Related papers: Dynamic Limit Growth Indices in Discrete Time

Tasks that require information about the world imply a trade-off between the time spent on observation and the variance of the response. In particular, fast decisions need to rely on uncertain information. However, standard estimates of…

Several authors have recently developed risk-sensitive policy gradient methods that augment the standard expected cost minimization problem with a measure of variability in cost. These studies have focused on specific risk-measures, such as…

We study the temporal robustness of temporal logic specifications and show how to design temporally robust control laws for time-critical control systems. This topic is of particular interest in connected systems and interleaving processes…

We consider the problem of representing claims for coherent risk measures. For this purpose we introduce the concept of (weak and strong) time-consistency with respect to a portfolio of assets, generalizing the one defined by Delbaen. In a…

Nowadays we are witnessing a transformation of the business processes towards a more computation driven approach. The ever increasing usage of Machine Learning techniques is the clearest example of such trend. This sort of revolution is…

We propose a new adequacy test and a graphical evaluation tool for nonlinear dynamic models. The proposed techniques can be applied in any setup where parametric conditional distribution of the data is specified, in particular to models…

This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…

We study the temporal robustness of stochastic signals. This topic is of particular interest in interleaving processes such as multi-agent systems where communication and individual agents induce timing uncertainty. For a deterministic…

We consider reinforcement learning with performance evaluated by a dynamic risk measure. We construct a projected risk-averse dynamic programming equation and study its properties. Then we propose risk-averse counterparts of the methods of…

Many nonlinear dynamical systems can be written as Lure systems, which are described by a linear time-invariant system interconnected with a diagonal static sector-bounded nonlinearity. Sufficient conditions are derived for the global…

We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…

We study deviation of ergodic averages for dynamical systems given by self-similar tilings on the plane and in higher dimensions. The main object of our paper is a special family of finitely-additive measures for our systems. An asymptotic…

We develop an approach for solving time-consistent risk-sensitive stochastic optimization problems using model-free reinforcement learning (RL). Specifically, we assume agents assess the risk of a sequence of random variables using dynamic…

Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with S-shaped utility function in the context of portfolio…

Discrete-time regulatory networks are dynamical systems on directed graphs, with a structure inspired on natural systems of interacting units. There is a natural notion of determination amongst vertices, which we use to classify the nodes…

Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…

In this paper, we consider the problem of computing robust controlled invariants for discrete-time monotone dynamical systems. We consider different classes of monotone systems depending on whether the sets of states, control inputs and…

We study sets of local dimensions for self-similar measures in $\mathbb{R}$ satisfying the finite neighbour condition, which is formally stronger than the weak separation condition but satisfied in all known examples. Under a mild technical…

We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…

A continuous adaptive control design is developed for nonlinear dynamical systems with linearly parameterizable uncertainty involving time-varying uncertain parameters. The key feature of this design is a robust integral of the sign of the…