Related papers: Conditional Systemic Risk Measures
We provide explicit conditions for uniform stability, global asymptotic stability and uniform exponential stability for dynamic equations with a single delay and a nonnegative coefficient. Some examples on nonstandard time scales are also…
This paper studies finite-time safety and reach-avoid verification for stochastic discrete-time dynamical systems. The aim is to ascertain lower and upper bounds of the probability that, within a predefined finite-time horizon, a system…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
In this paper, we develop a novel contraction framework for stability analysis of discrete-time nonlinear systems with parameters following stochastic processes. For general stochastic processes, we first provide a sufficient condition for…
Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring dates of maximal risk of a financial position. Thus, the…
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a…
Systemic risk measures play a crucial role in analyzing individual losses conditional on extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for systemic risk measures. First, we classify them into two…
This paper is concerned with the stability analysis of continuous-time switched systems with a random switching signal. The switching signal manifests its characteristics with that the dwell time in each subsystem consists of a fixed part…
Stochastic processes that are randomly reset to an initial condition serve as a showcase to investigate non-equilibrium steady states. However, all existing results have been restricted to the special case of memoryless resetting protocols.…
The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing estimation procedures. In statistical…
In this paper, we seek to understand the behavior of dynamical systems that are perturbed by a parameter that changes discretely in time. If we impose certain conditions, we can study certain embedded systems within a hybrid system as…
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows…
Tests for proportional hazards assumption concerning specified covariates or groups of covariates are proposed. The class of alternatives is wide: log-hazard rates under different values of covariates may cross, approach, go away. The data…
This paper introduces assume/guarantee contracts on continuous-time control systems, hereby extending contract theories for discrete systems to certain new model classes and specifications. Contracts are regarded as formal characterizations…
Time-consistency is an essential requirement in risk sensitive optimal control problems to make rational decisions. An optimization problem is time consistent if its solution policy does not depend on the time sequence of solving the…
We analyze the phenomenon of system size stochastic resonance in a simple spatially extended system by exploiting the knowledge of the nonequilibrium potential. We show that through the analysis of that potential, and particularly its…
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…
Split conformal prediction has recently sparked great interest due to its ability to provide formally guaranteed uncertainty sets or intervals for predictions made by black-box neural models, ensuring a predefined probability of containing…
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…
We provide a new characterization of second-order stochastic dominance, also known as increasing concave order. The result has an intuitive interpretation that adding a risk with negative expected value in adverse scenarios makes the…