Related papers: Risk Forms: Representation, Disintegration, and Ap…
The quantification of diversification benefits due to risk aggregation plays a prominent role in the (regulatory) capital management of large firms within the financial industry. However, the complexity of today's risk landscape makes a…
This paper is concerned with risk-sensitive performance analysis for linear quantum stochastic systems interacting with external bosonic fields. We consider a cost functional in the form of the exponential moment of the integral of a…
In this paper, we propose a class of efficient, accurate, and general methods for solving state-estimation problems with equality and inequality constraints. The methods are based on recent developments in variable splitting and partially…
We study the approximability of computing the partition functions of two-state spin systems. The problem is parameterized by a $2\times 2$ symmetric matrix. Previous results on this problem were restricted either to the case where the…
In this paper, we establish a probabilistic representation for two integration by parts formulas, one being of Bismut-Elworthy-Li's type, for the marginal law of a one-dimensional diffusion process killed at a given level. These formulas…
We derive an exact closed-form representation for the Euclidean thermal Green function of the two-dimensional (2D) free massless scalar field in coordinate space. This can be interpreted as the real part of a complex analytic function of a…
A novel approach to the problem of partial state estimation of nonlinear systems is proposed. The main idea is to translate the state estimation problem into one of estimation of constant, unknown parameters related to the systems initial…
Multivariate tempered stable random measures (ISRMs) are constructed and their corresponding space of integrable functions is characterized in terms of a quasi-norm utilizing the so-called Rosinski measure of a tempered stable law. In the…
Motivated by the problem of finding dual representations for quasiconvex systemic risk measures in financial mathematics, we study quasiconvex compositions in an abstract infinite-dimensional setting. We calculate an explicit formula for…
The Horndeski action is the most general one involving a metric and a scalar field that leads to second order field equations in four dimensions. Being the natural extension of the well known Scalar-Tensor theories, its structure and…
In this work, we propose a novel model order reduction approach for two-phase flow in porous media by introducing a formulation in which the mobility, which realizes the coupling between phase saturations and phase pressures, is regarded as…
A two-parametric family of integrable models (the SS model) that contains as particular cases several well known integrable quantum field theories is considered. After the quantum group restriction it describes a wide class of integrable…
Model checking has been proposed as a formal verification approach for analyzing computer-based and cyber-physical systems. The state space explosion problem is the main obstacle for applying this approach for sophisticated systems.…
We study the properties of the two-point spectral form factor for classically chaotic systems with spin 1/2 in the semiclassical limit, with a suitable semiclassical trace formula as our principal tool. To this end we introduce a…
We investigate a multi-factor extension of the asymptotic single risk factor (ASRF) model that underlies the capital charges of the "Basel II Accord". In this extended model, it is still possible to derive closed-form solutions for the risk…
We propose a framework to analyze how multivariate representations disentangle ground-truth generative factors. A quantitative analysis of disentanglement has been based on metrics designed to compare how one variable explains each…
The sign problem is a notorious problem, which occurs in Monte Carlo simulations of a system with a partition function whose integrand is not positive. One way to simulate such a system is to use the factorization method where one enforces…
In this paper, we study properties of certain risk measures associated with acceptance sets. These sets describe regulatory preconditions that have to be fulfilled by financial institutions to pass a given acceptance test. If the financial…
It is shown that the scaling operators in the conformal limit of a two-dimensional field theory have massive form factors which obey a simple factorisation property in rapidity space. This has been used to identify such operators within the…
Distortion Risk Measures (DRMs) capture risk preferences in decision-making and serve as general criteria for managing uncertainty. This paper proposes gradient descent algorithms for DRM optimization based on two dual representations: the…