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Comonotonicity
In probability theory, comonotonicity mainly refers to the perfect positive dependence between the components of a random vector, essentially saying that they can be represented as increasing functions of a single random variable. In two dimensions it is also possible to consider perfect negative dependence, which is called countermonotonicity. Comonotonicity is also related to the comonotonic additivity of the Choquet integral. The concept of comonotonicity has applications in financial risk management and actuarial science, see e.g. and . In particular, the sum of the components is the riskiest if the joint probability distribution of the random vector is comonotonic. Furthermore, the -quantile of the sum equals of the sum of the -quantiles of its components, hence comonotonic random variables are quantile-additive. In practical risk management terms it means that there is minimal (or eventually no) variance reduction from diversification. For extensions of comonotonicity, s ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Copula (probability Theory)
In probability theory and statistics, a copula is a multivariate cumulative distribution function for which the marginal probability distribution of each variable is uniform on the interval , 1 Copulas are used to describe/model the dependence (inter-correlation) between random variables. Their name, introduced by applied mathematician Abe Sklar in 1959, comes from the Latin for "link" or "tie", similar but unrelated to grammatical copulas in linguistics. Copulas have been used widely in quantitative finance to model and minimize tail risk and portfolio-optimization applications. Sklar's theorem states that any multivariate joint distribution can be written in terms of univariate marginal distribution functions and a copula which describes the dependence structure between the variables. Copulas are popular in high-dimensional statistical applications as they allow one to easily model and estimate the distribution of random vectors by estimating marginals and copulae ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Probability Theory
Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set of axioms. Typically these axioms formalise probability in terms of a probability space, which assigns a measure taking values between 0 and 1, termed the probability measure, to a set of outcomes called the sample space. Any specified subset of the sample space is called an event. Central subjects in probability theory include discrete and continuous random variables, probability distributions, and stochastic processes (which provide mathematical abstractions of non-deterministic or uncertain processes or measured quantities that may either be single occurrences or evolve over time in a random fashion). Although it is not possible to perfectly predict random events, much can be said about their behavior. Two major results in probability ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Left-continuous
In mathematics, a continuous function is a function such that a continuous variation (that is a change without jump) of the argument induces a continuous variation of the value of the function. This means that there are no abrupt changes in value, known as '' discontinuities''. More precisely, a function is continuous if arbitrarily small changes in its value can be assured by restricting to sufficiently small changes of its argument. A discontinuous function is a function that is . Up until the 19th century, mathematicians largely relied on intuitive notions of continuity, and considered only continuous functions. The epsilon–delta definition of a limit was introduced to formalize the definition of continuity. Continuity is one of the core concepts of calculus and mathematical analysis, where arguments and values of functions are real and complex numbers. The concept has been generalized to functions between metric spaces and between topological spaces. The latter are the mo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Theory Of Probability Distributions
A theory is a rational type of abstract thinking about a phenomenon, or the results of such thinking. The process of contemplative and rational thinking is often associated with such processes as observational study or research. Theories may be scientific, belong to a non-scientific discipline, or no discipline at all. Depending on the context, a theory's assertions might, for example, include generalized explanations of how nature works. The word has its roots in ancient Greek, but in modern use it has taken on several related meanings. In modern science, the term "theory" refers to scientific theories, a well-confirmed type of explanation of nature, made in a way consistent with the scientific method, and fulfilling the criteria required by modern science. Such theories are described in such a way that scientific tests should be able to provide empirical support for it, or empirical contradiction ("falsify") of it. Scientific theories are the most reliable, rigorous, and compre ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Springer Science+Business Media
Springer Science+Business Media, commonly known as Springer, is a German multinational publishing company of books, e-books and peer-reviewed journals in science, humanities, technical and medical (STM) publishing. Originally founded in 1842 in Berlin, it expanded internationally in the 1960s, and through mergers in the 1990s and a sale to venture capitalists it fused with Wolters Kluwer and eventually became part of Springer Nature in 2015. Springer has major offices in Berlin, Heidelberg, Dordrecht, and New York City. History Julius Springer founded Springer-Verlag in Berlin in 1842 and his son Ferdinand Springer grew it from a small firm of 4 employees into Germany's then second largest academic publisher with 65 staff in 1872.Chronology ". Springer Science+Business Media. In 1964, Springer expanded its business internationally, o ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Chebyshev's Sum Inequality
