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We consider the least-square linear regression problem with regularization by the l1-norm, a problem usually referred to as the Lasso. In this paper, we present a detailed asymptotic analysis of model consistency of the Lasso. For various…
We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated…
Optimal balance is a non-asymptotic numerical method to compute a point on the slow manifold for certain two-scale dynamical systems. It works by solving a modified version of the system as a boundary value problem in time, where the…
This paper establishes the convergence of a time-steeping scheme for time fractional diffusion problems with nonsmooth data. We first analyze the regularity of the model problem with nonsmooth data, and then prove that the time-steeping…
Estimating the periodicity of a stationary time series via fitting a second order stationary autoregressive (AR(2)) model has been initiated by the seminal paper of Yule(1927).. We investigate properties of this procedure when applied to a…
Share price returns on different time scales can be well modelled by a superstatistical dynamics. Here we provide an investigation which type of superstatistics is most suitable to properly describe share price dynamics on various time…
We consider the dynamics of a linear stochastic approximation algorithm driven by Markovian noise, and derive finite-time bounds on the moments of the error, i.e., deviation of the output of the algorithm from the equilibrium point of an…
In this paper we examine how Lagrangian techniques can be used to compute underapproximations and overapproximation of the finite-time horizon, stochastic reach-avoid level sets for discrete-time, nonlinear systems. This approach is…
A new comprehensive approach to nonlinear time series analysis and modeling is developed in the present paper. We introduce novel data-specific mid-distribution based Legendre Polynomial (LP) like nonlinear transformations of the original…
We study the approximation of certain stochastic integrals with respect to a d-dimensional diffusion by corresponding stochastic integrals with piece-wise constant integrands. In finance this corresponds to replacing a continuously adjusted…
Informative interim adaptations lead to random sample sizes. The random sample size becomes a component of the sufficient statistic and estimation based solely on observed samples or on the likelihood function does not use all available…
Matrix ellipsoids provide a standard framework for representing bounded uncertainties in data-driven control. Since noise models for sequential observations are naturally represented as the Minkowski sum of multiple matrix ellipsoids,…
In this study, for any given terminal time $T$, we establish an $L^p$ ($P>2$) estimations of fully coupled FBSDEs based on the $L^2$ estimations. Yong [24] proposed that a natural question is whether an adapted $L^2$-solution is an adapted…
In this paper, a mathematically rigorous solution overturns existing wisdom regarding New Keynesian Dynamic Stochastic General Equilibrium. I develop a formal concept of stochastic equilibrium. I prove uniqueness and necessity, when agents…
We introduce a mathematical criterion defining the bubbles or the crashes in financial market price fluctuations by considering exponential fitting of the given data. By applying this criterion we can automatically extract the periods in…
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
A variant of variationally optimized perturbation, incorporating renormalization group properties in a straightforward way, uniquely fixes the variational mass interpolation in terms of the anomalous mass dimension. It is used at three…
The scaling invariance for chaotic orbits near a transition from unlimited to limited diffusion in a dissipative standard mapping is explained via the analytical solution of the diffusion equation. It gives the probability of observing a…
Consider the geometric range space $(X, \mathcal{H}_d)$ where $X \subset \mathbb{R}^d$ and $\mathcal{H}_d$ is the set of ranges defined by $d$-dimensional halfspaces. In this setting we consider that $X$ is the disjoint union of a red and…
We consider a general infinite horizon Heterogeneous Restless multi-armed Bandit (RMAB). Heterogeneity is a fundamental problem for many real-world systems largely because it resists many concentration arguments. In this paper, we assume…