Related papers: Convergence of Optimal Expected Utility for a Sequ…
The log-density method is a powerful algorithmic framework which in recent years has given rise to the best-known approximations for a variety of problems, including Densest-$k$-Subgraph and Bipartite Small Set Vertex Expansion. These…
We address the online unconstrained submodular maximization problem (Online USM), in a setting with stochastic bandit feedback. In this framework, a decision-maker receives noisy rewards from a non monotone submodular function taking values…
In the era of deep learning, understanding over-fitting phenomenon becomes increasingly important. It is observed that carefully designed deep neural networks achieve small testing error even when the training error is close to zero. One…
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth…
Energy-based learning algorithms are alternatives to backpropagation and are well-suited to distributed implementations in analog electronic devices. However, a rigorous theory of convergence is lacking. We make a first step in this…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known approximations. We also provide precise boundaries for the…
Abernethy et al. (2011) showed that Blackwell approachability and no-regret learning are equivalent, in the sense that any algorithm that solves a specific Blackwell approachability instance can be converted to a sublinear regret algorithm…
Optimistic rollups are a popular and promising method of increasing the throughput capacity of their underlying chain. These methods rely on economic incentives to guarantee their security. We present a model of optimistic rollups that…
Given a submodular capacity space, we prove the uniform convergence in capacity and also the uniform convergence in the Choquet-mean of order $p\ge1$ with a quantitative estimate, of the multivariate Bernstein polynomials associated to a…
The recent measurements from the Atacama Cosmology Telescope (ACT) favor a higher value of the scalar spectral index $n_s$ compared to the Planck data, challenging many well-established inflationary models. In this work, we investigate the…
We consider the problem of directly optimizing a non-linear function of an outcome, where this outcome itself is the sum of many small contributions. The non-linearity of the function means that the problem is not equivalent to the…
We consider M-estimators and derive supremal-inequalities of exponential-or polynomial type according as a boundedness- or a moment-condition is fulfilled. This enables us to derive rates of r-complete convergence and also to show r-qick…
The renormalization-group improved effective potential ---to leading-log and in the linear curvature approximation--- is constructed for ``finite'' theories in curved spacetime. It is not trivial and displays a quite interesting,…
We study the design of Bayesian incentive compatible mechanisms in single parameter domains, for the objective of optimizing social efficiency as measured by social cost. In the problems we consider, a group of participants compete to…
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Scholes model. Under a constant rate of consumption, we find the…
In a consideration set model, an individual maximizes utility among the considered alternatives. I relate a consideration set additive random utility model to classic discrete choice and the extended additive random utility model, in which…
This thesis investigates the extent to which the optimal value of a constraint satisfaction problem (CSP) can be approximated by some sentence of fixed point logic with counting (FPC). It is known that, assuming $\mathsf{P} \neq…
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous permanent market impacts. The asset prices are assumed to follow…
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…