Now showing items 1-4 of 4

• Adaptive mixture methods based on Bregman divergences ﻿

(Elsevier, 2013)
We investigate adaptive mixture methods that linearly combine outputs of m constituent filters running in parallel to model a desired signal. We use Bregman divergences and obtain certain multiplicative updates to train ...
• Dual representations for systemic risk measures ﻿

(Springer, 2020)
The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation function and a scalar measure of risk, ...
• Martingale representation for degenerate diffusions ﻿

(Elsevier, 2019)
Let $(W,H,\mu )$ be the classical Wiener space on ${\rm IR}^{d}$. Assume that $X=(X_{t})$ is a diffusion process satisfying the stochastic differential equation $dX_{t}=\sigma (t,X)dB_{t}+b(t,X)dt$, where \$\sigma :[0,1]{\rm ...
• Set-valued shortfall and divergence risk measures ﻿

(World Scientific Publishing, 2017)
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of ...