Zakład Matematyki Finansowej - lista publikacji

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1-10 z 10.

2024

10.
Nicole Bäuerle, Marcin Pitera, Łukasz Stettner
Blackwell optimality and policy stability for long-run risk-sensitive stochastic control, SIAM Journal on Control and Optimization vol. 62 (2024), 3172-3194
9.
Anna Pajor, Jacek Osiewalski, Łukasz Kwiatkowski, Justyna Wróblewska
Bayesian ex Post Evaluation of Recursive Multi-Step-Ahead Density Prediction, Bayesian Analysis vol. 19(3) (2024), 751-783
8.
Marcin Pitera, Łukasz Stettner
Existence of bounded solutions to multiplicative Poisson equations under mixing property, ESAIM - Control, Optimisation and Calculus of Variations vol. 30 (2024), 49
7.
Damian Jelito, Kewin Pączek, Marcin Pitera, Agnieszka Wyłomańska
Goodness-of-fit tests for the one-sided Lévy distribution based on quantile conditional moments, Journal of Applied Statistics vol. 51 (2024), 3154-3177
6.
Marcin Pitera, Miklos Rasonyi
Short Communication: Utility-Based Acceptability Indices, SIAM Journal on Financial Mathematics vol. 15 (2) (2024), SC28-SC40
5.
Damian Jelito, Łukasz Stettner
Long-Run Impulse Control with Generalized Discounting, SIAM Journal on Control and Optimization vol. 62 (2024), 853-876
4.
Damian Jelito, Marcin Pitera, Piotr Jaworski
A note on the equivalence between the conditional uncorrelation and the independence of random variables, Electronic Journal of Statistics vol. 18 (2024), 653-673
3.
Szymon Peszat, Ben Goldys
On linear stochastic flows, Transactions of the American Mathematical Society vol. 377 (2024), 753-774
2.
Anna Pajor, Justyna Wróblewska, Łukasz Kwiatkowski, Jacek Osiewalski
Hybrid SV-GARCH, t-GARCH and Markov-switching covariance structures in VEC models—Which is better from a predictive perspective?, International Statistical Review vol. 92(1) (2024), 62-86
1.
Kewin Pączek, Damian Jelito, Marcin Pitera, Agnieszka Wyłomańska
Estimation of stability index for symmetric α-stable distribution using quantile conditional variance ratios, Test vol. 33 (2024), 297-334