Related papers: Unexpected Default in an Information Based Model
We study the random acceleration model, which is perhaps one of the simplest, yet nontrivial, non-Markov stochastic processes, and is key to many applications. For this non-Markov process, we present exact analytical results for the…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
In random access protocols, the service rate depends on the number of stations with a packet buffered for transmission. We demonstrate via numerical analysis that this state-dependent rate along with the consideration of Poisson traffic and…
Contract scheduling is a general technique that allows to design a system with interruptible capabilities, given an algorithm that is not necessarily interruptible. Previous work on this topic has largely assumed that the interruption is a…
We consider a wide class of increasing L\'evy processes perturbed by an independent Brownian motion as a degradation model. Such family contains almost all classical degradation models considered in the literature. Classically failure time…
We consider the scheduling control problem for a family of unitary networks under heavy traffic, with general interarrival and service times, probabilistic routing and infinite horizon discounted linear holding cost. A natural…
In this paper, we investigate discrete-time decision-making problems in uncertain systems with partially observed states. We consider a non-stochastic model, where uncontrolled disturbances acting on the system take values in bounded sets…
We consider the degenerate Einsteins Brownian motion model when the time interval of the moving particles before the collisions, is reciprocal to the number of particles per unit volume u(x,t), at the point of observation x at time t. The…
The scope of this paper is to study the optimal stopping problems associated to a stochastic process, which may represent the gain of an investment, for which information on the final value is available a priori. This information may…
We investigate an optimal stopping problem for the expected value of a discounted payoff on a regime-switching geometric Brownian motion under two constraints on the possible stopping times: only at exogenous random times and only during a…
In recent years, bankruptcy forecasting has gained lot of attention from researchers as well as practitioners in the field of financial risk management. For bankruptcy prediction, various approaches proposed in the past and currently in…
In bankruptcy prediction, the proportion of events is very low, which is often oversampled to eliminate this bias. In this paper, we study the influence of the event rate on discrimination abilities of bankruptcy prediction models. First…
In this paper, a mixed integer linear formulation for problems considering time-of-use-type constraints for uninterruptible services is presented. Our work is motivated by demand response problems in power systems, in which certain devices…
This paper focuses on the stability of the non-arbitrage condition in discrete time market models when some unknown information $\tau$ is partially/fully incorporated into the market. Our main conclusions are twofold. On the one hand, for a…
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the…
This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be…
To predict a critical transition due to parameter drift without relying on model is an outstanding problem in nonlinear dynamics and applied fields. A closely related problem is to predict whether the system is already in or if the system…
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…
Height fluctuations are studied in the one-dimensional totally asymmetric simple exclusion process with periodic boundaries, with a focus on how late time relaxation towards the non-equilibrium steady state depends on the initial condition.…
The key challenges in design of predictor-based control laws for switched systems with arbitrary switching and long input delay are the potential unavailability of the future values of the switching signal (at current time) and the fact…