Related papers: On representing and hedging claims for coherent ri…
This paper studies a systemic risk control problem by the central bank, which dynamically plans monetary supply to stabilize the interbank system with borrowing and lending activities. Facing both heterogeneity among banks and the common…
This paper is concerned with the absolute stability analysis of discrete-time feedback systems with slope-restricted nonlinearities. By employing static O'Shea-Zames-Falb multipliers in the framework of integral quadratic constraints, we…
We derive the stability result of the dual curvature measure with near constant density in the even case. As an application, the existence and uniqueness of solutions to the even dual Minkowski problem for positive indices in…
Given the significance of physical measures in understanding the complexity of dynamical systems as well as the noisy nature of real-world systems, investigating the stability of physical measures under noise perturbations is undoubtedly a…
We consider the problem of decomposing monetary risk in the presence of a fully traded market in {\it some} risks. We show that a mark-to-market approach to pricing leads to such a decomposition if the risk measure is time-consistent in the…
We consider the Cauchy problem for weakly hyperbolic $m$-th order partial differential equations with coefficients low-regular in time and smooth in space. It is well-known that in general one has to impose Levi conditions to get $C^\infty$…
Shorting for hedging exposes to risk when the market dynamics is uncertain. Managing uncertainty and risk exposure is key in portfolio management practice. This paper develops a robust framework for dynamic minimum-variance hedging that…
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: 1.…
We prove stability inequalities for Lawson cones $M_{kh}$ with $$(k,h),(h,k)\in\{(3,5),(2,7),(2,8),(2,9),(2,10),(2,11)\}.$$ This extends the results of G. De. Philippis and F. Maggi to all area-minimizing Lawson cones.
We introduce a modification of the Navier-Stokes equation that has the remarkable property of possessing an infinite number of conserved quantities in the inviscid limit. This new equation is studied numerically and turbulence properties…
A dynamic linear thermo-poroelasticity model, containing inertial and relaxation terms with second-order time derivatives, is investigated in this paper. The mathematical and numerical analysis of this model is performed in the frequency…
We consider $\mathbf L^\infty$ solutions to $2\times 2$ systems of conservation laws. For genuinely nonlinear systems we prove that finite entropy solutions (in particular entropy solutions, if a uniformly convex entropy exists) belong to…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
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…
In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfect strategies with the adaptive robust stochastic to tackle…
In this work we prove the equivalence between three different weak formulations of the steady periodic water wave problem where the vorticity is discontinuous. In particular, we prove that generalised versions of the standard Euler and…
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not support it and as the foundation crumbled…
General turbulent mean statistics are shown to be characterized by a variational principle. The variational functionals, or ``effective actions'', have experimental consequences for turbulence fluctuations and are subject to realizability…
We investigate time-inconsistent portfolio problems under a broader class of monotone mean-variance (MMV) preferences. Since the optimal strategies for MMV and mean-variance (MV) preferences coincide, the MMV optimal strategies at different…
Refined stability estimates are derived for classical mixed problems. The novel emphasis is on the importance of semi norms on data functionals, inspired by recent progress on pressure-robust discretizations for the incompressible…