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math.PR2017★ 21 cited
Weighted entropy: basic inequalities
Mark Kelbert, Izabella Stuhl, Yuri Suhov
This paper represents an extended version of an earlier note [10]. The concept of weighted entropy takes into account values of different outcomes, i.e., makes entropy context-depe…
math.PR2017
Weighted entropy and optimal portfolios for risk-averse Kelly investments
Mark Kelbert, Izabella Stuhl, Yuri Suhov
Following a series of works on capital growth investment, we analyse log-optimal portfolios where the return evaluation includes `weights' of different outcomes. The results are tw…
math.PR2015
Weak Error for Continuous Time Markov Chains Related to Fractional in Time P(I)DEs
M. Kelbert, V. Konakov, S. Menozzi
We provide sharp error bounds for the difference between the transition densities of some multidimensional Continuous Time Markov Chains (CTMC) and the fundamental solutions of som…