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Available. Open Access. Open Access
Article
Publication date: 25 August 2020

Munmun Hazarika and Sougata Marik

For n…

554

Abstract

For n1, let Dn be the polydisk in n, and let Tn be the n-torus. L2(Tn) denotes the space of Lebesgue square integrable functions on Tn. In this paper we define slant Toeplitz operators on L2(Tn). Besides giving a necessary and sufficient condition for an operator on L2(Tn) to be slant Toeplitz, we also establish several properties of slant Toeplitz operators.

Details

Arab Journal of Mathematical Sciences, vol. 27 no. 1
Type: Research Article
ISSN: 1319-5166

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Book part
Publication date: 13 December 2013

Federico Echenique and Ivana Komunjer

In this article we design an econometric test for monotone comparative statics (MCS) often found in models with multiple equilibria. Our test exploits the observable implications…

Abstract

In this article we design an econometric test for monotone comparative statics (MCS) often found in models with multiple equilibria. Our test exploits the observable implications of the MCS prediction: that the extreme (high and low) conditiona l quantiles of the dependent variable increase monotonically with the explanatory variable. The main contribution of the article is to derive a likelihood-ratio test, which to the best of our knowledge is the first econometric test of MCS proposed in the literature. The test is an asymptotic “chi-bar squared” test for order restrictions on intermediate conditional quantiles. The key features of our approach are: (1) we do not need to estimate the underlying nonparametric model relating the dependent and explanatory variables to the latent disturbances; (2) we make few assumptions on the cardinality, location, or probabilities over equilibria. In particular, one can implement our test without assuming an equilibrium selection rule.

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Structural Econometric Models
Type: Book
ISBN: 978-1-78350-052-9

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Available. Open Access. Open Access
Article
Publication date: 16 February 2021

Rim Amami, Monique Pontier and Hani Abidi

The purpose of this paper is to show the existence results for adapted solutions of infinite horizon doubly reflected backward stochastic differential equations with jumps. These…

2834

Abstract

Purpose

The purpose of this paper is to show the existence results for adapted solutions of infinite horizon doubly reflected backward stochastic differential equations with jumps. These results are applied to get the existence of an optimal impulse control strategy for an infinite horizon impulse control problem.

Design/methodology/approach

The main methods used to achieve the objectives of this paper are the properties of the Snell envelope which reduce the problem of impulse control to the existence of a pair of right continuous left limited processes. Some numerical results are provided to show the main results.

Findings

In this paper, the authors found the existence of a couple of processes via the notion of doubly reflected backward stochastic differential equation to prove the existence of an optimal strategy which maximizes the expected profit of a firm in an infinite horizon problem with jumps.

Originality/value

In this paper, the authors found new tools in stochastic analysis. They extend to the infinite horizon case the results of doubly reflected backward stochastic differential equations with jumps. Then the authors prove the existence of processes using Envelope Snell to find an optimal strategy of our control problem.

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Book part
Publication date: 20 August 2020

Satya R. Chakravarty and Palash Sarkar

Abstract

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An Introduction to Algorithmic Finance, Algorithmic Trading and Blockchain
Type: Book
ISBN: 978-1-78973-894-0

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Article
Publication date: 1 October 2006

Mourad Oussalah

In previous work, the algebraical properties of this rule and its relationship with other generalized operator was studied. In this paper, the aim is to focus on one of the…

138

Abstract

Purpose

In previous work, the algebraical properties of this rule and its relationship with other generalized operator was studied. In this paper, the aim is to focus on one of the previous steps, which consists in certainty qualification, and it is investigated how this factor influences the behavior of the induced combination rule.

Design/methodology/approach

Dubois and Prade have proposed an adaptive combination rule that moves gradually from a conjunctive mode to a disjunctive mode as soon as the conflict between the sources increases. The proposal can be viewed as a result of some rational steps. This includes: conjunctive combination; re‐normalization of a subnormal result that may results from conjunctive operation where the lack of normalization is interpreted as a conflict; certainty qualification; restriction of the conflict influence; generalization to more than two sources.

Findings

Algebraical properties of the proposals have been investigated and illustrations of some special cases are highlighted and evaluated. Further studies continue in Part II.

Originality/value

New functional adaptive rules are put forward based on Residual implicators and t‐conorm operators.

Details

Kybernetes, vol. 35 no. 9
Type: Research Article
ISSN: 0368-492X

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Book part
Publication date: 30 August 2019

Md. Nazmul Ahsan and Jean-Marie Dufour

Statistical inference (estimation and testing) for the stochastic volatility (SV) model Taylor (1982, 1986) is challenging, especially likelihood-based methods which are difficult…

Abstract

Statistical inference (estimation and testing) for the stochastic volatility (SV) model Taylor (1982, 1986) is challenging, especially likelihood-based methods which are difficult to apply due to the presence of latent variables. The existing methods are either computationally costly and/or inefficient. In this paper, we propose computationally simple estimators for the SV model, which are at the same time highly efficient. The proposed class of estimators uses a small number of moment equations derived from an ARMA representation associated with the SV model, along with the possibility of using “winsorization” to improve stability and efficiency. We call these ARMA-SV estimators. Closed-form expressions for ARMA-SV estimators are obtained, and no numerical optimization procedure or choice of initial parameter values is required. The asymptotic distributional theory of the proposed estimators is studied. Due to their computational simplicity, the ARMA-SV estimators allow one to make reliable – even exact – simulation-based inference, through the application of Monte Carlo (MC) test or bootstrap methods. We compare them in a simulation experiment with a wide array of alternative estimation methods, in terms of bias, root mean square error and computation time. In addition to confirming the enormous computational advantage of the proposed estimators, the results show that ARMA-SV estimators match (or exceed) alternative estimators in terms of precision, including the widely used Bayesian estimator. The proposed methods are applied to daily observations on the returns for three major stock prices (Coca-Cola, Walmart, Ford) and the S&P Composite Price Index (2000–2017). The results confirm the presence of stochastic volatility with strong persistence.

