Related papers: Comparative statics with adjustment costs and the …

We study the problem of option replication under constant proportional transaction costs in models where stochastic volatility and jumps are combined to capture the market's important features. Assuming some mild condition on the jump size…

The empirical optimal transport (OT) cost between two probability measures from random data is a fundamental quantity in transport based data analysis. In this work, we derive novel guarantees for its convergence rate when the involved…

Contraction theory is an analytical tool to study differential dynamics of a non-autonomous (i.e., time-varying) nonlinear system under a contraction metric defined with a uniformly positive definite matrix, the existence of which results…

This paper continues the examination of inventory control in which the inventory is modelled by a diffusion process and a long-term average cost criterion is used to make decisions. The class of such models under consideration have general…

Kendall's tau and conditional Kendall's tau matrices are multivariate (conditional) dependence measures between the components of a random vector. For large dimensions, available estimators are computationally expensive and can be improved…

We study a class of nonlinear nonparametric inverse problems. Specifically, we propose a nonparametric estimator of the dynamics of a monotonically increasing trajectory defined on a finite time interval. Under suitable regularity…

We develop a synthetic, variational framework for deriving comparison principles in infinite-dimensional Banach spaces. Unlike traditional approaches that rely on the regularity of minimizers and Euler--Lagrange equations, our method…

We develop a new identification strategy for demand estimation when cost shifters may not be available and there are substantial variations in demand over time. This approaches relies on a kind of nonlinear difference-in-differences, in…

The question of whether classically conformal modifications of the standard model are consistent with experimental obervations has recently been subject to renewed interest. The method of Gildener and Weinberg provides a natural framework…

We establish asymptotic properties of $M$-estimators, defined in terms of a contrast function and observations from a continuous-time locally stationary process. Using the stationary approximation of the sequence, $\theta$-weak dependence,…

The relative degree limitation for adaptive observer-based synchronization schemes is overcome. The scheme is extended to nonpassifiable systems. Two synchronization methods are described and justified based on augmented error adaptive…

In computing, as in many aspects of life, changes incur cost. Many optimization problems are formulated as a one-time instance starting from scratch. However, a common case that arises is when we already have a set of prior assignments, and…

A monotone self-mapping of the nonnegative orthant induces a monotone discrete-time dynamical system which evolves on the same orthant. If with respect to this system the origin is attractive then there must exists points whose image under…

This work is focused on the extension and assessment of the monotonicity-preserving scheme in [3] and the local bounds preserving scheme in [5] to hierarchical octree adaptive mesh refinement (AMR). Whereas the former can readily be used on…

We consider a discrete-time bipartite matching model with random arrivals of units of supply and demand that can wait in queues located at the nodes in the network. A control policy determines which are matched at each time. The focus is on…

Interchange theorems between minimization and integration are useful in optimization, especially in optimal control and in stochastic optimization. In this article, we establish a generalized minimization interchange theorem, where…

We consider discrete-time Markov Decision Processes with Borel state and action spaces and universally measurable policies. For several long-run average cost criteria, we establish the following optimality results: the optimal average cost…

The behavior of many critical phenomena at large distances is expected to be invariant under the full conformal group, rather than only isometries and scale transformations. When studying critical phenomena, approximations are often…

As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…

This work proposes a way to align statistical modeling with decision making. We provide a method that propagates the uncertainty in predictive modeling to the uncertainty in operational cost, where operational cost is the amount spent by…