Related papers: Ergodic robust maximization of asymptotic growth w…
Regularly varying stochastic processes model extreme dependence between process values at different locations and/or time points. For such processes we propose a two-step parameter estimation of the extremogram, when some part of the domain…
We deal with the problem of the mean square optimal estimation of linear transformations of the unobserved values of a continuous time stochastic process with periodically correlated increments. Estimates are based on observations of the…
In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional…
In this paper, we consider stochastic optimal control of systems driven by stochastic differential equations with irregular drift coefficient. We establish a necessary and sufficient stochastic maximum principle. To achieve this, we first…
We consider the problem of finding optimal strategies that maximize the average growth-rate of multiplicative stochastic processes. For a geometric Brownian motion the problem is solved through the so-called Kelly criterion, according to…
We prove the convergence at an exponential rate towards the invariant probability measure for a class of solutions of stochastic differential equations with finite delay. This is done, in this non-Markovian setting, using the cluster…
We consider a stochastic game between a slow institutional investor and a high-frequency trader who are trading a risky asset and their aggregated order-flow impacts the asset price. We model this system by means of two coupled stochastic…
This study considers the problem of the extreme behavior exhibited by solutions to Burgers equation subject to stochastic forcing. More specifically, we are interested in the maximum growth achieved by the "enstrophy" (the Sobolev $H^1$…
In this paper, we consider a frequency-based portfolio optimization problem with $m \geq 2$ assets when the expected logarithmic growth (ELG) rate of wealth is used as the performance metric. With the aid of the notion called dominant…
In this paper we prove the asymptotic efficiency of the model selection procedure proposed by the authors in the first part. To this end we introduce the robust risk as the least upper bound of the quadratical risk over a broad class of…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent H_s=1/2, when the increments…
In this paper, we consider the chance constrained based uncertain portfolio optimization problem in which the uncertain parameters are stochastic in nature. The primary goal of the work is to formulate the uncertain problem into a…
In this paper, we study the asymptotic behavior for multi-scale stochastic differential equations driven by L\'evy processes. The optimal strong convergence order 1/2 is obtained by studying the regularity estimates for the solution of…
We provide a simple explicit estimator for discretely observed Barndorff-Nielsen and Shephard models, prove rigorously consistency and asymptotic normality based on the single assumption that all moments of the stationary distribution of…
The distributionally robust Markov Decision Process (MDP) approach asks for a distributionally robust policy that achieves the maximal expected total reward under the most adversarial distribution of uncertain parameters. In this paper, we…
The growth rate of the partial maximum of a stationary stable process was first studied in the works of Samorodnitsky (2004a,b), where it was established, based on the seminal works of Rosi\'nski (1995,2000), that the growth rate is…
Service platforms must determine rules for matching heterogeneous demand (customers) and supply (workers) that arrive randomly over time and may be lost if forced to wait too long for a match. Our objective is to maximize the cumulative…
Growth-fragmentation processes describe the evolution of systems of cells which grow continuously and fragment suddenly; they are used in models of cell division and protein polymerisation. Typically, we may expect that in the long run, the…
The stochastic growth-fragmentation model describes the temporal evolution of a structured cell population through a discrete-time and continuous-state Markov chain. The simulations of this stochastic process and its invariant measure are…