A rigorous but gentle introduction for economists

This open access textbook is the first to provide Business and Economics Ph.D. students with a precise and intuitive introduction to the formal backgrounds of modern financial theory. It explains Brownian motion, random processes, measures, and Lebesgue integrals intuitively, but without sacrificing the necessary mathematical formalism, making them accessible for readers with little or no previous knowledge of the field. It also includes mathematical definitions and the hidden stories behind the terms discussing why the theories are presented in specific ways.

Stochastic order results and equilibrium joining rules for the Bernoulli Feedback Queue

We consider customer joining behaviour for a system that consists of a FCFS queue with Bernoulli feedback. A consequence of the feedback characteristic is that the sojourn time of a customer already in the system depends on the joining decisions taken by future arrivals to the system. By establishing stochastic order results for coupled versions of the system, we establish the existence of homogeneous Nash equilibrium joining policies for both single and multiple customer types which are distinguished through distinct quality of service preference parameters. Further, it is shown that for a single customer type, the homogeneous policy is unique

Evaluation of advanced optimisation methods for estimating Mixed Logit models

The performances of different simulation-based estimation techniques for mixed logit modeling are evaluated. A quasi-Monte Carlo method (modified Latin hypercube sampling) is compared with a Monte Carlo algorithm with dynamic accuracy. The classic Broyden-Fletcher-Goldfarb-Shanno (BFGS) optimization algorithm line-search approach and trust region methods, which have proved to be extremely powerful in nonlinear programming, are also compared. Numerical tests are performed on two real data sets: stated preference data for parking type collected in the United Kingdom, and revealed preference data for mode choice collected as part of a German travel diary survey. Several criteria are used to evaluate the approximation quality of the log likelihood function and the accuracy of the results and the associated estimation runtime. Results suggest that the trust region approach outperforms the BFGS approach and that Monte Carlo methods remain competitive with quasi-Monte Carlo methods in high-dimensional problems, especially when an adaptive optimization algorithm is used

Capillary condensation in one-dimensional irregular confinement

Peer reviewedPublisher PD

Space proof complexity for random 3-CNFs

We investigate the space complexity of refuting 3-CNFs in Resolution and algebraic systems. We prove that every Polynomial Calculus with Resolution refutation of a random 3-CNF φ in n variables requires, with high probability, distinct monomials to be kept simultaneously in memory. The same construction also proves that every Resolution refutation of φ requires, with high probability, clauses each of width to be kept at the same time in memory. This gives a lower bound for the total space needed in Resolution to refute φ. These results are best possible (up to a constant factor) and answer questions about space complexity of 3-CNFs

Generalized detector as a spectrum sensor in cognitive radio networks

The implementation of the generalized detector (GD) in cognitive radio (CR) systems allows us to improve the spectrum sensing performance in comparison with employment of the conventional detectors. We analyze the spectrum sensing performance for the uncorrelated and spatially correlated receive antenna array elements. Addi¬tionally, we consider a practical case when the noise power at the output of GD linear systems (the preliminary and additional filters) is differed by value. The choice of the optimal GD threshold based on the minimum total error rate criterion is also discussed. Simulation results demonstrate superiority of GD implementation in CR sys¬tem as spectrum sensor in comparison with the energy detector (ED), weighted ED (WED), maximum-minimum eigenvalue (MME) detector, and generalized likelihood ratio test (GLRT) detecto

Learning, Structural Instability and Present Value Calculations

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data generating process underlying the cash flows. This paper presents new theoretical results for the existence of the infinite sum of discounted expected future values under uncertainty about the parameters characterizing the growth rate of the cash flow process. Furthermore, we explore the consequences for present values of relaxing the stability assumption in a way that allows for past and future breaks to the underlying cash flow process. We find that such breaks can lead to considerable changes in present values