Related papers: Construction of multi-default models with full via…
In this work, we consider the almost-sure termination problem for probabilistic programs that asks whether a given probabilistic program terminates with probability 1. Scalable approaches for program analysis often rely on modularity as…
We investigate the supports of extremal martingale measures with pre-specified marginals in a two-period setting. First, we establish in full generality the equivalence between the extremality of a given measure $Q$ and the denseness in…
The Multi Variate Mixture Dynamics model is a tractable, dynamical, arbitrage-free multivariate model characterized by transparency on the dependence structure, since closed form formulae for terminal correlations, average correlations and…
In this paper we demonstrate how the recently reported exactly and quasi-exactly solvable models admitting quasinormal modes can be constructed and classified very simply and directly by the newly proposed prepotential approach. These new…
While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of default is crucial, but also the severity of losses needs to…
Two major difficulties in using default logics are their intractability and the problem of selecting among multiple extensions. We propose an approach to these problems based on integrating nommonotonic reasoning with plausible reasoning…
We introduce a generalized version of the famous Stable Marriage problem, now based on multi-modal preference lists. The central twist herein is to allow each agent to rank its potentially matching counterparts based on more than one…
We provide a unified framework for modeling LIBOR rates using general semimartingales as driving processes and generic functional forms to describe the evolution of the dynamics. We derive sufficient conditions for the model to be…
In this paper we introduce and study the concept of optimal and surely optimal dual martingales in the context of dual valuation of Bermudan options, and outline the development of new algorithms in this context. We provide a…
We consider the martingale optimal transport duality for c\`adl\`ag processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging strategies) are proved for a class of…
Partial orders are used extensively for modeling and analyzing concurrent computations. In this paper, we define two properties of partially ordered sets: width-extensibility and interleaving-consistency, and show that a partial order can…
We prove a robust super-hedging duality result for path-dependent options on assets with jumps, in a continuous time setting. It requires that the collection of martingale measures is rich enough and that the payoff function satisfies some…
We introduce and study certain deformations of Drinfeld quasi-modular forms by using rigid analytic trivialisations of corresponding Anderson's t-motives. We show that a sub-algebra of these deformations has a natural graduation by the…
We establish almost sure invariance principles, a strong form of approximation by Brownian motion, for non-stationary time-series arising as observations on dynamical systems. Our examples include observations on sequential expanding maps,…
This mini-course provides a presentation of the method of characteristics to initial/boundary-value problems for systems of first-order partial differential equations and to Hamilton-Jacobi variational inequalities. In particular, these…
We study the problem of assessing the robustness of counterfactual explanations for deep learning models. We focus on $\textit{plausible model shifts}$ altering model parameters and propose a novel framework to reason about the robustness…
We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with intensity process $(\lambda_t)$. We give a priori estimates for…
We show continuity of the martingale optimal transport optimisation problem as a functional of its marginals. This is achieved via an estimate on the projection in the nested/causal Wasserstein distance of an arbitrary coupling on to the…
Inspired by the classical theory of modules over a monoid, we give a first account of the natural notion of module over a monad. The associated notion of morphism of left modules ("Linear" natural transformations) captures an important…
We explore end-to-end trained differentiable models that integrate natural logic with neural networks, aiming to keep the backbone of natural language reasoning based on the natural logic formalism while introducing subsymbolic vector…