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20051021BuchOn Modifications of the Standard Embedding in Nonlinear Optimization This paper deals with pathfollowing methods in nonlinear optimization. We study the so called "standard embedding" and show its limits. Then, we modify this embedding from several points of view and obtain modified standard ...

20051104BuchOn optimality conditions for some nonsmooth optimization problems over Lp spaces The paper deals with the minimization of an integral functional over an $L^{p}$ space subject to various types of constraints. For such optimization problems new necessary optimality conditions are derived, based on several ...

20051012BuchOn oscillations of the geometric Brownian motion with time delayed drift

20060802BuchOn parameter estimation of stochastic delay differential equations with guaranteed accuracy by noisy observations Let (X(t), t ≥ −1) and (Y (t), t ≥ 0) be stochastic processes satisfying dX(t) = aX(t)dt + bX(t − 1)dt + dW(t) and dY (t) = X(t)dt + dV (t), respectively. Here (W(t), t ≥ 0) and (V (t), t ≥ 0) are independent standard ...

20011108BuchOn parametric statistical models for stationary solutions of affine stochastic delay differential equations

20030716BuchOn Representative Trust This paper combines an economic experiment with survey data to investigate determinants of trust and trustworthiness in the Dutch society. We contrast the inferences which can be made on the trust propensity using stated ...

20030423BuchOn Representative Trust Because of its relation to economic growth, there is a policy interest in measuring social capital and average trust as its currently most important proxy. Thereby a main focus is determining its variation across groups ...

20060608BuchOn Robustness of ModelBased Bootstrap Schemes in Nonparametric Time Series Analysis Theory in time series analysis is often developed in the context of finitedimensional models for the data generating process. Whereas corresponding estimators such as those of a conditional mean function are reasonable ...

20050915BuchOn Saving and Investing An experimental study of intertemporal decision making in a complex stochastic environment

20100308BuchOn Securitization, Market Completion and Equilibrium Risk Transfer We propose an equilibrium framework within which to price financial securities written on non tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences ...

19981103BuchOn sequential parameter estimation for some linear stochastic differential equations with time delay

20051104BuchOn some questions related to the Krichever correspondence The article is devoted to some questions of Krichever correspondence for algebraic curves and surfaces. We construct new examples of subspaces of 2dimensional local field from Krichever correspondence for algebraic surface, ...

19981124BuchOn Stationary Solutions of Delay Differential Equations Driven by a Lévy Process

20051115BuchOn Stochastic Integer Programming under Probabilistic Constraints We consider stochastic programming problems with probabilistic constraints involving integervalued random variables. The concept of pefficient points of a probability distribution is used to derive various equivalent ...

20050930BuchOn Testing Conditional Moment Restrictions The Canonical CaseLet (x, z) be a pair of random vectors. We construct a new “smoothed” empirical likelihood based test for the hypothesis that E(zx) a.s. = 0, and show that the test statistic is asymptotically normal under the null. An ...

20051012BuchOn the (nonlinear) relationship between exchange rate uncertainty and trade An investigation of US trade figures in the Group of Seven

20060110BuchOn the Appropriateness of Inappropriate VaR Models Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse ...

20051116BuchOn the average behaviour of greedy algorithms for the knapsack problem We study the average behaviour of the wellknown greedy algorithms for the onedimensional knapsack problem with Boolean variables when the number of variables n tends to infinity. It is supposed that the righthand side ...

20060814BuchOn the Coexistence of Banks and Markets We examine the coexistence of banks and financial markets, studying a credit market where the qualities of investment projects are not observable and the investment decisions of entrepreneurs are not contractible. Standard ...

20150325Teil eines BuchesOn the Concept of Youth Some Reflections on Theory