Abstract A robust identification approach for a class of switching processes named PWARX (piecewise autoregressive exogenous) is developed in this article. It proposed that the problem can be formulated and solved within EM (expectation‐maximization) algorithm framework. However, unlike regular which objective function maximization step built upon assumption noise comes from single distribution, contaminated Gaussian distribution utilized process constructing function, effectively makes...

This article solves the portfolio choice problem in a multi-asset jump-diffusion model. We decompose optimal weight into components that correspond to collection of fictitious economies, one which is standard diffusion economy, and others are pure-jump economies. derive semi-closed-form solution for weight, investigate its properties with or without ambiguity aversion. find an investor may not reduce her investment risky assets when facing more frequent jumps, as suggested by single-asset...

Quantile estimation has become increasingly important, particularly in the financial industry, where value at risk (VaR) emerged as a standard measurement tool for controlling portfolio risk. In this paper, we analyze probability that simulation-based quantile estimator fails to lie prespecified neighborhood of true quantile. First, show error converges zero exponentially fast with sample size negatively dependent sampling. Then consider stratified estimators and these can be guaranteed 0...

This paper formulates a portfolio choice problem in multiasset incomplete market characterized by ambiguous jumps and arbitrary tail assumptions. We derive the optimal closed form through decomposition approach. show that, due to fear of incidents, an investor diminishes diversification, even more so under heavy-tailed that intensify misspecification concerns. then implement our model international equity markets quantify impact risk on selection, comparisons between normal slowly decaying...

This paper presents a resolution of the paradox proposed by example an economy with complette markets and multiplicityof martingale measures constructed Artzner Heath (1995). The lies in noting that completeness is respect to topology on space cash flows connected uniqueness price functional topological dual space. Uniqueness may be lost outside this what occurs counterexample Heath.

The pricing of American‐style options by simulation‐based methods is an important but difficult task primarily due to the feature early exercise, particularly for high‐dimensional derivatives. In this paper, a bundling method based on quasi‐Monte Carlo sequences proposed price options. substantially extends Tilley's algorithm higher‐dimensional situations. By using low‐discrepancy points, approach partitions state space and forms bundles. A dynamic programming then applied bundles estimate...

This paper studies the dynamic portfolio choice problem with ambiguous jump risks in a multidimensional jump-diffusion framework. We formulate continuous-time model of incomplete market uncertain jumps. develop an efficient pathwise optimization procedure based on martingale methods and minimax results to obtain closed-form solutions for indirect utility function probability worst scenario. then introduce orthogonal decomposition method derive optimal strategy explicitly under ambiguity...

Quasi–Monte Carlo methods overcome the problem of sample clustering in regular Monte simulation and have been shown to improve efficiency derivatives pricing literature when price is expressed as a multidimensional integration integrand suitably smooth. For portfolio value-at-risk (VaR) problems, distribution value change based on expectation an indicator function, hence discontinuous. The purpose this paper smooth estimation function via Fourier transform so that faster convergence rate...

The derivatives of option prices with respect to underlying parameters are commonly referred as Greeks, and they measure the sensitivities these parameters. When closed-form solutions for do not exist discounted payoff functions options sufficiently smooth, estimating Greeks is computationally challenging could be a burdensome task high-dimensional problems in particular. aim this paper develop new method by using random leastsquares regression. Our approach has several attractive features....

Energy consumption of construction in campus occupies a significant portion quantity energy the total society. College students' per capita is four times higher than national average residents. The potential energy-saving huge. This paper takes Taiyuan university technology as an example to introduce structure monitoring platform and system features. data acquisition processing are detail introduced. In addition, display given form graph-chart, users can choose what kind you want see,...

The asymptotic exponential convergence rate of ordinal comparisons follows from well-known results in large deviations theory, where the critical condition is existence a finite moment generating function. In this note, we show that both necessary and sufficient condition, also how one can recover cases function not finite. particular, by working with appropriately truncated versions original random variables, be recovered.

Underwater vehicles have been developed over the last six decades for potential uses in scientific, commercial, environmental, and military purposes, always utilized to perform difficult tasks cluttered environments such as deep-sea mining, underwater sampling oceanic investigations. Since nonlinear highly coupled dynamics, motion control can be when completing complex tasks. This paper describes implementation of a model predictive controller novel class thruster-driven vehicle. In this...

In the paper, it is introduced that design of a power quality monitoring system based on LabVIEW for factory quality, with as development platform, composed by some functional modules such data acquisition, processing, storage, and report, etc. making an access to Microsoft Access database using LabSQL achieve storage analysis.

Determining the time interval for preventive maintenance is one of most important duties in programming guides. The purpose planning to keep and restore reliability equipment, which means selecting suitable avoid failures before they occur. Existing methods determining a fixed-time always ignore influences such as cumulative failure, overhaul, repair, could cause insufficient or surplus inspection. Therefore, making full use preventative matter being able arrange introduced by stress factors...

Abstract Incorporating renewable energy solutions into the power grid is essential for facilitating a shift in sources. Ensuring effectiveness and dependability of communication technologies within smart distribution grids vital, as these serve link between end users central station, thereby contributing to grid’s stable functioning effective dissemination energy. This study introduces framework that tackles challenges associated with integration multi-source, heterogeneous data grids. The...