Search results for "Monotonic function"
showing 10 items of 87 documents
Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting
2018
We show existence of a unique solution and a comparison theorem for a one-dimensional backward stochastic differential equation with jumps that emerge from a L\'evy process. The considered generators obey a time-dependent extended monotonicity condition in the y-variable and have linear time-dependent growth. Within this setting, the results generalize those of Royer (2006), Yin and Mao (2008) and, in the $L^2$-case with linear growth, those of Kruse and Popier (2016). Moreover, we introduce an approximation technique: Given a BSDE driven by Brownian motion and Poisson random measure, we consider BSDEs where the Poisson random measure admits only jumps of size larger than $1/n$. We show con…
The shape of small sample biases in pricing kernel estimations
2016
AbstractNumerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure which estimates the pricing kernel as the ratio of two separate density estimations. In the first step, we analyse theoretically the functional dependence for the ratio of a density to its estimated density; this cautions the reader regarding potential computational issues coupled with statistical techniques. In the second step, we study this quantitatively; we show that small sample biases shape the estimated pricing kernel, and that est…
Numerical propagator method solutions for the linear parabolic initial boundary-value problems
2007
On the base of our numerical propagator method a new finite volume difference scheme is proposed for solution of linear initial-boundary value problems. Stability of the scheme is investigated taking into account the obtained analytical solution of the initial-boundary value problems. It is shown that stability restrictions for the propagator scheme become weaker in comparison to traditional semi-implicit difference schemes. There are some regions of coefficients, for which the elaborated propagator difference scheme becomes absolutely stable. It is proven that the scheme is unconditionally monotonic. Analytical solutions, which are consistent with solubility conditions of the problem are f…
Flexible Estimation of Heteroskedastic Stochastic Frontier Models via Two-step Iterative Nonlinear Least Squares
2019
Despite its importance, the monotonicity condition is typically overlooked in stochastic frontier analysis. This article illustrates a straightforward and useful method for the estimation of semiparametric stochastic frontier models imposing such constraint and incorporating exogenous inefficiency effects exploiting the scaling property. An iterative estimation algorithm based on nonlinear least squares is developed and the behavior of the proposed procedure is investigated through a set of Monte Carlo experiments comparing its finite sample properties with those of available alternatives. The simulation results highlight very good performance of the new algorithm which outperforms the comp…
Monotonicity and enclosure methods for the p-Laplace equation
2018
We show that the convex hull of a monotone perturbation of a homogeneous background conductivity in the $p$-conductivity equation is determined by knowledge of the nonlinear Dirichlet-Neumann operator. We give two independent proofs, one of which is based on the monotonicity method and the other on the enclosure method. Our results are constructive and require no jump or smoothness properties on the conductivity perturbation or its support.
Enclosure method for the p-Laplace equation
2014
We study the enclosure method for the p-Calder\'on problem, which is a nonlinear generalization of the inverse conductivity problem due to Calder\'on that involves the p-Laplace equation. The method allows one to reconstruct the convex hull of an inclusion in the nonlinear model by using exponentially growing solutions introduced by Wolff. We justify this method for the penetrable obstacle case, where the inclusion is modelled as a jump in the conductivity. The result is based on a monotonicity inequality and the properties of the Wolff solutions.
An abstract doubly nonlinear equation with a measure as initial value
2007
Abstract The solvability of the abstract implicit nonlinear nonautonomous differential equation ( A ( t ) u ( t ) ) ′ + B ( t ) u ( t ) + C ( t ) u ( t ) ∋ f ( t ) will be investigated in the case of a measure as an initial value. It will be shown that this problem has a solution if the inner product of A ( t ) x and B ( t ) x + C ( t ) x is bounded below.
Global Non-monotonicity of Solutions to Nonlinear Second-Order Differential Equations
2018
We study behavior of solutions to two classes of nonlinear second-order differential equations with a damping term. Sufficient conditions for the first derivative of a solution x(t) to change sign at least once in a given interval (in a given infinite sequence of intervals) are provided. These conditions imply global non-monotone behavior of solutions.
An Application of the Fixed Point Theory to the Study of Monotonic Solutions for Systems of Differential Equations
2020
In this paper, we establish some conditions for the existence and uniqueness of the monotonic solutions for nonhomogeneous systems of first-order linear differential equations, by using a result of the fixed points theory for sequentially complete gauge spaces.
Positive solutions for parametric singular Dirichlet(p,q)-equations
2020
Abstract We consider a nonlinear elliptic Dirichlet problem driven by the ( p , q ) -Laplacian and a reaction consisting of a parametric singular term plus a Caratheodory perturbation f ( z , x ) which is ( p − 1 ) -linear as x → + ∞ . First we prove a bifurcation-type theorem describing in an exact way the changes in the set of positive solutions as the parameter λ > 0 moves. Subsequently, we focus on the solution multifunction and prove its continuity properties. Finally we prove the existence of a smallest (minimal) solution u λ ∗ and investigate the monotonicity and continuity properties of the map λ → u λ ∗ .