Risk

The application of Hermite polynomials to risk allocation

We investigate a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials. This framework was first discussed in "An analytical framework for ...
Nature

Multiple Orthogonal Polynomials and Their Applications

Multiple orthogonal polynomials (MOPs) extend the classical notion of orthogonality by satisfying simultaneous orthogonality conditions with respect to several weight functions or measures. This ...
JSTOR Daily

On a Karhunen-Loève expansion based on Krawtchouk polynomials with application to Bahadur optimality for the binomial location family

In this paper we extend to the discrete case a Karhunen-Loève expansion already known for continuous families of classical orthogonal polynomials. This expansion involves Krawtchouk polynomials. It ...
Kaleido Scope

Multidimensional local limit theorem in deterministic systems and an application to non-convergence of polynomial multiple averages

All UAB students, faculty and guests are invited. In this talk, for an ergodic probability preserving system (X,B,m,T), we will discuss the existence of a Z^d valued function , whose corresponding ...