Related papers: On the Dybvig-Ingersoll-Ross Theorem
In the present paper, an empirical study of LIBOR (London Interbank Offered Rate) data is presented. In particular, a data set of interest rates from 1997 to 1999, for two different currencies and various maturities, is analyzed. It turns…
We study non-rectangular robust Markov decision processes under the average-reward criterion, where the ambiguity set couples transition probabilities across states and the adversary commits to a stationary kernel for the entire horizon. We…
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of…
Inverse reinforcement learning (IRL) for linear systems seeks a cost function whose optimal controller reproduces an expert policy from data. Existing data-driven methods for discrete-time linear systems are largely built on iterative…
Dickson's Lemma is a simple yet powerful tool widely used in termination proofs, especially when dealing with counters or related data structures. However, most computer scientists do not know how to derive complexity upper bounds from such…
In this paper, we prove a Morse index theorem for the index form of even order linear Hamiltonian systems on the closed interval with reasonable self-adjoint boundary conditions. The highest order term is assumed to be nondegenerate.
This paper introduces a novel model-free and a partially model-free algorithm for inverse optimal control (IOC), also known as inverse reinforcement learning (IRL), aimed at estimating the cost function of continuous-time nonlinear…
We study the structural stability of tachyonic inflation against changes in the shape of the potential. Following Lidsey (Gen. Rel. Grav. 25 (1993) 399), the concepts of rigidity and fragility are defined through a condition on the…
This paper provides a discrete time LIBOR analog, which can be used for arbitrage-free discretization of Levy LIBOR models or discrete approximation of continuous time LIBOR market models. Using the work of Eberlein and Oezkan as an…
This paper contains a phenomenological description of the whole U.S. forward rate curve (FRC), based on an data in the period 1990-1996. We find that the average FRC (measured from the spot rate) grows as the square-root of the maturity,…
The 1987 Bourgain-Tzafriri Restricted Invertibility Theorem is one of the most celebrated theorems in analysis. At the time of their work, the authors raised the question of a possible infinite dimensional version of the theorem. In this…
We establish a connection between distributionally robust optimization (DRO) and classical robust statistics. We demonstrate that this connection arises naturally in the context of estimation under data corruption, where the goal is to…
In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the initial cost of the cheapest portfolio that dominates a…
The algebraic stability theorem for $\mathbb{R}$-persistence modules is a fundamental result in topological data analysis. We present a stability theorem for $n$-dimensional rectangle decomposable persistence modules up to a constant…
A reasonable segment of reliability theory is perpetrated to the study of failure rates, their properties, connections and applications. The present study focused on failure rate distributions and their shape properties. Failure rates of…
The Peierls argument is a mathematically rigorous and intuitive method to show the presence of a non-vanishing spontaneous magnetization in some lattice models. This argument is typically explained for the $D=2$ Ising model in a way which…
We consider intuitionistic variants of linear temporal logic with `next', `until' and `release' based on expanding posets: partial orders equipped with an order-preserving transition function. This class of structures gives rise to a logic…
We use topological ideas to show that, assuming the conjecture of Erd\"(o)s on subsets of positive integers having no $p$ terms in arithmetic progression (A. P.), there must exist a subset $M_p$ of positive integers with no $p$ terms in A.…
We consider a residuals-based distributionally robust optimization (DRO) model, where the underlying uncertainty depends on both covariate information and our decisions. We adopt both parametric and nonparametric regression models to learn…
Iterated Prisoner's Dilemma(IPD) is a well-known benchmark for studying the long term behaviors of rational agents, such as how cooperation can emerge among selfish and unrelated agents that need to co-exist over long term. Many well-known…