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FACTOR MODELS ON LOCALLY TREE-LIKE GRAPHS
Factor models random graphs belief propagation Bethe measures Potts model independent set Gibbs measures free energy density local weak convergence
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2015/8/20
We consider homogeneous factor models on uniformly sparse graph sequences converg-ing locally to a (unimodular) random tree T, and study the existence of the free energy density ,the limit of the log...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control Poisson point processes HJBPIDE polic improvement PIDE parabolic PDE classical solutions viscosity solutions
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2010/4/27
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...