Related papers: Dynamic Limit Growth Indices in Discrete Time
Identification of the parameters of stable linear dynamical systems is a well-studied problem in the literature, both in the low and high-dimensional settings. However, there are hardly any results for the unstable case, especially…
We propose a novel model-selection method for dynamic networks. Our approach involves training a classifier on a large body of synthetic network data. The data is generated by simulating nine state-of-the-art random graph models for dynamic…
In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We…
Choosing a portfolio of risky assets over time that maximizes the expected return at the same time as it minimizes portfolio risk is a classical problem in Mathematical Finance and is referred to as the dynamic Markowitz problem (when the…
On the basis of an analysis of previous research, we present a generalized approach for measuring the difference of plans with an exemplary application to machine scheduling. Our work is motivated by the need for such measures, which are…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
For data sets with similar features, for example highly correlated features, most existing stability measures behave in an undesired way: They consider features that are almost identical but have different identifiers as different features.…
In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…
Control systems that satisfy temporal logic specifications have become increasingly popular due to their applicability to robotic systems. Existing control methods, however, are computationally demanding, especially when the problem size…
We derive novel criteria for designing stabilizing dynamic output-feedback controllers for a class of aperiodic impulsive systems subject to a range dwell-time condition. Our synthesis conditions are formulated as clock-dependent linear…
In this paper a new dissimilarity measure to identify groups of assets dynamics is proposed. The underlying generating process is assumed to be a diffusion process solution of stochastic differential equations and observed at discrete time.…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
We develop theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Kr\"uhner. Particular emphasis is placed on the dynamics of volatility surfaces which can be easily…
The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…
New sufficient conditions for the characterization of dwell-times for linear impulsive systems are proposed and shown to coincide with continuous decrease conditions of a certain class of looped-functionals, a recently introduced type of…
According to recent results, convergence in a prespecified or prescribed finite time can be achieved under extreme model uncertainty if control is applied continuously over time. This paper shows that this extreme amount of uncertainty…
We present a novel approach to learn the formulae characterising the emergent behaviour of a dynamical system from system observations. At a high level, the approach starts by devising a statistical dynamical model of the system which…