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  • Articles  (45)
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  • Articles: DFG German National Licenses  (45)
  • Mathematics  (45)
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  • Articles  (45)
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  • 1
    Electronic Resource
    Electronic Resource
    COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS (2005)
    350 Main Street , Malden , MA 02148 , USA , and 9600 Garsington Road , Oxford OX4 2DQ , UK . : Blackwell Publishing, Inc.
    Mathematical finance 15 (2005), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The framework of coherent risk measures has been introduced by Artzner et al. (1999; Math. Finance 9, 203–228) in a single-period setting. Here, we investigate a similar framework in a multiperiod context. We add an axiom of dynamic consistency to the standard coherence axioms, and obtain a representation theorem in terms of collections of multiperiod probability measures that satisfy a certain product property. This theorem is similar to results obtained by Epstein and Schneider (2003; J. Econ. Theor. 113, 1–31) and Wang (2003; J. Econ. Theor. 108, 286–321) in a different axiomatic framework. We then apply our representation result to the pricing of derivatives in incomplete markets, extending results by Carr, Geman, and Madan (2001; J. Financial Econ. 32, 131–167) to the multiperiod case. We present recursive formulas for the computation of price bounds and corresponding optimal hedges. When no shortselling constraints are present, we obtain a recursive formula for price bounds in terms of martingale measures.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2005.00252.x
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  • 2
    Electronic Resource
    Electronic Resource
    Barytomik (1909)
    Springer
    Monatshefte für Mathematik 20 (1909), S. A61 
    Details
    ISSN: 1436-5081
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01728075
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  • 3
    Electronic Resource
    Electronic Resource
    Homogeneous behaviors (1997)
    Springer
    Mathematics of control, signals, and systems 10 (1997), S. 61-75 
    Details
    ISSN: 1435-568X
    Keywords: Linear behavior ; Compactification of systems ; Shift spaces ; Grothendieck quotient scheme
    Source: Springer Online Journal Archives 1860-2000
    Topics: Electrical Engineering, Measurement and Control Technology , Mathematics , Technology
    Notes: Abstract Recently a smooth compactification of the space of linear systems withn states,m inputs, andp outputs has been discovered. In this paper we obtain a concrete interpretation of this compactification as a space of discrete-time behaviors. We use both homogeneous polynomial representations and generalized firstorder representations, and provide a realization theory to link these to each other.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01219776
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  • 4
    Electronic Resource
    Electronic Resource
    Estimation of prolongation of hospital stay attributable to nosocomial infections: New approaches based on multistate models (1996)
    Springer
    Lifetime data analysis 2 (1996), S. 219-240 
    Details
    ISSN: 1572-9249
    Keywords: Extra hospital stay ; Markov processes ; Multistate models ; Structured nested failure time models ; Time-dependent covariates
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract Evaluation of the impact of nosocomial infection on duration of hospital stay usually relies on estimates obtained in prospective cohort studies. However, the statistical methods used to estimate the extra length of stay are usually not adequate. A naive comparison of duration of stay in infected and non-infected patients is not adequate to estimate the extra hospitalisation time due to nosocomial infections. Matching for duration of stay prior to infection can compensate in part for the bias of ad hoc methods. New model-based approaches have been developed to estimate the excess length of stay. It will be demonstrated that statistical models based on multivariate counting processes provide an appropriate framework to analyse the occurrence and impact of nosocomial infections. We will propose and investigate new approaches to estimate the extra time spent in hospitals attributable to nosocomial infections based on functionals of the transition probabilities in multistate models. Additionally, within the class of structural nested failure time models an alternative approach to estimate the extra stay due to nosocomial infections is derived. The methods are illustrated using data from a cohort study on 756 patients admitted to intensive care units at the University Hospital in Freiburg.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00128975
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  • 5
    Electronic Resource
    Electronic Resource
    Galois theory in variable categories (1993)
    Springer
    Applied categorical structures 1 (1993), S. 103-110 
    Details
    ISSN: 1572-9095
    Keywords: 18D30 ; 11R32 ; 18D35 ; 18D05 ; Variable category ; Galois group ; topos ; indexed category ; parametrized category ; homomorphism of bicategories ; effective descent ; internal category
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract The order-reversing bijection between field extensions and subgroups of the Galois group G follows from the equivalence between the opposite of the category of étale algebras and the category of discrete G-spaces [2]. We show that the basic ingredient for this equivalence of categories, and for various known generalizations, is a factorization system for variable categories.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00872989
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  • 6
    Electronic Resource
    Electronic Resource
    A Behavioral Approach to Singular Systems (1998)
    Springer
    Acta applicandae mathematicae 54 (1998), S. 331-344 
    Details
    ISSN: 1572-9036
    Keywords: behaviors ; singular systems ; shift spaces ; coherent sheaves
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract The notion of behaviors introduced by Willems gives a good description of dynamicalsystems without reference to any particular representation of the system in terms of equations. Inthis note, we introduce a notion of behaviors that allows us to describe singular systems in a verynatural way. The new definition of behaviors given here is closely related to that of a sheaf overthe projective line, and we make this connection precise.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1006106222280
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  • 7
    Electronic Resource
    Electronic Resource
    A remark on the automorphisms of the moduli spaceM g of compact Riemann surfaces (1992)
    Springer
    Archiv der Mathematik 59 (1992), S. 396-397 
    Details
    ISSN: 1420-8938
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01197057
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  • 8
    Electronic Resource
    Electronic Resource
    Determinant Bundle, Quillen Metric, and Petersson-Weil Form on Moduli Spaces (1999)
    Springer
    Geometric and functional analysis 9 (1999), S. 226-255 
    Details
    ISSN: 1420-8970
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract. ((Without Abstract)).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s000390050086
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  • 9
    Electronic Resource
    Electronic Resource
    On the Diameter of Plane Curves (1999)
    Springer
    Compositio mathematica 119 (1999), S. 337-341 
    Details
    ISSN: 1570-5846
    Keywords: diameter ; plane curve ; Fubini--Study metric.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract Recently, differential geometric properties of embedded projective varieties have gained increasing interest. In this note, we consider plane algebraic curves equipped with the Fubini--Study metric fromℙ2 (ℂ) and give an estimate for the diameter in terms of the degree, initiated in a paper by F. A. Bogomolov.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1001759926974
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  • 10
    Electronic Resource
    Electronic Resource
    Zur Eintheilung der Strahlencongruenzen 2. Ordnung mit Brennoder singulären Linien; Ebenenbüschel 2. Ordnung in perspectiver Lage zu rationalen Curven (1891)
    Springer
    Mathematische Annalen 38 (1891), S. 298-306 
    Details
    ISSN: 1432-1807
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01199256
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