Zobrazeno 1 - 10
of 447
pro vyhledávání: '"Maheshwari, Aditya"'
In this paper, we define a tempered space-time fractional negative binomial process (TSTFNBP) by subordinating the fractional Poisson process with an independent tempered Mittag-Leffler L\'{e}vy subordinator. We study its distributional properties an
Externí odkaz:
http://arxiv.org/abs/2409.07044
Autor:
Gupta, Neha, Maheshwari, Aditya
In this paper, we propose an extension of the Hawkes process by incorporating a kernel based on the tempered Mittag-Leffler distribution. This is the generalization of the work presented in [10]. We derive analytical results for the expectation of th
Externí odkaz:
http://arxiv.org/abs/2408.11695
Autor:
Gupta, Neha, Maheshwari, Aditya
Hawkes process (HP) is a point process with a conditionally dependent intensity function. This paper defines the tempered fractional Hawkes process (TFHP) by time-changing the HP with an inverse tempered stable subordinator. We obtained results that
Externí odkaz:
http://arxiv.org/abs/2405.09966
In 1990, Jakeman (see \cite{jakeman1990statistics}) defined the binomial process as a special case of the classical birth-death process, where the probability of birth is proportional to the difference between a fixed number and the number of individ
Externí odkaz:
http://arxiv.org/abs/2405.08332
Autor:
Gupta, Neha, Maheshwari, Aditya
This paper introduces the Generalized Fractional Compound Poisson Process (GFCPP), which claims to be a unified fractional version of the compound Poisson process (CPP) that encompasses existing variations as special cases. We derive its distribution
Externí odkaz:
http://arxiv.org/abs/2307.12252
In this paper, we study the L\'evy process time-changed by independent L\'evy subordinators, namely, the incomplete gamma subordinator, the $\epsilon$-jumps incomplete gamma subordinator and tempered incomplete gamma subordinator. We derive their imp
Externí odkaz:
http://arxiv.org/abs/2303.17330
Publikováno v:
Asian Journal of Accounting Research, 2022, Vol. 8, Issue 3, pp. 236-249.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/AJAR-05-2022-0144
Autor:
Maheshwari, Aditya, Pirvu, Traian
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation constraint is i
Externí odkaz:
http://arxiv.org/abs/1912.12521
We investigate Monte Carlo based algorithms for solving stochastic control problems with probabilistic constraints. Our motivation comes from microgrid management, where the controller tries to optimally dispatch a diesel generator while maintaining
Externí odkaz:
http://arxiv.org/abs/1905.00107
Autor:
Ludkovski, Michael, Maheshwari, Aditya
We consider solution of stochastic storage problems through regression Monte Carlo (RMC) methods. Taking a statistical learning perspective, we develop the dynamic emulation algorithm (DEA) that unifies the different existing approaches in a single m
Externí odkaz:
http://arxiv.org/abs/1803.11309