Titlebook: Optimality and Risk - Modern Trends in Mathematical Finance; The Kabanov Festschr Freddy Delbaen,Miklós Rásonyi,Christophe Stricker Book 20

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,Long Time Growth Optimal Portfolio with Transaction Costs,oportional plus proportional to the volume of transaction are considered. An obligatory diversification is imposed, which allows the process of portions of capital invested in assets to be ergodic. Existence of solutions to suitable Bellman equations is proved and the form of optimal strategies is s

maculated

On the Approximation of Geometric Fractional Brownian Motion,theorem by Gaigalas and Kaj in (Bernoulli 9:671–703, .). We analyze the central limit theorem of Gaigalas and Kaj from the point of view of semimartingale limit theorems to have a better understanding of the arbitrage in the limit model. With this approximation we associate the corresponding pricing

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Optimality and Risk - Modern Trends in Mathematical FinanceThe Kabanov Festschr

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On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures,r structure in .—.—that enables the simplified representation. One main application of these results leads to the study of convex risk measures defined on Orlicz spaces and of their dual representation.

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Christopher Hill,Chia-Yi Lin,Hsin Yuan Laistructures (“torus”, “two-measured circulant”, “hypercube”) with faulty elements (processor nodes and links) is investigated. It is shown that: 1) onemeasured program structures mapped better than two-measured structures; 2) when failures are injected to the DCS structure the one-measured structures

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Paul Seniorory in a network from repeated geodetic data. This is known as the problem of kinematic adjustment of geodetic deformation networks..There have been different approaches to this problem. One is based on the separate adjustments of the network for each epoch, assuming that the geodetic network during

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Wolfgang Preefamous scientists for which they are actually not known.ProvFeatures 25 different scientists and the ideas which may not have made them famous, but made history….Typically, we remember our greatest scientists from one single invention, one new formula or one incredible breakthrough. This narrow pers