1,720,970 research outputs found
Lipschitzian Estimates in Discrete-Time Constrained Optimal Control
No full textThis paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. In particular, we derive estimates of the Lipschitz constant of the value function, by means of a regularity result of the multifunction that defines the admissible control set
On the domain of the implicit function and applications
Full text link The implicit function theorem asserts that there exists a ball of nonzero radius within which one can express a certain subset of variables, in a system of equations, as functions of the remaining variables. We derive a lower bound for the radius of this ball in the case of Lipschitz maps. Under a sign-preserving condition, we prove that an implicit function exists in the case of a set of inequalities. Also in this case, we state an estimate for the size of the domain. An application to the local Lipschitz behavior of solution maps is discussed.</p
Existence of solutions to a class of weakly coercive diffusion equations with singular initial data
No full textWe prove existence of suitably defined {\em measure-valued solutions} to the homogeneous Dirichlet initial-boundary value problem with a Radon measure as initial datum, for a class of degenerate parabolic equations without strong coerciveness.
The notion of solution is natural, since it is obtained by a suitable {\em approximation procedure} which can be regarded as a first step towards a continuous dependence on the initial data. Moreover, we also discuss some qualitative properties of the constructed solutions concerning the evolution of their singular part
Risk Neutral Valuation of Inflation-Linked Interest Rate Derivatives
No full textWe propose a model for the joint evolution of European inflation, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for a contingent claim depending potentially on all three factors. This valuation equation reduces to a finite number of Cauchy problems for a degenerate parabolic PDE with non-local terms. We show that the price of the contingent claim is the only viscosity solution of the valuation equation. We also provide an efficient numerical scheme to compute the price and implement it in an example
Optimal Asset-Liability Management with Constraints: A Dynamic Programming Approach.
No full textThis paper is devoted to the analysis of a discrete-time dynamic programming algorithm for the numerical solution of an optimal asset-liability management model with transaction costs and in presence of constraints. By exploiting the financial properties of the model, we propose an approximation method based on the classical dynamic programming algorithm, which reduces significantly the computational and storage requirements of the algorithm and avoids any artificial boundary condition. The regularity of the value function is used to estimate the global error introduced by the numerical procedure and to prove a convergence result
Inflation, Central Bank and short-term interest rates: A new model, with calibration to market data
Full text linkIn this paper, we propose a new model for the joint evolution of the inflation rate, the Central Bank official interest rate and the short-term interest rate. Our model takes into account the fact that the Central Bank interest rate changes at random times, inflation is measured at fixed, regular times, while the short-term interest rate evolves essentially continuously. We derive the valuation equation for a contingent claim and
show that it has a unique solution. The payoff may depend on all three economic factors of the model and the discount factor is allowed to include inflation. Our model is not an affine model. Although in some special cases the solution of the valuation equation might admit a closed form, in general it has to be solved numerically. This can be done efficiently by the algorithm that we provide. Taking as a benchmark the model of [H. W. Ho, H. H. Huang & Y. Yildirim (2014) Affine model of inflation-indexed derivatives and inflation risk premium, European Journal of Operational
Research 235, 159–169], we show that our model performs better on European market data from 2008 to 2015. Our model uses many fewer parameters than the benchmark model: This is advantageous from the numerical point of view and suggests that our model describes the behavior of the economic factors more closely
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
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