Related papers: Monitoring dates of maximal risk

We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Under a qualification condition, we show that the problem is…

We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the…

According to recent results, convergence in a prespecified or prescribed finite time can be achieved under extreme model uncertainty if control is applied continuously over time. This paper shows that this extreme amount of uncertainty…

Traditional reinforcement learning (RL) aims to maximize the expected total reward, while the risk of uncertain outcomes needs to be controlled to ensure reliable performance in a risk-averse setting. In this paper, we consider the problem…

The maximum surveillance of a target which is holding course is considered, wherein an observer vehicle aims to maximize the time that a faster target remains within a fixed-range of the observer. This entails two coupled phases: an…

This paper concerns sequential computation of risk measures for financial data and asks how, given a risk measurement procedure, we can tell whether the answers it produces are `correct'. We draw the distinction between `external' and…

Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propose expected shortfall type model risk measures applied to…

In formal verification, runtime monitoring consists of observing the execution of a system in order to decide as quickly as possible whether or not it satisfies a given property. We consider monitoring in a distributed setting, for…

Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through sets of time series. Typically, this is done via hypothesis…

The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite…

This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…

We consider a stochastic control problem where the set of controls is not necessarily convex and the system is governed by a nonlinear backward stochastic differential equation. We establish necessary as well as sufficient conditions of…

The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two concepts. Based on the proposed Limitedness axiom, we prove that…

We discuss the problem of runtime verification of an instrumented program that misses to emit and to monitor some events. These gaps can occur when a monitoring overhead control mechanism is introduced to disable the monitor of an…

A broken time-reversal symmetry, i.e. broken detailed balance, is central to non-equilibrium physics and is a prerequisite for life. However, it turns out to be quite challenging to unambiguously define and quantify time-reversal symmetry…

Risk measures connect probability theory or statistics to optimization, particularly to convex optimization. They are nowadays standard in applications of finance and in insurance involving risk aversion. This paper investigates a wide…

This paper studies the problem of steering a linear time-invariant system subject to state and input constraints towards a goal location that may be inferred only through partial observations. We assume mixed-observable settings, where the…

In this article, we propose a novel characterization of law-invariant and coherent risk measures, based on a generalized optimal transport problem in which the second marginal of the admissible plans is not fixed, but required to lie within…

This article develops a method to construct the optimal sequential test for monitoring the changes in the distribution of finite observation sequences with a general dependence structure. This method allows us to prove that different…

A phase transition in high-dimensional random geometry is analyzed as it arises in a variety of problems. A prominent example is the feasibility of a minimax problem that represents the extremal case of a class of financial risk measures,…