Related papers: Inf-convolution of G-expectations
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward…
Many real-world systems often involve physical components or operating environments with highly nonlinear and uncertain dynamics. A number of different control algorithms can be used to design optimal controllers for such systems, assuming…
We introduce the notion of an interpolating path on the set of probability measures on finite graphs. Using this notion, we first prove a displacement convexity property of entropy along such a path and derive Prekopa-Leindler type…
Clinical transfusion-outcomes research faces unique methodological challenges compared with other areas of clinical research. These challenges arise because patients frequently receive multiple transfusions, each unit originates from a…
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth across multi-name defaultable stocks and a riskless bond under…
We develop and analyze $M$-estimation methods for divergence functionals and the likelihood ratios of two probability distributions. Our method is based on a non-asymptotic variational characterization of $f$-divergences, which allows the…
Set- and vector-valued optimization problems can be re-formulated as complete lattice-valued problems. This has several advantages, one of which is the existence of a clear-cut solution concept which includes the attainment as the infimum…
We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establish an explicit integral representation of this representing…
This paper is interested in the description of the density of particles evolving according to some optimal policy of an impulse control problem. We first fix sets on which the particles jump and explain how we can characterize such a…
Transductive conformal prediction addresses the simultaneous prediction for multiple data points. Given a desired confidence level, the objective is to construct a prediction set that includes the true outcomes with the prescribed…
We consider reinforcement learning with performance evaluated by a dynamic risk measure. We construct a projected risk-averse dynamic programming equation and study its properties. Then we propose risk-averse counterparts of the methods of…
The problem of estimating small transition probabilities for overdamped Langevin dynamics is considered. A simplification of Girsanov's formula is obtained in which the relationship between the infinitesimal generator of the underlying…
In this paper, we wish to investigate the dynamics of information transfer in evolutionary dynamics. We use information theoretic tools to track how much information an evolving population has obtained and managed to retain about different…
Entanglement or entanglement generating interactions permit to achieve the maximum allowed speed in the dynamical evolution of a composite system, when the energy resources are distributed among subsystems. The cases of pre-existing…
This paper addresses the problem of estimating a convex regression function under both the sup-norm risk and the pointwise risk using B-splines. The presence of the convex constraint complicates various issues in asymptotic analysis,…
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…
This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a…
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…
This paper features expectiles in dynamic and stochastic optimization. Expectiles are a family of risk functionals characterized as minimizers of optimization problems. For this reason, they enjoy various unique stability properties, which…
We study the problem of bounding path-dependent expectations (within any finite time horizon $d$) over the class of discrete-time martingales whose marginal distributions lie within a prescribed tolerance of a given collection of benchmark…