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Quand est-ce que des bornes de Hardy permettent de calculer une constante de Poincaré exacte sur la droite ?

Laurent Miclo (2008)

Annales de la faculté des sciences de Toulouse Mathématiques

Classically, Hardy’s inequality enables to estimate the spectral gap of a one-dimensional diffusion up to a factor belonging to [ 1 , 4 ] . The goal of this paper is to better understand the latter factor, at least in a symmetric setting. In particular, we will give an asymptotical criterion implying that its value is exactly 4. The underlying argument is based on a semi-explicit functional for the spectral gap, which is monotone in some rearrangement of the data. To find it will resort to some regularity...

Quantile of a Mixture with Application to Model Risk Assessment

Carole Bernard, Steven Vanduffel (2015)

Dependence Modeling

We provide an explicit expression for the quantile of a mixture of two random variables. The result is useful for finding bounds on the Value-at-Risk of risky portfolios when only partial dependence information is available. This paper complements the work of [4].

Quasi-copulas with quadratic sections in one variable

José Antonio Rodríguez–Lallena, Manuel Úbeda-Flores (2008)

Kybernetika

We introduce and characterize the class of multivariate quasi-copulas with quadratic sections in one variable. We also present and analyze examples to illustrate our results.

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