duality technique
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2012 ◽  
Vol 2012 ◽  
pp. 1-14
Author(s):  
Salim Bouzebda ◽  
Mohamed Cherfi

The main purpose of the present paper is to propose a new estimator of the tail index using -divergences and the duality technique. These estimators are explored with respect to robustness through the influence function approach. The empirical performances of the proposed estimators are illustrated by simulation.


1999 ◽  
Vol 51 (2) ◽  
pp. 372-448 ◽  
Author(s):  
Leonid Mytnik

AbstractWe show that a martingale problem associated with a competing species model has a unique solution. The proof of uniqueness of the solution for the martingale problem is based on duality technique. It requires the construction of dual probability measures.


1980 ◽  
Vol 11 (1) ◽  
pp. 17-28 ◽  
Author(s):  
F. De Vylder

We gıve a complete parametrıc solutıon of the followıng problem: Fınd a claım sıze dıstrıbutıon F on the fınıte ınterval [ο, ω], maxımizıng the stop-loss premıum correspondıng to a gıven excess e, under the constraınts that the fırst moment of F be at most equal to μ and the second at most equal to ν The method used ıs the dualıty technıque ın semı-contınuous lınear programmıng descrıbed in De Vylder (1978) Thıs technıque ıs summarızed, wıthout proofs, ın the fırst part of the paper.


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