Related papers: On representing and hedging claims for coherent ri…
The KdV-Burgers equation is a canonical model describing the interplay between nonlinearity, viscosity and dispersion, and it admits viscous-dispersive shocks as traveling wave solutions. In this paper, we establish an $L^2$-contraction…
This work presents a sum-of-squares (SOS) based framework to perform data-driven stabilization and robust control tasks on discrete-time linear systems where the full-state observations are corrupted by L-infinity bounded input,…
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treatment of time consistency which is…
We prove stability results for nonlinear diffusion equations of the porous medium and fast diffusion types with respect to the nonlinearity power $m$: solutions with fixed data converge in a suitable sense to the solution of the limit…
In this paper, we investigate the problem of verifying the finite-time safety of continuous-time perturbed deterministic systems represented by ordinary differential equations in the presence of measurable disturbances. Given a finite-time…
A key characteristic of the anomalous sub-solution equation is that the solution exhibits algebraic decay rate over long time intervals, which is often refered to the Mittag-Leffler type stability. For a class of power nonlinear…
We introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization. We model uncertainty in terms of the Gelbrich distance on the mean-covariance space, along with prior structural information about…
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets…
In this paper we provide a flexible framework allowing for a unified study of time consistency of risk measures and performance measures (also known as acceptability indices). The proposed framework not only integrates existing forms of…
We consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not only because of its theoretical significance, but also for…
Stability is a key property of both forward models and inverse problems, and depends on the norms considered in the relevant function spaces. For instance, stability estimates for hyperbolic partial differential equations are often based on…
It is by now well-known that one can recover a potential in the wave equation from the knowledge of the initial waves, the boundary data and the flux on a part of the boundary satisfying the Gamma-conditions of J.-L. Lions. We are…
In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout are the notion of the…
For a general class of gas models ---which includes discrete and continuous Gibbsian models as well as contour or polymer ensembles--- we determine a \emph{diluteness condition} that implies: (1) Uniqueness of the infinite-volume…
We study the unique solvability of the discretized Helmholtz problem with Robin boundary conditions using a conforming Galerkin $hp$-finite element method. Well-posedness of the discrete equations is typically investigated by applying a…
We prove in this paper the weak consistency of a general finite volume convection operator acting on discrete functions which are possibly not piecewise-constant over the cells of the mesh and over the time steps. It yields an extension of…
For 2D compressible Euler equations of isentropic gas, we prove the structural stability of mixed Riemann configurations containing centered rarefaction waves and surfaces of discontinuities (such as shock waves or vortex sheets), by…
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception of the portfolio…
The Lebesgue property (order-continuity) of a monotone convex function on a solid vector space of measurable functions is characterized in terms of (1) the weak inf-compactness of the conjugate function on the order-continuous dual space,…
Expanding on techniques of concentration of measure, we develop a quantitative framework for modeling liquidity risk using convex risk measures. The fundamental objects of study are curves of the form $(\rho(\lambda X))_{\lambda \ge 0}$,…