Related papers: Dynamic Limit Growth Indices in Discrete Time
The seller's risk-indifference price evaluation is studied. We propose a dynamic risk-indifference pricing criteria derived from a fully-dynamic family of risk measures on the $L_p$-spaces for $p\in [1,\infty]$. The concept of fully-dynamic…
When we implement a portfolio selection methodology under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time-dependent, or even state-dependent during the investment procedure. In this…
Controlling complex dynamical systems has been a topic of considerable interest in academic circles in recent decades. While existing works have primarily focused on closed-loop control schemes with infinite-time durations, this paper…
Motivated by the recent interest in risk-aware control, we study a continuous-time control synthesis problem to bound the risk that a stochastic linear system violates a given specification. We use risk signal temporal logic as a…
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash…
We consider the problem of adaptive stabilization for discrete-time, multi-dimensional linear systems with bounded control input constraints and unbounded stochastic disturbances, where the parameters of the true system are unknown. To…
This technical note studies Lyapunov-like conditions to ensure a class of dynamical systems to exhibit predefined-time stability. The origin of a dynamical system is predefined-time stable if it is fixed-time stable and an upper bound of…
Complex systems span multiple spatial and temporal scales, making their dynamics challenging to understand and predict. This challenge is especially daunting when one wants to study localized and/or rare events. Advances in dynamical…
As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick…
This paper deals with the problem of finite-time learning for unknown discrete-time nonlinear systems' dynamics, without the requirement of the persistence of excitation. Two finite-time concurrent learning methods are presented to…
Deep sequence models are receiving significant interest in current machine learning research. By representing probability distributions that are fit to data using maximum likelihood estimation, such models can model data on general…
Context: The Importance of Dynamic Variability Management in Dynamic Software Product Lines. Objective: Define a protocol for conducting a systematic mapping study to summarize and synthesize evidence on dynamic variability management for…
Suppose $(f,\mathcal{X},\mu)$ is a measure preserving dynamical system and $\phi \colon \mathcal{X} \to \mathbb{R}$ a measurable function. Consider the maximum process $M_n:=\max\{X_1 \ldots,X_n\}$, where $X_i=\phi\circ f^{i-1}$ is a time…
Time series momentum strategies are widely applied in the quantitative financial industry and its academic research has grown rapidly since the work of Moskowitz, Ooi and Pedersen (2012). However, trading signals are usually obtained via…
This paper provides a formal econometric framework behind the newly developed difference-in-discontinuities design (DiDC). Despite its increasing use in applied research, there are currently limited studies of its properties. We formalize…
Evaluating and validating the performance of prediction models is a fundamental task in statistics, machine learning, and their diverse applications. However, developing robust performance metrics for competing risks time-to-event data…
In this paper, we present a novel framework for quantifying a lower bound on resilience in continuous-time (non)linear systems subject to external disturbances while ensuring satisfaction of signal temporal logic specifications. Unlike…
This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retirement, but also within the interim periods. In contrast to…
In natural resource management, or more generally in the study of sustainability issues, often the objective is to maintain the state of a given system within a desirable configuration, typically established in terms of standards or…
This paper investigates the optimization problem of an infinite stage discrete time Markov decision process (MDP) with a long-run average metric considering both mean and variance of rewards together. Such performance metric is important…