Related papers: On representing and hedging claims for coherent ri…
We study the stable behaviour of discrete dynamical systems where the map is convex and monotone with respect to the standard positive cone. The notion of tangential stability for fixed points and periodic points is introduced, which is…
In this paper, we derive a stability result for $L_1$ and $L_{\infty}$ perturbations of diffusions under weak regularity conditions on the coefficients. In particular, the drift terms we consider can be unbounded with at most linear growth,…
This study investigated the stability of Hamilton--Jacobi equation on general metric spaces with a perturbation in some whole space. This type of stability appears in the domain perturbation problem. We find that the stability holds when…
We characterize probability measure with finite moment of any order in terms of the symmetric difference operators of their Fourier transforms. By using our new characterization, we prove the continuity $f(t,v)\in C((0, \infty),L^1_{2k-2…
We study coherent risk measures which are time-consistent for multiple filtrations. We show that a coherent risk measure is time-consistent for every filtration if and only if it is one of four main types. Furthermore, if the risk measure…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
We prove new characterisations of exponential stability for positive linear discrete-time systems in ordered Banach spaces, in terms of small-gain conditions. Such conditions have played an important role in the finite-dimensional systems…
We present experimental results on simultaneous space-time measurements for the gravity wave turbulence in a large laboratory flume. We compare these results with predictions of the weak turbulence theory (WTT) based on random waves, as…
We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes over a finite time horizon. These…
We investigate the stability of the Epstein-Zin problem with respect to small distortions in the dynamics of the traded securities. We work in incomplete market model settings, where our parametrization of perturbations allows for joint…
This article discusses a unified convergence analysis of the semilinear time-dependent equation $\partial_t u + (-1)^\mathrm{m}\Delta^{\mathrm{m}}u + u^3 - u = f$ with $\mathrm{m} \in \{1,2\}$ and homogeneous Dirichlet boundary conditions.…
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating…
We construct Gibbs perturbations of the Gamma process on $\mathbbm{R}^d$, which may be used in applications to model systems of densely distributed particles. First we propose a definition of Gibbs measures over the cone of discrete Radon…
In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study…
The aim of this paper is to develop some tools in order to obtain the weak consistency of (in other words, analogues of the Lax-Wendroff theorem for) finite volume schemes for balance laws in the multi-dimensional case and under minimal…
To achieve robustness of risk across different assets, risk parity investing rules, a particular state of risk contributions, have grown in popularity over the previous few decades. To generalize the concept of risk contribution from the…
We investigate discrete-time mean-variance portfolio selection problems viewed as a Markov decision process. We transform the problems into a new model with deterministic transition function for which the Bellman optimality equation holds.…
In this paper, we prove that under the domination condition: \begin{equation*} {\cal{E}}^{-\mu,-\nu}[-\xi|{\cal{F}}_t]\leq\rho_t(\xi)\leq{\cal{E}}^{\mu,\nu}[-\xi|{\cal{F}}_t],\quad \forall\xi\in \mathcal{L}^{\exp}_T\ (\text{resp.}\…
This work discusses the boundedness of solutions for impulsive Duffing equation with time-dependent polynomial potentials. By KAM theorem, we prove that all solutions of the Duffing equation with low regularity in time undergoing suitable…
The problem of the stabilization of moduli is discussed within the context of compactified strongly coupled heterotic string theory. It is shown that all geometric, vector bundle and five-brane moduli are completely fixed, within a…