Related papers: A model-free approach to continuous-time finance
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
We consider an infinite horizon portfolio problem with borrowing constraints, in which an agent receives labor income which adjusts to financial market shocks in a path dependent way. This path-dependency is the novelty of the model, and…
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a countably infinite set. To characterize…
In this paper we study the quality of model-free valuation approaches for financial derivatives by systematically evaluating the difference between model-free super-hedging strategies and the realized payoff of financial derivatives using…
Recently, Forr\'e (arXiv:2104.11547, 2021) introduced transitional conditional independence, a notion of conditional independence that provides a unified framework for both random and non-stochastic variables. The original paper establishes…
This paper presents an augmented situation calculus-based approach to model autonomous computing paradigm in ubiquitous information services. To make it practical for commercial development and easier to support autonomous paradigm imposed…
Game-based interactive driving simulations have emerged as versatile platforms for advancing decision-making algorithms in road transport mobility. While these environments offer safe, scalable, and engaging settings for testing driving…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We regard options on VIX and Realised Variance as solutions to path-dependent partial differential equations (PDEs) in a continuous stochastic volatility model. The modeling assumption specifies that the instantaneous variance is a $C^3$…
As autonomous robots move into complex, dynamic real-world environments, they must learn to navigate safely in real time, yet anticipating all possible behaviors is infeasible. We propose a composable, model-free reinforcement learning…
We consider a zero-sum stochastic game for continuous-time Markov chain with countable state space and unbounded transition and pay-off rates. The additional feature of the game is that the controllers together with taking actions are also…
We consider a zero-sum stochastic differential game over elementary mixed feed-back strategies. These are strategies based only on the knowledge of the past state, randomized continuously in time from a sampling distribution which is kept…
It is well established that in a market with inclusion of a risk-free asset the single-period mean-variance efficient frontier is a straight line tangent to the risky region, a fact that is the very foundation of the classical CAPM. In this…
This paper is concerned with test of the conditional independence. We first establish an equivalence between the conditional independence and the mutual independence. Based on the equivalence, we propose an index to measure the conditional…
Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…
Since Hobson's seminal paper [D. Hobson: Robust hedging of the lookback option. In: Finance Stoch. (1998)] the connection between model-independent pricing and the Skorokhod embedding problem has been a driving force in robust finance. We…
Demand for high-performance, robust, and safe autonomous systems has grown substantially in recent years. These objectives motivate the desire for efficient safety-theoretic reasoning that can be embedded in core decision-making tasks such…
This paper develops a model-free sequential test for conditional independence. The proposed test allows researchers to analyze an incoming i.i.d. data stream with any arbitrary dependency structure, and safely conclude whether a feature is…
Paper is based on "The cost of illiquidity and its effects on hedging", L. C. G. Rogers and Surbjeet Singh, 2010. We generalize its thesis to constant elasticity model, which own previously used Black-Schoels model as a special case. The…