Related papers: Representation Theory for Risk On Markowitz-Tversk…

We consider the minimization of a cost function $f$ on a manifold $M$ using Riemannian gradient descent and Riemannian trust regions (RTR). We focus on satisfying necessary optimality conditions within a tolerance $\varepsilon$.…

We derive a family of risk-sensitive reinforcement learning methods for agents, who face sequential decision-making tasks in uncertain environments. By applying a utility function to the temporal difference (TD) error, nonlinear…

We study a class of dynamically consistent risk measures that robustify a time-homogeneous Markovian reference model by allowing for distributional uncertainty in its transition laws. We start from one-step convex risk evaluations in which…

Riemannian Geometry, Topology and Dynamics permit to introduce partially defined holomorphic functions on the variety of representations of the fundamental group of a manifold. The functions we consider are the complex valued Ray-Singer…

We present a theory of expected utility with state-dependent linear utility functions for monetary returns, that incorporates the possibility of loss-aversion. Our results relate to first order stochastic dominance, mean-preserving spread,…

We study the index theory of a class of perturbed Dirac operators on non-compact manifolds of the form $\mathsf{D}+\mathrm{i}\mathsf{c}(X)$, where $\mathsf{c}(X)$ is a Clifford multiplication operator by an orbital vector field with respect…

We define an analytic index and prove a topological index theorem for a non-compact manifold $M\_0$ with poly-cylindrical ends. We prove that an elliptic operator $P$ on $M\_0$ has an invertible perturbation $P+R$ by a lower order operator…

We introduce a new paradigm for risk sharing that generalizes earlier models based on discrete agents and extends them to allow for sharing risk within a continuum of agents. Agents are represented by points of a measure space and have…

We study meromorphic actions of unipotent complex Lie groups on compact K\"ahler manifolds using moment map techniques. We introduce natural stability conditions and show that sets of semistable points are Zariski-open and admit geometric…

This text is an expanded series of lecture notes based on a 5-hour course given at the workshop entitled "Workshop for young researchers: Groups acting on manifolds" held in Teres\'opolis, Brazil in June 2016. The course introduced a number…

Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two dimensional space…

We give a proof of the cobordism invariance of the index of elliptic pseudodifferential operators on sigma-compact manifolds, where, in the non-compact case, the operators are assumed to be multiplication outside a compact set. We show…

Invariant connections with torsion on simple group manifolds $S$ are studied and an explicit formula describing them is presented. This result is used for the dimensional reduction in a theory of multidimensional gravity with curvature…

This paper develops a novel operator theoretic framework to study the contraction properties of Markov semigroups with respect to a general class of Kantorovich semi-distances, which notably includes Wasserstein distances. The rather simple…

A random Lie group action on a compact manifold generates a discrete time Markov process. The main object of this paper is the evaluation of associated Birkhoff sums in a regime of weak, but sufficiently effective coupling of the…

We propose center-outward superquantile and expected shortfall functions, with applications to multivariate risk measurements, extending the standard notion of value at risk and conditional value at risk from the real line to…

There has been much interest in generalizing Kesten's criterion for amenability in terms of a random walk to other contexts, such as determining amenability of a deck covering group by the bottom of the spectrum of the Laplacian or entropy…

In physical systems possessing symmetry, reconstructing the underlying causal structure from observational data constitutes an inverse problem of fundamental importance. In this work, we formulate the inverse problem of causal inference…

Here we consider the discrete time dynamics described by a transformation $T:M \to M$, where $T$ is the shift and $M=\{1,2,...,d\}^\mathbb{N}$. It is known that the infinite-dimensional manifold $\mathcal{N}$ of H\"older equilibrium…

Screw and Lie group theory allows for user-friendly modeling of multibody systems (MBS) while at the same they give rise to computationally efficient recursive algorithms. The inherent frame invariance of such formulations allows for use of…