Related papers: On the Dybvig-Ingersoll-Ross Theorem
We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecreasing utility function defined on the whole real line. She…
We present an arbitrage-free non-parametric yield curve prediction model which takes the full (discretized) yield curve as state variable. We believe that absence of arbitrage is an important model feature in case of highly correlated data,…
Double robustness (DR) is a widely-used property of estimators that provides protection against model misspecification and slow convergence of nuisance functions. Despite its widespread application, the theoretical foundation of DR remains…
We study dynamic mechanism design in a pure-exchange economy with privately observed idiosyncratic income. In the standard infinitely lived hidden-income benchmark of Green (1987) and Thomas-Worrall (1990), constrained-efficient allocations…
This paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting. We obtain a condition on the discount factor process under which all of the standard optimality results…
We consider a financial market in which the short rate is modeled by a continuous time Markov chain (CTMC) with a finite state space. In this setting, we show how to price any financial derivative whose payoff is a function of the state of…
In this article, we consider a 2 factors-model for pricing defaultable bond with discrete default intensity and barrier where the 2 factors are stochastic risk free short rate process and firm value process. We assume that the default event…
The Doob-Dynkin Lemma gives conditions on two functions $X$ and $Y$ that ensure existence of a function ${\phi}$ so that $X = {\phi} \circ Y$. This communication proves different versions of the Doob-Dynkin Lemma, and shows how it is…
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Levy factors is considered. The setting includes rating migrations driven by a Markov…
The Erdos-Moser theorem (EM) states that every infinite tournament has an infinite transitive subtournament. This principle plays an important role in the understanding of the computational strength of Ramsey's theorem for pairs (RT^2_2) by…
The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…
We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes. We design a fast numerical procedure, for which we prove the convergence, based on the Sinkhorn algorithm that has been recently…
Motivated by Arveson's conjecture, we introduce a notion of hyperrigidity for a partial order on the state space of a $C^*$-algebra $B$. We show how this property is equivalent to the existence of a boundary: a subset of the pure states…
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest…
This paper studies relations among axioms on individuals' intertemporal choices under risk. The focus is on Risk Averse over Time Lotteries (RATL), meaning that a fixed prize is preferred to a lottery with the same monetary prize but a…
This paper proves that if a discrete distribution is infinitely divisible (ID) with integer-valued components, then it has a mass at the origin, which also implies why certain ID discrete laws do not have gaps in its support. We argue that…
The purpose of this article is to develop an algebraic approach to the problem of integrable classification of differential-difference equations with one continuous and two discrete variables. As a classification criterion, we put forward…
We consider a family of learning strategies for online optimization problems that evolve in continuous time and we show that they lead to no regret. From a more traditional, discrete-time viewpoint, this continuous-time approach allows us…
We prove the almost sure invariance principle with rate $o(n^{\varepsilon})$ for every $\varepsilon > 0$ for H\"older continuous observables on nonuniformly expanding and nonuniformly hyperbolic transformations with exponential tails.…