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113
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INFORMATICALT
2010
102views more  INFORMATICALT 2010»
15 years 1 months ago
Closed-Loop System Identification with Modifications of the Instrumental Variable Method
Least-squares method is the most popular method for parameter estimation. It is easy applicable, but it has considerable drawback. Under well-known conditions in the presence of no...
Nasko Atanasov, Alexander Ichtev
139
Voted
ANOR
2011
124views more  ANOR 2011»
14 years 11 months ago
Stochastic dominance of portfolio insurance strategies - OBPI versus CPPI
Abstract The purpose of this article is to analyze and compare two standard portfolio insurance methods: Option-based Portfolio Insurance (OBPI) and Constant Proportion Portfolio I...
Rudi Zagst, Julia Kraus
MCM
2011
14 years 11 months ago
The Das-Moser commutator closure for filtering through a boundary is well-posed
When filtering through a wall with constant averaging radius, in addition to the subfilter scale stresses, a non-closed commutator term arises. We consider a proposal of Das and ...
William Layton, Catalin Trenchea
NHM
2010
71views more  NHM 2010»
14 years 11 months ago
Non-existence of positive stationary solutions for a class of semi-linear PDEs with random coefficients
We consider a so-called random obstacle model for the motion of a hypersurface through a field of random obstacles, driven by a constant driving field. The resulting semilinear par...
Jérôme Coville, Nicolas Dirr, Stephan...
ORL
2010
112views more  ORL 2010»
14 years 11 months ago
Beneficial changes in dependence structures and two-moment decision models
: We analyze the comparative static effects of beneficial changes in the dependence structure between risks. In an insurance model with an insurable loss and dependent background w...
Thomas Eichner, Andreas Wagener