Related papers: Unexpected Default in an Information Based Model

Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole. This paper aims to forecast frailty correlated default…

We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an intensity-based framework. We assume the default intensity is not exactly known but lies between an upper and lower bound. By means of the…

This paper considers a downlink system where an access point sends the monitored status of multiple sources to multiple users. By jointly accounting for imperfect feedback and constrained transmission rate, which are key limited factors in…

The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a…

In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon, this paper proves that for general dynamic convex risk measures, the buyer's and seller's risk indifference prices of a contingent claim are…

We study the law of the minimum of a Brownian bridge, conditioned to take specific values at specific points, and the law of the location of the minimum. They are used to compare some non-adaptive optimisation algorithms for black-box…

We make a rigorous analysis of the existence and characterization of the free boundary related to the optimal stopping problem that maximizes the mean of an Ornstein--Uhlenbeck bridge. The result includes the Brownian bridge problem as a…

Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem,…

Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial…

There is a renewed interest in the uncertainty principle, reformulated from the information theoretic point of view, called the entropic uncertainty relations. They have been studied for various integrable systems as a function of their…

This paper is concerned with the point torque boundary feedback stabilization of a damped Euler-Bernoulli beam model in the presence of a time-varying state-delay. First, a finite-dimensional truncated model is derived by spectral…

We consider controller-stopper problems in which the controlled processes can have jumps. The global filtration is represented by the Brownian filtration, enlarged by the filtration generated by the jump process. We assume that there exists…

Recent literature has found conditional transition rates to be a useful tool for avoiding Markov assumptions in multi-state models. While the estimation of univariate conditional transition rates has been extensively studied, the…

By 'informational entropy', we understand an inherent boundary to knowability, due e.g. to perceptual, theoretical, evidential or linguistic limits. In this paper, we discuss a logical framework in which this boundary is incorporated into…

We introduce an infinite time horizon Brownian bridge which is determined by a stochastic Langevin equation with time dependent drift coefficient. We show that this process goes to zero almost surely when the time goes to infinity and study…

This paper considers an infinitely repeated three-player Bayesian game with lack of information on two sides, in which an informed player plays two zero-sum games simultaneously at each stage against two uninformed players. This is a…

We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…

We consider the problem of optimizing the economic performance of nonlinear constrained systems subject to uncertain time-varying parameters and bounded disturbances. In particular, we propose an adaptive economic model predictive control…

Hidden stochastic effects acting uniformly on a many-particle system can generate strong correlations and macroscopic relative fluctuations that persist at large system sizes, even when the particles themselves remain causally independent.…

We report on a lossless information engine that converts nearly all available information from an error-free feedback protocol into mechanical work. Combining high-precision detection at resolution of 1 nm with ultrafast feedback control,…