Related papers: Quadratic Payments with constrained probabilities

We introduce the class of pay or play games, which captures scenarios in which each decision maker is faced with a choice between two actions: one with a fixed payoff and an- other with a payoff dependent on others' selected actions. This…

We investigate the implementation of reduced-form allocation probabilities in a two-person bargaining problem without side payments, where the agents have to select one alternative from a finite set of social alternatives. We provide a…

A representation of finite-dimensional probabilistic models in terms of formally real Jordan algebras is obtained, in a strikingly easy way, from simple assumptions. This provides a framework in which real, complex and quaternionic quantum…

We derive computationally tractable formulations of the robust counterparts of convex quadratic and conic quadratic constraints that are concave in matrix-valued uncertain parameters. We do this for a broad range of uncertainty sets. In…

In this work we present a new family of options (mirror options) specially crafted to satisfy the necessities of aggressive speculators. The main ideas behind mirror options are: 1) A product that can be adjusted by the holder to agree with…

We examine the possible states of subsystems of a system of bits or qubits. In the classical case (bits), this means the possible marginal distributions of a probability distribution on a finite number of binary variables; we give necessary…

This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important…

This work focuses on the mathematical study of constant function market makers. We rigorously establish the conditions for optimal trading under the assumption of a quasilinear, but not necessarily convex (or concave), trade function. This…

Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work (2004) the…

We consider a square-integrable semimartingale and investigate the convex order relations between its discrete, continuous and predictable quadratic variation. As the main results, we show that if the semimartingale has conditionally…

We construct a collection of matrices defined by quadratic residue symbols, termed "quadratic residue matrices", associated to the splitting behavior of prime ideals in a composite of quadratic extensions of $\mathbb{Q}$, and prove a simple…

This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…

Partially observable Markov decision processes (POMDPs) provide an elegant mathematical framework for modeling complex decision and planning problems in stochastic domains in which states of the system are observable only indirectly, via a…

Mean-payoff games (MPGs) are infinite duration two-player zero-sum games played on weighted graphs. Under the hypothesis of perfect information, they admit memoryless optimal strategies for both players and can be solved in…

Classical vector analysis is the predominant formalism used by engineers of computational electromagnetism, despite the fact that manifold as a theoretical concept has existed for a century. This paper discusses the benefits of manifolds…

We consider Markov decision processes (MDPs) in which the transition probabilities and rewards belong to an uncertainty set parametrized by a collection of random variables. The probability distributions for these random parameters are…

In this paper, we will first summarize known results concerning continued fractions. Then we will limit our consideration to continued fractions of quadratic numbers. The second author described periods and sometimes precise form of…

Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…

We discuss the class of "Quadratic Normal Volatility" models, which have drawn much attention in the financial industry due to their analytic tractability and flexibility. We characterize these models as the ones that can be obtained from…

Matrix Factorization has emerged as a widely adopted framework for modeling data exhibiting low-rank structures. To address challenges in manifold learning, this paper presents a subspace-constrained quadratic matrix factorization model.…