In this paper, we provide Poincaré-type upper and lower variance bounds for a function g(X) of a discrete integer-valued random variable (r.v.) X, in terms of the (forward) differences of g up to some ...
Abstract: In this article, the locally minimized-variance state estimation problem is investigated for a class of discrete-time nonlinear systems with Lipschitz nonlinearities and binary sensors. The ...
ABSTRACT: Based on utility theory, this paper firstly combined different utility functions with risk aversion coefficient and constructed different kinds of optimizing problems for hedgers to hedge ...
On a certain track team, the runners all take between 4 and 7 minutes to finish a mile. Suppose the probability density function for the length of time it takes a ...
Han, Xiyue , and Alexander Schied. “Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance” (Submitted). http://arxiv.org/abs/2307.02582.
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