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Homogenization and asymptotics for small transaction costs
transaction costs, homogenization, viscosity solutions, asymptotic expansions
2012/2/29
We consider the classical Merton problem of lifetime consumption-portfolio optimization problem with small proportional transaction costs. The first order term in the asymptotic expansion is explicitl...
This paper addresses estimation and its asymptotics of meantransformation $\theta=E[h(X)]$ of a random variable $X$ based on$n$ iid. observations from errors-in-variables model $ Y=X+~v $,where $v$ is...
This paper is concerned with the L1-norm estimators for the partly linear modelwhere (T_1,X_1, Y_1),…(T_n, X_n, Y_n) are independent random(d +2)-vectors such that K_i is real-valued, X_i is a d-vecto...