Related papers: The Entropic Measure Transform
This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…
This paper studies the pricing and hedging of derivatives in frictionless and competitive, but incomplete jump-diffusion markets. A unique equivalent martingale measure (EMM) is obtained using filtration reduction to a fictitious complete…
We develop a new semantics for defeasible inference based on extended probability measures allowed to take infinitesimal values, on the interpretation of defaults as generalized conditional probability constraints and on a preferred-model…
This paper introduces entropy balancing for continuous treatments (EBCT) by extending the original entropy balancing methodology of Hainm\"uller (2012). In order to estimate balancing weights, the proposed approach solves a globally convex…
The Random Permutation Set (RPS) is a new type of set proposed recently, which can be regarded as the generalization of evidence theory. To measure the uncertainty of RPS, the entropy of RPS and its corresponding maximum entropy have been…
Test time adaptation (TTA) equips deep learning models to handle unseen test data that deviates from the training distribution, even when source data is inaccessible. While traditional TTA methods often rely on entropy as a confidence…
Entropy minimization (EM) is frequently used to increase the accuracy of classification models when they're faced with new data at test time. EM is a self-supervised learning method that optimizes classifiers to assign even higher…
The aim of this study is to generalise recent results of the two last authors on en-tropy methods for measure solutions of the renewal equation to other classes of structured population problems. Specifically, we develop a generalised…
The length-scale dependence of the dynamic entropy is studied in a molecular dynamics simulation of a binary Lennard-Jones liquid above the mode-coupling critical temperature $T_c$. A number of methods exist for estimating the entropy of…
We propose a novel a-posteriori error estimation technique where the target quantities of interest are ratios of high-dimensional integrals, as occur e.g. in PDE constrained Bayesian inversion and PDE constrained optimal control subject to…
In this paper we present a mathematical model of the Empirical Mode Decomposition (EMD). Although EMD is a powerful tool for signal processing, the algorithm itself lacks an appropriate theoretical basis. The interpolation and iteration…
In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock…
The problem of nonlinear functional of parameters, such as differential entropy, has received much attention in information theory and statistics. In many situations, prior information about the parameters is available in the form of order…
Stochastic and soft optimal policies resulting from entropy-regularized Markov decision processes (ER-MDP) are desirable for exploration and imitation learning applications. Motivated by the fact that such policies are sensitive with…
We investigate the critical behavior of continuous phase transitions in the context of Ginzburg Landau models with a double well effective potential. In particular, we show that the recently proposed configurational entropy, a measure of…
The selection of an equilibrium state by maximising the entropy of a system, subject to certain constraints, is often powerfully motivated as an exercise in logical inference, a procedure where conclusions are reached on the basis of…
The cost of the exact solution of the many-electron problem is believed to be exponential in the number of degrees of freedom, necessitating approximations that are controlled and accurate but numerically tractable. In this paper, we show…
Electrical Resistivity Tomography (ERT) is increasingly used to study subsurface hydrological processes. It shows promising potential for estimating soil water content, a key but challenging property to quantify. However, converting the…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
By suitable reformulations, we review the mathematical frameworks of six different approaches to the description of non-equilibrium dynamics with the purpose to set up a unified formulation of the Maximum Entropy Production (MEP) principle…