Related papers: Weak comonotonicity
We give an introduction to a notion of weak dependence which is more general than mixing and allows to treat for example processes driven by discrete innovations as they appear with time series bootstrap. As a typical example, we analyze…
A variational principle is introduced to provide a new formulation and resolution for several boundary value problems with a variational structure. This principle allows one to deal with problems well beyond the weakly compact structure. As…
Standard count models such as the Poisson and Negative Binomial models often fail to capture the large proportion of zero claims commonly observed in insurance data. To address such issue of excessive zeros, zero-inflated and hurdle models…
Weak values are quantities accessed through quantum experiments involving weak measurements and post-selection. It has been shown that 'anomalous' weak values (those lying beyond the eigenvalue range of the corresponding operator) defy…
The continuous dependence of solutions to certain (non-autonomous, partial, integro-differential-algebraic, evolutionary) equations on the coefficients is addressed. We give criteria that guarantee that convergence of the coefficients in…
We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…
We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…
This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the…
This note is concerned with a formal analysis of the problem of non-monotonic reasoning in intelligent systems, especially when the uncertainty is taken into account in a quantitative way. A firm connection between logic and probability is…
We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estimated by fitting a parametric distribution on a finite sample…
The present work address the problem of energy shaping for stochastic port-Hamiltonian system. Energy shaping is a powerful technique that allows to systematically find feedback law to shape the Hamiltonian of a controlled system so that,…
In the past decade, various exact balancing-based weighting methods were introduced to the causal inference literature. Exact balancing alleviates the extreme weight and model misspecification issues that may incur when one implements…
This paper studies an $\alpha$-robust utility maximization problem where an investor faces an intractable claim -- an exogenous contingent claim with known marginal distribution but unspecified dependence structure with financial market…
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new…
In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak…
Weak optimal transport generalizes the classical theory of optimal transportation to nonlinear cost functions and covers a range of problems that lie beyond the traditional theory - including entropic transport, martingale transport, and…
This paper is concerned with portfolio optimization models for creating high-quality lists of recommended items to balance the accuracy and diversity of recommendations. However, the statistics (i.e., expectation and covariance of ratings)…
We give a complete characterization of both comonotone and not comonotone coherent risk measures in the discrete finite probability space, where each outcome is equally likely. To the best of our knowledge, this is the first work that…
A note on the property of weak contraction, which implies that all bounded solutions of a nonlinear system converge to a (possibly non-unique) equilibrium. We provide some simple results about interconnections of such systems, and a brief…
Classic optimal transport theory is formulated through minimizing the expected transport cost between two given distributions. We propose the framework of distorted optimal transport by minimizing a distorted expected cost, which is the…