Zobrazeno 1 - 10
of 41
pro vyhledávání: '"Jelito, Damian"'
It has been recently shown in Jaworski, P., Jelito, D. and Pitera, M. (2024), 'A note on the equivalence between the conditional uncorrelation and the independence of random variables', Electronic Journal of Statistics 18(1), that one can characteris
Externí odkaz:
http://arxiv.org/abs/2406.14650
We present a novel data-oriented statistical framework that assesses the presumed Gaussian dependence structure in a pairwise setting. This refers to both multivariate normality and normal copula goodness-of-fit testing. The proposed test clusters th
Externí odkaz:
http://arxiv.org/abs/2404.12696
Autor:
Jelito, Damian, Stettner, Łukasz
In this paper, we investigate the effects of applying generalised (non-exponential) discounting on a long-run impulse control problem for a Feller-Markov process. We show that the optimal value of the discounted problem is the same as the optimal val
Externí odkaz:
http://arxiv.org/abs/2306.17448
Autor:
Jelito, Damian, Stettner, Łukasz
Publikováno v:
Applied Mathematics & Optimization 88(24), 2023
We consider a long-run impulse control problem for a generic Markov process with a multiplicative reward functional. We construct a solution to the associated Bellman equation and provide a verification result. The argument is based on the probabilis
Externí odkaz:
http://arxiv.org/abs/2301.04194
The class of $\alpha$-stable distributions is widely used in various applications, especially for modelling heavy-tailed data. Although the $\alpha$-stable distributions have been used in practice for many years, new methods for identification, testi
Externí odkaz:
http://arxiv.org/abs/2212.13502
It is well known that while the independence of random variables implies zero correlation, the opposite is not true. Namely, uncorrelated random variables are not necessarily independent. In this note we show that the implication could be reversed if
Externí odkaz:
http://arxiv.org/abs/2210.16655
Autor:
Jelito, Damian, Stettner, Łukasz
In this paper we consider an infinite time horizon risk-sensitive optimal stopping problem for a Feller--Markov process with an unbounded terminal cost function. We show that in the unbounded case an associated Bellman equation may have multiple solu
Externí odkaz:
http://arxiv.org/abs/2104.00731
Publikováno v:
Stochastic Processes and their Applications 136 (2021), 125-144
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuity of the optimal stopping value function and provide formula for the o
Externí odkaz:
http://arxiv.org/abs/1912.02486
Publikováno v:
SIAM Journal on Control and Optimization 58(4), 2020, 2446-2468
In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman equation and link
Externí odkaz:
http://arxiv.org/abs/1912.02488
Autor:
Pączek, Kewin1 (AUTHOR) kewin.paczek@im.uj.edu.pl, Jelito, Damian1 (AUTHOR), Pitera, Marcin1 (AUTHOR), Wyłomańska, Agnieszka2 (AUTHOR)
Publikováno v:
Journal of Applied Statistics. Dec2024, Vol. 51 Issue 15, p3154-3177. 24p.
