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Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a…
We study the analyticity of the value function in optimal investment with expected utility from terminal wealth and the relation to stochastically dominant financial models. We identify both a class of utilities and a class of…
Convolutions of independent random variables often arise in a natural way in many applied problems. In this article, we compare convolutions of two sets of gamma (negative binomial) random variables in the convolution order and the usual…
We present a diagrammatic decomposition of the transition pair correlation function for the uniform electron gas. We demonstrate explicitly that ring and ladder diagrams are dual counterparts that capture significant long- and short-ranged…
Optimization of distortion riskmetrics with distributional uncertainty has wide applications in finance and operations research. Distortion riskmetrics include many commonly applied risk measures and deviation measures, which are not…
For a discrete function $f\left( x\right) $ on a discrete set, the finite difference can be either forward and backward. However, we observe that if $ f\left( x\right) $ is a sum of two functions $f\left( x\right) =f_{1}\left( x\right)…
Invertibility is important in ring theory because it enables division and facilitates solving equations. Moreover, (nonassociative) rings can be endowed with an extra ''structure'' such as order and topology allowing more richness in the…
Heavy-tailed phenomena appear across diverse domains --from wealth and firm sizes in economics to network traffic, biological systems, and physical processes-- characterized by the disproportionate influence of extreme values. These…
This paper considers derivation of $f$-divergence inequalities via the approach of functional domination. Bounds on an $f$-divergence based on one or several other $f$-divergences are introduced, dealing with pairs of probability measures…
Duality between estimation and control is a foundational concept in Control Theory. Most students learn about the elementary duality -- between observability and controllability -- in their first graduate course in linear systems theory.…
We generalize the theory of Lorentz-covariant distributions to broader classes of functionals including ultradistributions, hyperfunctions, and analytic functionals with a tempered growth. We prove that Lorentz-covariant functionals with…
For a bivariate random vector (X,Y), symmetry conditions are presented that yield stochastic orderings among |X|, |Y|, |max(X,Y)|, and | min(X, Y)|. Partial extensions of these results for multivariate random vectors (X1,...,Xn) are also…
An introductory survey of some of the developments that have taken place in superstring theory in the past few years is presented. The main focus is on three particular dualities. The first one is the appearance of an 11th dimension in the…
Categories enriched over a commutative unital quantale can be studied as generalized, or many-valued, ordered structures. Because many concepts, such as complete distributivity, in lattice theory can be characterized by existence of certain…
We present generalization of the Bloom variety theorem of ordered algebras in fuzzy setting. We introduce algebras with fuzzy orders which consist of sets of functions which are compatible with particular binary fuzzy relations called fuzzy…
Stochastic dominance is a crucial tool for the analysis of choice under risk. It is typically analyzed as a property of two gambles that are taken in isolation. We study how additional independent sources of risk (e.g. uninsurable labor…
We derive the fluctuation theorem for a stochastic and periodically driven system coupled to two reservoirs with the aid of a master equation. We write down the cumulant generating functions for both the current and entropy production in…
Grothendieck duality theory assigns to essentially-finite-type maps f of noetherian schemes a pseudofunctor f^\times right-adjoint to Rf_*, and a pseudofunctor f^! agreeing with f^\times when f is proper, but equal to the usual inverse…
We prove comparison principles for nonlinear potential theories in euclidian spaces in a very straightforward manner from duality and monotonicity. We shall also show how to deduce comparison principles for nonlinear differential operators,…
Second order approximate ancillaries have evolved as the primary ingredient for recent likelihood development in statistical inference. This uses quantile functions rather than the equivalent distribution functions, and the intrinsic…