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We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...
OXFORD UNIV PRESS INC2022
In this paper, we investigate Wall-Modeled Large Eddy Simulation (WMLES) in a stairmand high-efficiency cyclone separator at two Reynolds numbers i.e. Re = 33,045 - 280,000. We compute the gas flow using the elliptic relaxation hybrid RANS/LES (ER-HRL). Th ...
Avestia2021
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We analyze the adaptive first order algorithm AMSGrad, for solving a constrained stochastic optimization problem with a weakly convex objective. We prove the O~(t−1/2) rate of convergence for the squared norm of the gradient of Moreau envelope, ...
2021
We study the large deviations of the power injected by the active force for an active Ornstein-Uhlenbeck particle (AOUP), free or in a confining potential. For the free-particle case, we compute the rate function analytically in d-dimensions from a saddle- ...
IOP Publishing Ltd2021
This study aims to explore the possibility of estimating a multitude of kinematic and dynamic quantities using subject-specific musculoskeletal models in real-time. The framework was designed to operate with marker-based and inertial measurement units enab ...
Least squares estimators, when trained on a few target domain samples, may predict poorly. Supervised domain adaptation aims to improve the predictive accuracy by exploiting additional labeled training samples from a source distribution that is close to th ...
In this work we introduce and analyze a novel multilevel Monte Carlo (MLMC) estimator for the accurate approximation of central moments of system outputs affected by uncertainties. Central moments play a central role in many disciplines to characterize a r ...
We prove an asymptotic formula for the second moment of a product of two Dirichlet L-functions on the critical line, which has a power saving in the error term and which is uniform with respect to the involved Dirichlet characters. As special cases we give ...
In distributionally robust optimization the probability distribution of the uncertain problem parameters is itself uncertain, and a fictitious adversary, e.g., nature, chooses the worst distribution from within a known ambiguity set. A common shortcoming o ...
Weak lensing, which is the deflection of light by matter along the line of sight, has proven to be an efficient method for constraining models of structure formation and reveal the nature of dark energy. So far, most weak-lensing studies have focused on th ...
