1,720,964 research outputs found
Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems
No full textIn this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then, using the dynamic programming approach for infinite-dimensional systems, we prove that the value function is the unique viscosity solution of the infinite-dimensional Hamilton-Jacobi-Bellman equation. We apply these results to problems coming from economics: stochastic optimal advertising problems and stochastic optimal investment problems with time-to-build
The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
No full textIn this work we study the averaging principle for non-autonomous slow-fast systems of stochastic differential equations. In particular in the first part we prove the averaging principle assuming the sublinearity, the Lipschitzianity and the Holder's continuity in time of the coefficients, an ergodic hypothesis and an L^2-bound of the fast component. In this setting we prove the weak convergence of the slow component to the solution of the averaged equation. Moreover we provide a suitable dissipativity condition under which the ergodic hypothesis and the L^2-bound of the fast component, which are implicit conditions, are satisfied. In the second part we propose a financial application: we consider a slow-fast local stochastic volatility model and prove the weak convergence of the model to a local volatility one. Then under a risk neutral measure we show that the prices of the derivatives, possibly path-dependent, converge to the ones calculated using the limit model
The order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces
No full textIn this work we are concerned with the study of the strong order of
convergence in the averaging principle for slow-fast systems of stochastic
evolution equations in Hilbert spaces with additive noise. In particular the
stochastic perturbations are general Wiener processes, i.e their covariance
operators are allowed to be not trace class. We prove that the slow component
converges strongly to the averaged one with order of convergence which is
known to be optimal. Moreover we apply this result to a slow-fast stochastic
reaction diffusion system where the stochastic perturbation is given by a white
noise both in time and space
Optimal Control of Stochastic Delay Differential Equations and Applications to Path-Dependent Financial and Economic Models
Full text linkIn this manuscript we consider a class of optimal control problems of stochastic differential delay equations. First, we rewrite the problem in a suitable infinite-dimensional Hilbert space. Then, using the dynamic programming approach, we characterize the value function of the problem as the unique viscosity solution of the associated infinite-dimensional Hamilton-Jacobi-Bellman equation. Finally, we prove a C 1 Alpha partial regularity of the value function. We apply these results to path dependent financial and economic problems (Merton-like portfolio problem and optimal advertising)
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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