Paris Dauphine University

About: Paris Dauphine University is a education organization based out in Paris, France. It is known for research contribution in the topics: Population & Approximation algorithm. The organization has 1766 authors who have published 6909 publications receiving 162747 citations. The organization is also known as: Paris Dauphine & Dauphine.

Global well-posedness of the Euler-Korteweg system for small irrotational data

Abstract: The Euler–Korteweg equations are a modification of the Euler equations that take into account capillary effects. In the general case they form a quasi-linear system that can be recast as a degenerate Schrodinger type equation. Local well-posedness (in subcritical Sobolev spaces) was obtained by Benzoni–Danchin–Descombes in any space dimension, however, except in some special case (semi-linear with particular pressure) no global well-posedness is known. We prove here that under a natural stability condition on the pressure, global well-posedness holds in dimension \({d \geq 3}\) for small irrotational initial data. The proof is based on a modified energy estimate, standard dispersive properties if \({d \geq 5}\), and a careful study of the structure of quadratic nonlinearities in dimension 3 and 4, involving the method of space time resonances.

Alternative approaches to weather derivatives pricing

Abstract: The goal of the paper is to analyse the various issues attached to the valuation of weather derivatives. We focus our study on temperature‐related contracts since they are the most widely traded at this point and try to address the following questions: (i) should the quantity underlying the swaps or options contracts be defined as the temperature, degree‐days or cumulative degree‐days? This discussion is conducted both in terms of the robustness of the statistical modelling of the state variable and the mathematical valuation of the option (European versus Asian). (ii) What pricing approaches can tackle the market incompleteness generated by a non‐tradable underlying when furthermore the market price of risk is hard to identify in other traded instruments and unlikely to be zero? We illustrate our study on a database of temperatures registered at Paris Le Bourget and compare the calls and puts prices obtained using the different methods most widely used in weather markets.

The bullwhip effect in supply chains: a study of contingent and incomplete literature

Abstract: The bullwhip effect (BWE) describes a phenomenon that involves the increasing amplification of demand variability along a supply chain (SC). The BWE has been a subject that has received continuous attention from researchers over the past 15 years and is a concern for SC managers because it is a major cause of efficiency and effectiveness loss in SCs. Information sharing between actors in an SC is usually considered to be one of the primary means to minimise the BWE. Approximately 50 articles published in major journals on these topics are studied in this article. An analytical framework is used to highlight the contingent character of the conclusions proposed by the authors. In this review, we identify the existence of significant gaps in the literature, especially concerning the BWE when it occurs in the productive part of the SC.

Exploring mediating factors in the association between parental psychological distress and psychosocial maladjustment in adolescence

Abstract: Parental psychopathology is associated with increased psychosocial maladjustment in adolescents. We examined, from a psychosocial perspective, the association between parental psychological distress and psychosocial maladjustment in adolescents and assessed the mediating role of psychosocial covariates. This is a cross-sectional survey and the setting include representative sample of Quebec adolescents in 1999. The participants of the study include 13- and 16-year-old children (N = 2,346) in the Social and Health Survey of Quebec Children and Adolescents. The main outcome measures are internalizing disorders, externalizing disorders, substance use, and alcohol consumption. For statistical analysis, we used structural equation modeling to test for mediation. Internalizing and externalizing disorders were significantly associated with parental psychological distress, but not substance use or alcohol consumption. The higher the parental distress, the higher the risk of adolescent mental health disorders. The association between parental psychological distress and internalizing disorders was mediated by adolescent self-esteem, parental emotional support and extrafamilial social support. As for externalizing disorders, these variables only had an independent effect. In conclusion, A family's well being is a necessary condition for psychosocial adjustment in adolescence. Beyond the psychiatric approach, psychosocial considerations need to be taken into consideration to prevent negative mental health outcomes in children living in homes with distressed parents.

Rethinking the Effective Sample Size

Abstract: The effective sample size (ESS) is widely used in sample-based simulation methods for assessing the quality of a Monte Carlo approximation of a given distribution and of related integrals. In this paper, we revisit and complete the approximation of the ESS in the specific context of importance sampling (IS). The derivation of this approximation, that we will denote as $\widehat{\text{ESS}}$, is only partially available in Kong [1992]. This approximation has been widely used in the last 25 years due to its simplicity as a practical rule of thumb in a wide variety of importance sampling methods. However, we show that the multiple assumptions and approximations in the derivation of $\widehat{\text{ESS}}$, makes it difficult to be considered even as a reasonable approximation of the ESS. We extend the discussion of the ESS in the multiple importance sampling (MIS) setting, and we display numerical examples. This paper does not cover the use of ESS for MCMC algorithms.