Listar Departamento de Matemáticas y Estadística por fecha de publicación
Mostrando ítems 1-13 de 13
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Optimal strategies in a production-inventory control model
(2020)We consider a production-inventory control model with finite capacity and two different production rates, assuming that the cumulative process of customer demand is given by a compound Poisson process. It is possible at ... -
Optimal Ratcheting of Dividends in a Brownian Risk Model
(2020)We study the problem of optimal dividend payout from a surplus process governed by Brownian motion with drift under the additional constraint of ratcheting, i.e. the dividend rate can never decrease. We solve the resulting ... -
An improved bound for the dimension of (α, 2α)-Furstenberg sets
(2022)We show that given α e (0, 1) there is a constant c = c α > 0 such that any planar (α, 2α)-Furstenberg set has Hausdorff dimension at least 2α + c. This improves several previous bounds, in particular extending a result ... -
Optimal dividends under a drawdown constraint and a curious square-root rule
(Finance and Stochastics, 2023)In this paper we address the problem of optimal dividend payout strategies from a surplus process governed by Brownian motion with drift under a drawdown constraint, i.e. the dividend rate can never decrease below a given ... -
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
(SIAM Journal on Financial Mathematics, 2023)In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cram´er-Lundberg risk model when the reinsurance premium is computed according to the mean-variance premium ... -
On the n−th linear polarization constant of Rn
(Mathematische Nachrichten, 2023)Abstract. We prove that given any set of n unit vectors {vi}n i=1 ⊂ Rn, the inequality sup kxkRn=1 |hx, v1i · · · hx, vni| ≥ n−n/2 holds for n ≤ 14. Moreover, the equality is attained if and only if {vi}n i=1 is an ... -
Density kernel depth for outlier detection in functional data
(Springer NatureInternational Journal of Data Science and Analytics, 2023)In this paper, we propose a novel approach to address the problem of functional outlier detection. Our method leverages a low-dimensional and stable representation of functions using Reproducing Kernel Hilbert Spaces ... -
On the volumes of simplices determined by a subset of Rd
(Universidad Torcuato Di Tella, 2023)We prove that for 1 ≤ k < d, if E is a Borel subset of Rd of Hausdorff dimension strictly larger than k, the set of (k+1)-volumes determined by k+2 points in E has positive one-dimensional Lebesgue measure. In the case ... -
Optimal dividend strategies for a catastrophe insurer
(Universidad Torcuato Di Tella, 2023)In this paper we study the problem of optimally paying out dividends from an insurance portfolio, when the criterion is to maximize the expected discounted dividends over the lifetime of the company and the portfolio ... -
Inverse theorems for discretized sums and Lq norms of convolutions in Rd
(Universidad Torcuato Di Tella, 2023)We prove inverse theorems for the size of sumsets and the L q norms of convolutions in the discretized setting, extending to arbitrary dimension an earlier result of the author in the line. These results have applications ... -
On the Fourier decay of multiplicative convolutions
(Universidad Torcuato Di Tella, 2023)We prove the following. Let $\mu_{1},\ldots,\mu_{n}$ be Borel probability measures on $[-1,1]$ such that $\mu_{j}$ has finite $s_j$-energy for certain indices $s_{j} \in (0,1]$ with $s_{1} + \ldots + s_{n}>1$. Then, the ... -
Level Sets Semimetrics for Probability Measures with Applications in Hypothesis Testing
(Methodology and Computing in Applied ProbabilitySpringer Nature, 2023)In this paper we introduce a novel family of level sets semimetrics for density functions and address subtleties entailed in the estimation and computation of such semimetrics. Given data drawn from f and q, two unknown ... -
Farkas’ Lemma in the bilinear setting and evaluation functionals
(Real Academia de Ciencias Exactas, Físicas y Naturales, 2023)We prove the following Farkas’ Lemma for simultaneously diagonalizable bilinear forms: If A1, . . . , Ak, and B : Rn × Rn → R are bilinear forms, then one—and only one—of the following holds: (i) B = a1A1 +· · ·+ak Ak ...