Details

Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A
Type: Book
ISBN: 978-1-78973-241-2

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Article
Publication date: 5 March 2018

Le Nhat Hoang Tran, Laurent Gerbaud, Nicolas Retière and Hieu Nguyen Huu

Static converters generate current harmonics in power grids. For numerous studies, analytical frequency modeling is preferred to carry out their harmonic modeling in the context…

66

Abstract

Purpose

Static converters generate current harmonics in power grids. For numerous studies, analytical frequency modeling is preferred to carry out their harmonic modeling in the context of sizing by optimization. However, a design by optimization has to consider other constraints, e.g. modeling constraints and operating constraints. In this way, this paper aims to focus on applying an analytical frequency modeling on the sizing by optimization of an aircraft electrical power channel.

Design/methodology/approach

The paper aims to size a multiphysical system by optimization. In this way, the sizing of an aircraft electrical power channel by optimization has been carried out. The models of all the channel components are analytical. Specifically, the frequency model of the power electronics is based on Tran et al. (2016) and is made of equalities and inequalities. Due to this modeling choice, the optimization satisfies hundreds of constraints, such as modeling constraints and static converter operating constraints. Furthermore, transient constraints are only verified after optimization.

Findings

The difficulty is the modeling of the system by taking into account nonlinear implicit equations having several solutions. A solution is the addition of inequality constraints to the model to guide the implicit solving. Furthermore, this greatly helps the optimization algorithm to find the good operating mode of the static converter, at steady state. This aspect is indispensable to validate the sizing model.

Research limitations/implications

The number of the configurations per operating period of the static converters is defined a priori and limited.

Originality/value

The analytical model for the sizing is formulated as a constrained optimization problem. Its solving and the sizing by optimization are carried out by the same optimization algorithm.

Details

COMPEL - The international journal for computation and mathematics in electrical and electronic engineering, vol. 37 no. 2
Type: Research Article
ISSN: 0332-1649

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Article
Publication date: 2 January 2018

Jun Sun, Xiande Wu, Shijie Zhang, Fengzhi Guo and Ting Song

The purpose of this paper is to propose an adaptive robust controller for coupled attitude and orbit control of rigid spacecraft based on dual quaternion in the presence of…

247

Abstract

Purpose

The purpose of this paper is to propose an adaptive robust controller for coupled attitude and orbit control of rigid spacecraft based on dual quaternion in the presence of external disturbances and model uncertainties.

Design/methodology/approach

First, based on dual quaternion, a theoretical model of the relative motion for rigid spacecraft is introduced. Then, an adaptive robust controller which can realize coordinated control of attitude and orbit is designed in the existence of external disturbances and model uncertainties.

Findings

This paper takes advantage of the Lyapunov function which can guarantee the asymptotic stabilization of the whole system in the existence of parameters uncertainties. Simulation results show that the proposed controller is feasible and effective.

Originality/value

This paper proposes a coupled attitude and orbit adaptive robust controller based on dual quaternion. Simulation results demonstrate that the proposed controller can achieve higher control performance in the presence of parameters uncertainties.

Details

Aircraft Engineering and Aerospace Technology, vol. 90 no. 1
Type: Research Article
ISSN: 1748-8842

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Article
Publication date: 19 July 2019

Swati Yadav, Rajesh K. Pandey, Anil K. Shukla and Kamlesh Kumar

This paper aims to present a high-order scheme to approximate generalized derivative of Caputo type for μ ∈ (0,1). The scheme is used to find the numerical solution of generalized…

332

Abstract

Purpose

This paper aims to present a high-order scheme to approximate generalized derivative of Caputo type for μ ∈ (0,1). The scheme is used to find the numerical solution of generalized fractional advection-diffusion equation define in terms of the generalized derivative.

Design/methodology/approach

The Taylor expansion and the finite difference method are used for achieving the high order of convergence which is numerically demonstrated. The stability of the scheme is proved with the help of Von Neumann analysis.

Findings

Generalization of fractional derivatives using scale function and weight function is useful in modeling of many complex phenomena occurring in particle transportation. The numerical scheme provided in this paper enlarges the possibility of solving such problems.

Originality/value

The Taylor expansion has not been used before for the approximation of generalized derivative. The order of convergence obtained in solving generalized fractional advection-diffusion equation using the proposed scheme is higher than that of the schemes introduced earlier.

Details

International Journal of Numerical Methods for Heat & Fluid Flow, vol. 29 no. 9
Type: Research Article
ISSN: 0961-5539

Keywords

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Book part
Publication date: 20 August 2020

Satya R. Chakravarty and Palash Sarkar

Abstract

Details

An Introduction to Algorithmic Finance, Algorithmic Trading and Blockchain
Type: Book
ISBN: 978-1-78973-894-0

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