Related papers: On representing and hedging claims for coherent ri…
In this paper we study the continuous coagulation and multiple fragmentation equation for the mean-field description of a system of particles taking into account the combined effect of the coagulation and the fragmentation processes in…
We study combinations of risk measures under no restrictive assumption on the set of alternatives. We develop and discuss results regarding the preservation of properties and acceptance sets for the combinations of risk measures. One of the…
We introduce a sequence of isolated curve singularities, the elliptic m-fold points, and an associated sequence of stability conditions, generalizing the usual definition of Deligne-Mumford stability. For every pair of integers 0<m<n, we…
In the following article we consider the time-stability associated to the sequential Monte Carlo (SMC) estimate of the backward interpretation of Feynman-Kac Formulae. This is particularly of interest in the context of performing smoothing…
We develop an averaging approach to robust risk measurement under payoff uncertainty. Instead of taking a worst-case value over an uncertainty neighborhood, we weight nearby payoffs more heavily under a chosen metric and average the…
Copositive linear Lyapunov functions are used along with dissipativity theory for stability analysis and control of uncertain linear positive systems. Unlike usual results on linear systems, linear supply-rates are employed here for…
A classical result of Halmos asserts that among measure preserving transformations the weak mixing property is generic. We extend Halmos' result to the collection of ergodic extensions of a fixed, but arbitrary, ergodic transformation…
Let $\LL_{\bf v}\subset \Z^D$ be a suitable cone semigroup and $\A_{\bf v}$ its reduced semigroup $C^*$-algebra. In this paper, we compute the $\LL_{\bf v}$-invariant measures in the transversal hull of the semigroup $\LL_{\bf v}$ that…
We consider Navier-Stokes equations for compressible viscous fluids in the one-dimensional case with general viscosity coefficients. We prove the existence of global weak solution when the initial momentum $\rho_0 u_0$ belongs to the set of…
The study of resonances (and well-posedness) for complex systems under time-periodic loading is of broad interest in application. The work of Galdi et al.~(2014) connects asymptotic stability of solutions to an unforced Cauchy problem to…
Classical conditions for ensuring the robust stability of a linear system in feedback with a sector-bounded nonlinearity include small gain, circle, passivity, and conicity theorems. In this work, we present a similar stability condition,…
We revisit second-order-in-time space-time discretizations of the linear and semilinear wave equations by establishing precise equivalences with first-order-in-time formulations. Focusing on schemes using continuous piecewise-polynomial…
We consider a market model where there are two levels of information. The public information generated by the financial assets, and a larger flow of information that contains additional knowledge about a random time. This random time can…
This paper compares two different frameworks recently introduced in the literature for measuring risk in a multi-period setting. The first corresponds to applying a single coherent risk measure to the cumulative future costs, while the…
This paper is devoted to stability analysis of discrete-time delay systems based on a set of Lyapunov-Krasovskii functionals. New multiple summation inequalities are derived that involve the famous discrete Jensen's and Wirtinger's…
We study Maxwell's equations in conducting media with perfectly conducting boundary conditions on Lipschitz domains, allowing rough material coefficients and $L^2$-data. Our first contribution is a direct proof of well-posedness of the…
The ever increasing complexity of real-time control systems results in significant deviations in the timing of sensing and actuation, which may lead to degraded performance or even instability. In this paper we present a method to analyze…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
In this paper, we study the stochastic linear complementarity problems on extended second order cones (stochastic ESOCLCP). We first convert the problem to a stochastic mixed complementarity problem on the nonegative orthant (SMixCP).…
Foster and Hart proposed an operational measure of riskiness for discrete random variables. We show that their defining equation has no solution for many common continuous distributions including many uniform distributions, e.g. We show how…