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16 papers · 1 filter
From Markovian to non-Markovian persistence exponents
Julien Randon-Furling
We establish an exact formula relating the survival probability for certain Lévy flights (viz. asymmetric -stable processes where ) with the survival probability for the…
A Strongly Convergent Primal-Dual Method for Nonoverlapping Domain Decomposition
Hédy Attouch, Luis M. Briceño-Arias, Patrick L. Combettes
We propose a primal-dual parallel proximal splitting method for solving domain decomposition problems for partial differential equations. The problem is formulated via minimization…
Communication impacting financial markets
Jorgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas +1
Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets th…
On the multiplier rules
Joël Blot
We establish new results of first-order necessary conditions of optimality for finite-dimensional problems with inequality constraints and for problems with equality and inequality…
A Methodology for the Diagnostic of Aircraft Engine Based on Indicators Aggregation
Tsirizo Rabenoro, Jérôme Lacaille, Marie Cottrell +1
Aircraft engine manufacturers collect large amount of engine related data during flights. These data are used to detect anomalies in the engines in order to help companies optimize…
Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input
Peter Martey Addo
This study defines a multivariate Self--Exciting Threshold Autoregressive with eXogenous input (MSETARX) models and present an estimation procedure for the parameters. The conditio…