Related papers: Stochastic Utilities With a Given Optimal Portfoli…
The aim of our work is to provide a simple homogenization and discrete-to-continuum procedure for energy driven problems involving stochastic rapidly-oscillating coefficients. Our intention is to extend the periodic unfolding method to the…
In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized…
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…
This paper is devoted to the construction of stochastic flows of measurable mappings in a locally compact separable metric space (M, $\rho$). We propose a new construction that produces strong measurable continuous modifications for certain…
We consider a linearized dynamical system modelling the flow rate of water along the rivers and hillslopes of an arbitrary watershed. The system is perturbed by a random rainfall in the form of a compound Poisson process. The model…
The tree-based ensembles are known for their outstanding performance in classification and regression problems characterized by feature vectors represented by mixed-type variables from various ranges and domains. However, considering…
Three algorithms are developed for uncertainty quantification in modeling coupled Stokes and Darcy flows. The porous media may consist of multiple regions with different properties. The permeability is modeled as a non-stationary stochastic…
Advanced measurement techniques and high performance computing have made large data sets available for a wide range of turbulent flows that arise in engineering applications. Drawing on this abundance of data, dynamical models can be…
We introduce a class of spatial stochastic processes in the max-domain of attraction of familiar max-stable processes. The new class is based on Cox processes and comprises models with short range dependence. We show that statistical…
In this paper, we establish a general stochastic maximum principle for optimal control for systems described by a continuous-time Markov regime-switching stochastic recursive utilities model. The control domain is postulated not to be…
We propose a systematic training-free method to transform the probability flow of a "linear" stochastic process characterized by the equation X_{t}=a_{t}X_{0}+\sigma_{t}X_{1} into a straight constant-speed (SC) flow, reminiscent of…
Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be…
Stochastic HYPE is a novel process algebra that models stochastic, instantaneous and continuous behaviour. It develops the flow-based approach of the hybrid process algebra HYPE by replacing non-urgent events with events with…
Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general…
Stochastic network calculus is a theory for stochastic service guarantee analysis of computer communication networks. In the current stochastic network calculus literature, its traffic and server models are typically based on the cumulative…
In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…
Stochastic network calculus is an evolving theory which accounts for statistical multiplexing and uses an envelope approach for probabilistic delay and backlog analysis of networks. One of the key ideas of stochastic network calculus is the…
A non-perturbative and continuous definition of RG transformations as stochastic processes is proposed, inspired by the observation that the functional RG equations for effective Boltzmann factors may be interpreted as Fokker-Planck…
Natural gas consumption by users of pipeline networks is subject to increasing uncertainty that originates from the intermittent nature of electric power loads serviced by gas-fired generators. To enable computationally efficient…
Benchmarks in the utility function have various interpretations, including performance guarantees and risk constraints in fund contracts and reference levels in cumulative prospect theory. In most literature, benchmarks are a deterministic…