Now showing items 1-4 of 4

    • Adaptive mixture methods based on Bregman divergences 

      Donmez, M. A.; Inan, H. A.; Kozat, S. S. (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 

      Ararat, Çağın; Rudloff, B. (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 

      Üstünel, Ali Süleyman (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 

      Ararat, C.; Hamel, A. H.; Rudloff, B. (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 ...