Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Nimit Rana"'
Publikováno v:
Banks and Bank Systems, Vol 9, Iss 2 (2014)
Externí odkaz:
https://doaj.org/article/2438eacfda3e402786a9e455f650e533
Publikováno v:
Journal of Differential Equations. 325:1-69
We consider stochastic wave map equation on real line with solutions taking values in a $d$-dimensional compact Riemannian manifold. We show first that this equation has unique, global, strong in PDE sense, solution in local Sobolev spaces. The main
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7cfe82f488c07774beadf9d63866c13a
https://doi.org/10.1016/j.jde.2022.04.003
https://doi.org/10.1016/j.jde.2022.04.003
Publikováno v:
Stochastics and Partial Differential Equations: Analysis and Computations
We study pathwise regularization by noise for equations on the plane in the spirit of the framework outlined by Catellier and Gubinelli (Stochastic Process. Appl., 2016). To this end, we extend the notion of non-linear Young equations to a two dimens
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2a32db228bc269a0cadf853f4033d5ad
https://pub.uni-bielefeld.de/record/2979262
https://pub.uni-bielefeld.de/record/2979262
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time, finite-sta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::021093e5f2a660f9b9ecd9b65c1f69b6
Publikováno v:
SIAM Journal on Control and Optimization. 56:1550-1576
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive portfolio opt
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::99b27c14f90bbef75668dd17e1f54b39
https://doi.org/10.1137/17m1121809
https://doi.org/10.1137/17m1121809
Autor:
Nimit Rana, Zdzisław Brzeźniak
We announce a result on the existence of a unique local solution to a stochastic geometric wave equation on the one dimensional Minkowski space $\mathbb{R}^{1+1}$ with values in an arbitrary compact Riemannian manifold. We consider a rough initial da
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69fc24e578a6bc83896ffb46a4b0d3f7
Autor:
Zdzisław Brzeźniak, Nimit Rana
We prove the existence and the uniqueness of a local maximal solution to an $H^1$-critical stochastic wave equation with multiplicative noise on a smooth bounded domain $\mathcal{D} \subset \mathbb{R}^2$ with exponential nonlinearity. First, we deriv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d8a5b5bb21c44746b671b4e6a5c71bee
http://arxiv.org/abs/1901.08123
http://arxiv.org/abs/1901.08123
Autor:
Nimit Rana, M. P. Rajan
Publikováno v:
2011 World Congress on Information and Communication Technologies.
A good investment strategy requires a combination of mathematical modeling with deep understanding of the economics of the market. The basis of the portfolio optimization is the mean-variance optimization put forwarded by Markowitz in 1952. The optim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::73c9bc43917954fd490b947c5e689cfd
https://doi.org/10.1109/wict.2011.6141321
https://doi.org/10.1109/wict.2011.6141321