In mathematics, Chebyshev's sum inequality, named after Pafnuty Chebyshev, states that if :a_1 \geq a_2 \geq \cdots \geq a_n \quad and \quad b_1 \geq b_2 \geq \cdots \geq b_n, then : \sum_^n a_k b_k \geq \left(\sum_^n a_k\right)\!\!\left(\sum_^n b_k\right)\!. Similarly, if :a_1 \leq a_2 \leq \cdots \leq a_n \quad and \quad b_1 \geq b_2 \geq \cdots \geq b_n, then : \sum_^n a_k b_k \leq \left(\sum_^n a_k\right)\!\!\left(\sum_^n b_k\right)\!. Proof Consider the sum :S = \sum_^n \sum_^n (a_j - a_k) (b_j - b_k). The two sequences are non-increasing, therefore and have the same sign for any . Hence . Opening the brackets, we deduce: :0 \leq 2 n \sum_^n a_j b_j - 2 \sum_^n a_j \, \sum_^n b_j, hence :\frac \sum_^n a_j b_j \geq \left( \frac \sum_^n a_j\right)\!\!\left(\frac \sum_^n b_j\right)\!. An alternative proof is simply obtained with the rearrangement inequality, writing that :\sum_^ a_i \sum_^ b_j = \sum_^ \sum_^ a_i b_j =\sum_^\sum_^ a_i b_ = \sum_^ \sum_^ a_i b_ \leq \s ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Rearrangement Inequality
In mathematics, the rearrangement inequality states that x_n y_1 + \cdots + x_1 y_n \leq x_ y_1 + \cdots + x_ y_n \leq x_1 y_1 + \cdots + x_n y_n for every choice of real numbers x_1 \leq \cdots \leq x_n \quad \text \quad y_1 \leq \cdots \leq y_n and every permutation x_, \ldots, x_ of x_1, \ldots, x_n. If the numbers are different, meaning that x_1 < \cdots < x_n \quad \text \quad y_1 < \cdots < y_n, then the lower bound is attained only for the permutation which reverses the order, that is, for all and the upper bound is attained only for the identity, that is, for all Note that the rearrangement inequality makes no assumptions on the signs of the real numbers. Applications Many important inequalities can be proved by the rearrangement inequality, such as the[...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Properties
Property is the ownership of land, resources, improvements or other tangible objects, or intellectual property. Property may also refer to: Mathematics * Property (mathematics) Philosophy and science * Property (philosophy), in philosophy and logic, an abstraction characterizing an object *Material properties, properties by which the benefits of one material versus another can be assessed *Chemical property, a material's properties that becomes evident during a chemical reaction *Physical property, any property that is measurable whose value describes a state of a physical system *Semantic property *Thermodynamic properties, in thermodynamics and materials science, intensive and extensive physical properties of substances *Mental property, a property of the mind studied by many sciences and parasciences Computer science * Property (programming), a type of class member in object-oriented programming * .properties, a Java Properties File to store program settings as name-value p ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Expected Value
In probability theory, the expected value (also called expectation, expectancy, mathematical expectation, mean, average, or first moment) is a generalization of the weighted average. Informally, the expected value is the arithmetic mean of a large number of independently selected outcomes of a random variable. The expected value of a random variable with a finite number of outcomes is a weighted average of all possible outcomes. In the case of a continuum of possible outcomes, the expectation is defined by integration. In the axiomatic foundation for probability provided by measure theory, the expectation is given by Lebesgue integration. The expected value of a random variable is often denoted by , , or , with also often stylized as or \mathbb. History The idea of the expected value originated in the middle of the 17th century from the study of the so-called problem of points, which seeks to divide the stakes ''in a fair way'' between two players, who have to end th ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Monotonic Function
In mathematics, a monotonic function (or monotone function) is a function between ordered sets that preserves or reverses the given order. This concept first arose in calculus, and was later generalized to the more abstract setting of order theory. In calculus and analysis In calculus, a function f defined on a subset of the real numbers with real values is called ''monotonic'' if and only if it is either entirely non-increasing, or entirely non-decreasing. That is, as per Fig. 1, a function that increases monotonically does not exclusively have to increase, it simply must not decrease. A function is called ''monotonically increasing'' (also ''increasing'' or ''non-decreasing'') if for all x and y such that x \leq y one has f\!\left(x\right) \leq f\!\left(y\right), so f preserves the order (see Figure 1). Likewise, a function is called ''monotonically decreasing'' (also ''decreasing'' or ''non-increasing'') if, whenever x \leq y, then f\!\left(x\right) \geq f\!\left(y\ri ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Unit Interval
In mathematics, the unit interval is the closed interval , that is, the set of all real numbers that are greater than or equal to 0 and less than or equal to 1. It is often denoted ' (capital letter ). In addition to its role in real analysis, the unit interval is used to study homotopy theory in the field of topology. In the literature, the term "unit interval" is sometimes applied to the other shapes that an interval from 0 to 1 could take: , , and . However, the notation ' is most commonly reserved for the closed interval . Properties The unit interval is a complete metric space, homeomorphic to the extended real number line. As a topological space, it is compact, contractible, path connected and locally path connected. The Hilbert cube is obtained by taking a topological product of countably many copies of the unit interval. In mathematical analysis, the unit interval is a one-dimensional analytical manifold whose boundary consists of the two points 0 and 1. Its ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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