The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
. Let B be a one-dimensional Brownian motion and $f: {\mathbb{R}}{\longrightarrow}{\mathbb{R}}$ be a Borel function that is locally integrable on $\mathbb{R}\backslash \{0\}$. We present necessary and sufficient conditions (in terms of the function f) for the existence of the limit $$\lim_{\varepsilon\downarrow 0}\int_0^t f(B_s)I(\vert B_s\vert > \varepsilon)ds$$ in probability and almost surely...
The paper deals with the study of a coherent risk measure, which we call Weighted V@R. It is a risk measure of the form $$\rho_\mu(X)=\int\limits_{[0,1]}\hbox{TV}@\hbox{R}_{\uplambda}(\hbox{X}) \mu(\hbox{d}\uplambda),$$ where μ is a probability measure on [0,1] and TV@R stands for Tail V@R. After investigating some basic properties of this risk measure, we apply the obtained results to the financial...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.