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Sample average approximation of CVaR-based hedging problem with a deep-learning solution 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
Authors:  Peng, Cheng;  Li, Shuang;  Zhao, Yanlong;  Bao, Ying
Favorite  |  View/Download:26/0  |  Submit date:2021/04/26
Conditional Value-at-Risk  Hedging strategies  Deep learning  Theoretical guarantee  Sample average approximation  Uniform convergence  
Exploring spatial nonlinearity using additive approximation 期刊论文
BERNOULLI, 2007, 卷号: 13, 期号: 2, 页码: 447-472
Authors:  Lu, Zudi;  Lundervold, Arvid;  Tjostheim, Dag;  Yao, Qiwei
Favorite  |  View/Download:18/0  |  Submit date:2018/07/30
additive approximation  alpha-mixing  asymptotic normality  auto-normal specification  backfitting  nonparametric kernel estimation  spatial models  uniform convergence  
Adaptive varying-coefficient linear models for stochastic processes: Asymptotic theory 期刊论文
STATISTICA SINICA, 2007, 卷号: 17, 期号: 1, 页码: 177-197
Authors:  Lu, Zudi;  Tjostheim, Dag;  Yao, Qiwei
Favorite  |  View/Download:23/0  |  Submit date:2018/07/30
adaptive varying-coefficient model  asymptotic normality  beta-mixing  empirical process  index parameter  root-n consistency  uniform convergence  
Galerkin methods based on hermite splines for singular perturbation problems 期刊论文
SIAM JOURNAL ON NUMERICAL ANALYSIS, 2006, 卷号: 43, 期号: 6, 页码: 2607-2623
Authors:  Liu, ST;  Xu, YS
Favorite  |  View/Download:19/0  |  Submit date:2018/07/30
singular perturbation  Galerkin methods  Hermite splines  grid meshes  optimal order of uniform convergence  
Uniform convergence and Schwarz method for the mortar element method for non-selfadjoint and indefinite problems 期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2002, 卷号: 136, 期号: 2-3, 页码: 517-533
Authors:  Chen, JR;  Xu, XJ
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mortar element  indefinite  uniform convergence  Schwarz method  
On the nonmonotone line search 期刊论文
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS, 2002, 卷号: 112, 期号: 2, 页码: 315-330
Authors:  Dai, YH
Favorite  |  View/Download:27/0  |  Submit date:2018/07/30
unconstrained optimization  uniform convexity  Armijo line search  nonmonotone line search  R-linear convergence  
Uniform convergence and preconditioning methods for projection nonconforming and mixed methods for nonselfadjoint and indefinite problems 期刊论文
COMPUTER METHODS IN APPLIED MECHANICS AND ENGINEERING, 2000, 卷号: 185, 期号: 1, 页码: 75-89
Authors:  Chen, JR;  Li, LK
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uniform convergence  preconditioning  nonconforming element  mixed clement  indefinite problems