Related papers: Extreme Measures in Continuous Time Conic Finace
We consider the convex set of positive operator valued measures (POVM) which are covariant under a finite dimensional unitary projective representation of a group. We derive a general characterization for the extremal points, and provide…
Let $\bS=\{S_1,...,S_K\}$ be a finite set of complex $d\times d$ matrices and $\varSigma_{K}^+$ the compact space of all one-sided infinite sequences $i_{\bcdot}\colon\mathbb{N}\rightarrow\{1,...,K\}$. An ergodic probability $\mu_*$ of the…
The estimation of conditional quantiles at extreme tails is of great interest in numerous applications. Various methods that integrate regression analysis with an extrapolation strategy derived from extreme value theory have been proposed…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
I propose a new procedure to estimate the False Alarm Probability, the measure of significance for peaks of periodograms. The key element of the new procedure is the use of generalized extreme-value distributions, the limiting distribution…
In this work we study the continuous time exponential utility maximization problem in the framework of an investor who is informed about the price changes with a delay. This leads to a non-Markovian stochastic control problem. In the case…
Moran's index is a basic measure of spatial autocorrelation, which has been applied to varied fields of both natural and social sciences. A good measure should have clear boundary values or critical value. However, for Moran's index, both…
The task of analyzing extreme events with censoring effects is considered under a framework allowing for random covariate information. A wide class of estimators that can be cast as product-limit integrals is considered, for when the…
We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a collection of probability measures, relating our approach to…
In this paper, we modify the Bayes risk for the expectile, the so-called variantile risk measure, to better capture extreme risks. The modified risk measure is called the adjusted standard-deviatile. First, we derive the asymptotic…
In extreme value analysis, the extreme value index plays a vital role as it determines the tail heaviness of the underlying distribution and is the primary parameter required for the estimation of other extreme events. In this paper, we…
We consider bounded extremum seeking controls for time-varying linear systems with uncertain coefficient matrices and measurement uncertainty. Using a new change of variables, Lyapunov functions, and a comparison principle, we provide…
In recent years some near-optimal estimates have been established for certain sum-product type estimates. This paper gives some first extremal results which provide information about when these bounds may or may not be tight. The main tool…
In several real-world applications involving decision making under uncertainty, the traditional expected value objective may not be suitable, as it may be necessary to control losses in the case of a rare but extreme event. Conditional…
In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…
This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these…
The extremal dependence structure of a regularly varying random vector Xis fully described by its limiting spectral measure. In this paper, we investigate how torecover characteristics of the measure, such as extremal coefficients, from the…
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and maximum drawdown.…
We use one-step conditional risk mappings to formulate a risk averse version of a total cost problem on a controlled Markov process in discrete time infinite horizon. The nonnegative one step costs are assumed to be lower semi-continuous…
Risk management is very important for individual investors or companies. There are many ways to measure the risk of investment. Prices of risky assets vary rapidly and randomly due to the complexity of finance market. Random interval is a…