papers: Log-concave functions and transformations thereof
Decision maker's preferences are often captured by some choice functions which are used to rank prospects. In this paper, we consider ambiguity in choice functions over a multi-attribute prospect space. Our main result is a robust…
The minimality of the penalization function associated with a convex risk measure is analyzed in this paper. First, in a general static framework, we provide necessary and sufficient conditions for a penalty function defined in a convex and…
In this paper we extend some notions, previously defined for log-concave functions, to the larger domain of so-called {\alpha}-concave functions. We begin with a detailed discussion of support functions - first for log-concave functions,…
It is shown that for a given log-concave function, its symmetric decreasing rearrangement is always harder to approximate in the symmetric difference metric by inner log-linearizations with a fixed number of break points. This extends a…
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth…
Penalized likelihood methods are fundamental to ultra-high dimensional variable selection. How high dimensionality such methods can handle remains largely unknown. In this paper, we show that in the context of generalized linear models,…
We derive two concentration inequalities for linear functions of log-concave distributions: an enhanced version of the classical Brascamp--Lieb concentration inequality, and an inequality quantifying log-concavity of marginals in a manner…
We provide results demonstrating the smoothness of some marginal log-linear parameterizations for distributions on multi-way contingency tables. First we give an analytical relationship between log-linear parameters defined within different…
In this paper, we study some properties such as the monotonicity, logarithmically complete monotonicity, logarithmic convexity, and geometric convexity, of the combinations of gamma function and power function. The results we obtain…
An inequality of Brascamp and Lieb provides a bound on the covariance of two functions with respect to log-concave measures. The bound estimates the covariance by the product of the $L^2$ norms of the gradients of the functions, where the…
The paper is devoted to the problem of exact calculation of the norms in ideal spaces for monotone operators on the cones of functions with monotonicity properties. We implement a general approach to this problem that covers many concrete…
In this paper we generalize the estimation-control duality that exists in the linear-quadratic-Gaussian setting. We extend this duality to maximum a posteriori estimation of the system's state, where the measurement and dynamical system…
The logarithmic slope of the diffractive structure function is a potential observable scanning the hard and soft contributions in diffraction, allowing to disentangle the QCD dynamics. We report our calculations concerning this quantity, in…
Rough volatility models are very appealing because of their remarkable fit of both historical and implied volatilities. However, due to the non-Markovian and non-semimartingale nature of the volatility process, there is no simple way to…
We discuss interplays between log-concave functions and log-concave sequences. We prove a Bernstein-type theorem, which characterizes the Laplace transform of log-concave measures on the half-line in terms of log-concavity of the…
We point out the connection of the so-called H\^opital-style rules for monotonicity and oscillation to some well-known properties of concave/convex functions. From this standpoint, we are able to generalize the rules under no…
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\underline{\underline{E}}$ onto a non-random vector. The scaling…
In the paper, the authors establish an inequality involving exponential functions and sums, introduce a ratio of many gamma functions, discuss properties, including monotonicity, logarithmic convexity, (logarithmically) complete…
Eigenvalues inequalities involving (log) convex/concav functions and Hermitian matrices, positive unital maps are considered. Simple proofs of Bhatia-Kittaneh inequality and Naimark dilation theorem are given.
The most important open problem in Monotone Operator Theory concerns the maximal monotonicity of the sum of two maximally monotone operators provided that Rockafellar's constraint qualification holds. In this paper, we prove the maximal…