Related papers: Application of simplest random walk algorithms for…
Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the pendulum model is a starting point of many…
Randomized algorithms for low-rank approximation of quaternion matrices have gained increasing attention in recent years. However, existing methods overlook pass efficiency, the ability to limit the number of passes over the input…
We study the optimal mechanism design problem faced by a market intermediary who makes revenue by connecting buyers and sellers. We first show that the optimal intermediation protocol has substantial structure: it is the solution to an…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
We examine information structure design, also called "persuasion" or "signaling", in the presence of a constraint on the amount of communication. We focus on the fundamental setting of bilateral trade, which in its simplest form involves a…
In this paper we present a computation of the mean first-passage times both for a random walk in a discrete bounded lattice, between a starting site and a target site, and for a Brownian motion in a bounded domain, where the target is a…
This paper proposes a novel mission planning algorithm for autonomous robots that selects an optimal waypoint sequence from a predefined set to maximize total reward while satisfying obstacle avoidance, state, input, derivative, mission…
Following [21, 23], the present work investigates a new relative entropy-regularized algorithm for solving the optimal transport on a graph problem within the randomized shortest paths formalism. More precisely, a unit flow is injected into…
The marginal likelihood plays an important role in many areas of Bayesian statistics such as parameter estimation, model comparison, and model averaging. In most applications, however, the marginal likelihood is not analytically tractable…
This paper considers a time-varying optimization problem associated with a network of systems, with each of the systems shared by (and affecting) a number of individuals. The objective is to minimize cost functions associated with the…
We provide an interior point method based on quasi-Newton iterations, which only requires first-order access to a strongly self-concordant barrier function. To achieve this, we extend the techniques of Dunagan-Harvey [STOC '07] to maintain…
An explicit first-order drift-randomized Milstein scheme for a regime switching stochastic differential equation is proposed and its bi-stability and rate of strong convergence are investigated for a non-differentiable drift coefficient.…
We consider an economic environment with one buyer and one seller. For a bundle $(t,q)\in [0,\infty[\times [0,1]=\mathbb{Z}$, $q$ refers to the winning probability of an object, and $t$ denotes the payment that the buyer makes. We consider…
In quantitative finance, modeling the volatility structure of underlying assets is vital to pricing options. Rough stochastic volatility models, such as the rough Bergomi model [Bayer, Friz, Gatheral, Quantitative Finance 16(6), 887-904,…
In this article we consider combinatorial markets with valuations only for singletons and pairs of buy/sell-orders for swapping two items in equal quantity. We provide an algorithm that permits polynomial time market-clearing and -pricing.…
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…
The numerical quantification of the statistics of rare events in stochastic processes is a challenging computational problem. We present a sampling method that constructs an ensemble of stochastic trajectories that are constrained to have…
In low-dimensional topology, many important decision algorithms are based on normal surface enumeration, which is a form of vertex enumeration over a high-dimensional and highly degenerate polytope. Because this enumeration is subject to…
Many auction settings implicitly or explicitly require that bidders are treated equally ex-ante. This may be because discrimination is philosophically or legally impermissible, or because it is practically difficult to implement or…
We find the variance-optimal equivalent martingale measure when multivariate assets are modeled by a regime-switching geometric Brownian motion, and the regimes are represented by a homogeneous continuous time Markov chain. Under this new…