Wyniki wyszukiwania - BazTech

Ograniczanie wyników

Znaleziono wyników: 3

Liczba wyników na stronie

Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: Mellin transform

Sortuj według:

Ogranicz wyniki do:

Orderings and risk probability functionals in portfolio theory

Ortobelli S., Rachev S., Shalit H., Fabozzi F. J.

Probability and Mathematical Statistics

2008

Vol. 28, Fasc. 2

203--234

This paper studies and describes stochastic orderings of risk/reward positions in order to define in a natural way risk/reward measures consistent/isotonic to investors’ preferences. We begin by discussing the connection between the theory of probability metrics, risk measures, distributional moments, and stochastic orderings. Then we examine several classes of orderings which are generated by risk probability functionals. Finally, we demonstrate how further orderings could better specify the investor’s attitude toward risk.

On Mellin transform application to solution of fractional differential equations

Klimek M., Dziembowski D.

Prace Naukowe Instytutu Matematyki i Informatyki Politechniki Częstochowskiej

2008

Vol. 7, nr 2

31-41

The Mellin transform method is applied to fractional differential equations with a right-sided derivative and variable potential. After solving the intermediate difference equation we arrive at the general solution of the problem in the form of a Meijer-G-function series. Using the symmetry properties of fractional derivatives we transform it into a general solution for an analogous equation with the left-sided Riemann-Liouville derivative. Two examples are studied in detail and an explicit form of component solutions is given.

Spline regularization of numerical inversion of Mellin transform

Iqbal M.

Foundations of Computing and Decision Sciences

2000

Vol. 25, No. 1

49-64

There is described a method for inverting the Mellin transform. In the method there are applied the expansion in Laguerre polynomials, the conversion to the Laplace transformation and a convolution integral equation. The quality of the method is testified for ill-posed problems considered in the literature.