Related papers: Fine Properties of the Optimal Skorokhod Embedding…
In this note we introduce and solve a soft classification version of the famous Bayesian sequential testing problem for a Brownian motion's drift. We establish that the value function is the unique non-trivial solution to a free boundary…
We prove that the weak version of the SPDE problem \begin{align*} dV_{t}(x) & = [-\mu V_{t}'(x) + \frac{1}{2} (\sigma_{M}^{2} + \sigma_{I}^{2})V_{t}"(x)]dt - \sigma_{M} V_{t}'(x)dW^{M}_{t}, \quad x > 0, \\ V_{t}(0) &= 0 \end{align*} with a…
In this paper we wish to tackle stochastic programs affected by ambiguity about the probability law that governs their uncertain parameters. Using optimal transport theory, we construct an ambiguity set that exploits the knowledge about the…
A stochastic leap-frog algorithm for the numerical integration of Brownian motion stochastic differential equations with multiplicative noise is proposed and tested. The algorithm has a second-order convergence of moments in a finite time…
Brownian diffusion subject to stochastic resetting to a fixed position has been widely studied for applications to random search processes. In an unbounded domain, the mean first-passage time at a target site can be minimized for a…
We consider an irreducible pair $\mu \leq_c \nu$ of probability measures on $\mathbb{R}^d$ in convex order. In arXiv:2306.11019, Backhoff, Beiglb\"ock, Schachermayer and Tschiderer have shown that the Stretched Brownian Motion from $\mu$ to…
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model the underlying asset price evolution by…
Distributionally robust optimization has been shown to offer a principled way to regularize learning models. In this paper, we find that Tikhonov regularization is distributionally robust in an optimal transport sense (i.e., if an adversary…
We consider stochastic bandit problems with a continuous set of arms and where the expected reward is a continuous and unimodal function of the arm. No further assumption is made regarding the smoothness and the structure of the expected…
We propose a simple conjecture for the functional form of the asymptotic behavior of work distributions for driven overdamped Brownian motion of a particle in confining potentials. This conjecture is motivated by the fact that these…
We formulate and solve a variant of the quickest detection problem which features false negatives. A standard Brownian motion acquires a drift at an independent exponential random time which is not directly observable. Based on the…
We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by…
Most results regarding Skorokhod embedding problems (SEP) so far rely on the assumption that the corresponding stopped process is uniformly integrable, which is equivalent to the convex ordering condition…
We consider motion of an overdamped Brownian particle subject to stochastic resetting in one dimension. In contrast to the usual setting where the particle is instantaneously reset to a preferred location (say, the origin), here we consider…
Entropic optimal transport (OT) and the Sinkhorn algorithm have made it practical for machine learning practitioners to perform the fundamental task of calculating transport distance between statistical distributions. In this work, we focus…
In this paper, we prove the existence and uniqueness of solutions of the fractional p-Laplace equation with a polynomial drift of arbitrary order driven by superlinear transport noise. By the monotone argument, we first prove the existence…
Gradient optimization algorithms using epochs, that is those based on stochastic gradient descent without replacement (SGDo), are predominantly used to train machine learning models in practice. However, the mathematical theory of SGDo and…
We develop a classical well-posedness and regularity theory on a finite connected weighted graph for an extended mean field game system, its associated master equation, and a Hamilton-Jacobi- Bellman equation on the probability simplex, all…
We provide a unifying interpretation of various optimal transport problems as a minimisation of a linear functional over the set of all Choquet representations of a given pair of probability measures ordered with respect to a certain convex…
We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This…