Related papers: A dual characterization of self-generation and exp…
We study regression models for the situation where both dependent and independent variables are square-integrable stochastic processes. Questions concerning the definition and existence of the corresponding functional linear regression…
We extend the It\^o-Wentzell formula for the evolution along a continuous semimartingale of a time-dependent stochastic field driven by a continuous semimartingale to tensor field-valued stochastic processes on manifolds. More concretely,…
We here first study the state space realization of a tensor-product of a pair of rational functions. At the expense of "inflating" the dimensions, we recover the classical expressions for realization of a regular product of rational…
Fractional processes have gained popularity in financial modeling due to the dependence structure of their increments and the roughness of their sample paths. The non-Markovianity of these processes gives, however, rise to conceptual and…
A market portfolio is a portfolio in which each asset is held at a weight proportional to its market value. Functionally generated portfolios are portfolios for which the logarithmic return relative to the market portfolio can be decomposed…
The evolution of an infinite population of interacting point entities placed in $\mathbb{R}^d$ is studied. The elementary evolutionary acts are death of an entity with rate that includes a competition term and independent fission into two…
Enhancements of primordial curvature fluctuations in single field inflation often involve departures from attractor trajectories in the phase space. We study enhancement/suppression of primordial fluctuations in one of the simplest models…
Financial firms and institutional investors are routinely evaluated based on their performance relative to their peers. These relative performance concerns significantly influence risk-taking behavior and market dynamics. While the…
This paper introduces a tractable model to study incentive-compatible homophily under both external environments--such as exogenous shocks or policy constraints--and internal micromotives based on interactive attributes. We propose a set of…
Form factors in the sinh-Gordon model are studied semiclassically for small values of the parameter $b\sim\hbar^{1/2}$ in the background of a radial classical solution, which describes a heavy exponential operator placed at the origin. For…
Beta Rank Function (BRF) is a two-sided distribution characterized by a smooth peak and double powerlaw decay, widely used to model empirical data exhibiting deviations from pure power laws. In this paper, we introduce a novel two-step…
We study generating functions in the context of Rota-Baxter algebras. We show that exponential generating functions can be naturally viewed in a very special case of complete free commutative Rota-Baxter algebras. This allows us to use free…
Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the…
We develop a continuous-time penalized regression framework for the estimation of time-varying coefficients and variable selection when both the response and covariates are It\^o semimartingales with jumps. The coefficient paths are…
Machine learning has revitalized causal inference by combining flexible models and principled estimators, yet robust benchmarking and evaluation remain challenging with real-world data. In this work, we introduce frengression, a deep…
We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default…
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…
Machine learning models underpin many modern financial systems for use cases such as fraud detection and churn prediction. Most are based on supervised learning with hand-engineered features, which relies heavily on the availability of…
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allowing for a possible…
We construct a family of self-similar Markov martingales with given marginal distributions. This construction uses the self-similarity and Markov property of a reference process to produce a family of Markov processes that possess the same…