Related papers: A martingale concept for non-monotone information …
The binary information collects all those events that may or may not occur. With this kind of variables, a large amount of information can be captured, in particular, about financial assets and their future trends. In our paper, we assume…
Rate change calculations in the literature involve deterministic methods that measure the change in premium for a given policy. The definition of rate change as a statistical parameter is proposed to address the stochastic nature of the…
In this work we propose a statistical approach to handling sources of theoretical uncertainty in string theory models of inflation. By viewing a model of inflation as a probabilistic graph, we show that there is an inevitable information…
Partial orders have been used to model several experimental setups, going from classical thermodynamics and general relativity to the quantum realm with its resource theories. In order to study such experimental setups, one typically…
The work [8] established memory loss in the time-dependent (non-random) case of uniformly expanding maps of the interval. Here we find conditions under which we have convergence to the normal distribution of the appropriately scaled…
We consider dynamic versions of the mutual information of lifetime distributions, with focus on past lifetimes, residual lifetimes and mixed lifetimes evaluated at different instants. This allows to study multicomponent systems, by…
We describe how to analyze the wide class of non stationary processes with stationary centered increments using Shannon information theory. To do so, we use a practical viewpoint and define ersatz quantities from time-averaged probability…
Given the univariate marginals of a real-valued, continuous-time martingale, (respectively, a family of measures parameterised by $t \in [0,T]$ which is increasing in convex order, or a double continuum of call prices) we construct a family…
An approach to amputation, the process of introducing missing values to a complete dataset, is presented. It allows to construct missingness indicators in a flexible and principled way via copulas and Bernoulli margins and to incorporate…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
The fundamental question of how information spreads in closed quantum many-body systems is often addressed through the lens of the bipartite entanglement entropy, a quantity that describes correlations in a comprehensive (nonlocal) way.…
This paper considers the distribution of a general peak age of information (AoI) model and develops a general analysis approach for probabilistic performance guarantee from the time-domain perspective. Firstly, a general relationship…
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented…
Identifying the trade-offs between model-based and model-free methods is a central question in reinforcement learning. Value-based methods offer substantial computational advantages and are sometimes just as statistically efficient as…
We consider a filtration $\mathbb{G}$ obtained as enlargement of a filtration $\mathbb{F}$ by a filtration $\mathbb{H}$. We assume that all $\mathbb{F}$-local martingales are represented by a martingale $M$ and all $\mathbb{H}$-local…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
In this work we will develop a new approach to solve the non repayment problem in microfinance due to the problem of asymmetric information. This approach is based on modeling and simulation of ordinary differential systems where time…
A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Motivations for this scheme come typically…
The Black-Scholes-Merton model is a mathematical model for the dynamics of a financial market that includes derivative investment instruments, and its formula provides a theoretical price estimate of European-style options. The model's…
Insurance companies gather a growing variety of data for use in the insurance process, but most traditional ratemaking models are not designed to support them. In particular, many emerging data sources (text, images, sensors) may complement…