Related papers: Inf-convolution of G-expectations
In this paper we consider a sub-diffusion problem where the fractional time derivative is approximated either by the L1 scheme or by Convolution Quadrature. We propose new interpretations of the numerical schemes which lead to a posteriori…
Chance-constrained problems involve stochastic components in the constraints which can be violated with a small probability. We investigate the impact of different types of chance constraints on the performance of iterative search…
We study multi-marginal optimal transport problems from a probabilistic graphical model perspective. We point out an elegant connection between the two when the underlying cost for optimal transport allows a graph structure. In particular,…
Consider a model of $N$ independent, increasing $\mathbb{N}_0$-valued processes, with random, independent waiting times between jumps. It is known that there is either an emergent `leader', in which a single process possesses the maximal…
In this paper, we use the concept of artificial risk fields to predict how human operators control a vehicle in response to upcoming road situations. A risk field assigns a non-negative risk measure to the state of the system in order to…
There is growing interest in a hybrid control design for treatment evaluation, where a randomized controlled trial is augmented with external control data from a previous trial or a real world data source. The hybrid control design has the…
We develop a novel frequency-based H-infinity control method for a large class of infinite-dimensional Linear-Time-Invariant systems in transfer function form. Major benefits of our approach is that reduction or identification techniques…
Under the continuous assumption on the generator $g$, Briand et al. [Electron. Comm. Probab. 5 (2000) 101--117] showed some connections between $g$ and the conditional $g$-expectation $({\mathcal{E}}_g[\cdot|{\mathcal{F}}_t])_{t\in[0,T]}$…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
Take a random variable X with some finite exponential moments. Define an exponentially weighted expectation by E^t(f) = E(e^{tX}f)/E(e^{tX}) for admissible values of the parameter t. Denote the weighted expectation of X itself by r(t) =…
The paper proposes a general framework to analyze control problems for conservation law models on a network. Namely we consider a general class of junction distribution controls and inflow controls and we establish the compactness in $L^1$…
We present a modified model for relativistic stars which are usually represented by perfect fluids. Fluctuations of the stress tensor act as source in the modified Einstein's equation, giving it a Langevin equation form. The occurrence of…
The most commonly accepted model for investors' preferences is expected utility theory. More recently, other theories have emerged and pose new challenges to mathematics. The present paper treats preferences of cumulative prospect theory…
This work addresses a switching control problem under which the cost associated with the changes of regimes is allowed to have discontinuities in time. Our main contribution is to show several characterizations of the optimal cost function…
We consider non-reversible perturbations of reversible diffusions that do not alter the invariant distribution and we ask whether there exists an optimal perturbation such that the rate of convergence to equilibrium is maximized. We solve…
The problem of the generation of an intermediate image between two given images in an image sequence is considered. The problem is formulated as an optimal control problem governed by a transport equation. This approach bears similarities…
Learning with identical train and test distributions has been extensively investigated both practically and theoretically. Much remains to be understood, however, in statistical learning under distribution shifts. This paper focuses on a…
We study the problem of maximizing a spectral risk measure of a given output function which depends on several underlying variables, whose individual distributions are known but whose joint distribution is not. We establish and exploit an…
A previous report claimed no evidence of transgenerational epigenetic inheritance in a mouse model of in utero environmental exposure, based on the observation that gene expression changes observed in the germ cells of G1 and G2 male fetus…
Perceived risk in automated driving is often measured as discrete scores that summarise riding experience but this obscures volatile peaks from sustained elevation. Here we treat discrete clipwise ratings as constraints on an unobserved…