Related papers: A duality between utility transforms and probabili…
In this note we analyze the relationship between the properties of von Neumann-Morgenstern utility functions and expected utility functions. More precisely, we investigate which of the regularity and concavity assumptions usually imposed on…
The coherence transformation is pivotal for quantum technologies, which cannot always be accomplished deterministically. We investigate the probabilistic coherence transformation under strictly incoherent operations. To this end, by virtue…
We introduce and study a generalization of majorization called relative submajorization and show that it has many applications to the resource theories of thermodynamics, bipartite entanglement, and quantum coherence. In particular, we show…
The problem of comparing concepts of dependence in general rough sets with those in probability theory had been initiated by the present author in some of her recent papers. This problem relates to the identification of the limitations of…
The two-terminal reliability, known as the pair connectedness or connectivity function in percolation theory, may actually be expressed as a product of transfer matrices in which the probability of operation of each link and site is exactly…
We study duality transformation and duality symmetry in the the electromagnetic-like charged p-form theories. It is shown that the dichotomic characterization of duality groups as $Z_2$ or SO(2) remains as the only possibilities but are now…
We present a deep transformation model for probabilistic regression. Deep learning is known for outstandingly accurate predictions on complex data but in regression tasks, it is predominantly used to just predict a single number. This…
Various problems in Engineering and Statistics require the computation of the likelihood ratio function of two probability densities. In classical approaches the two densities are assumed known or to belong to some known parametric family.…
The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem. Here, we analyze the duality principle for options that…
Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…
We generalize the classical probability frame by adopting a wider family of random variables that includes nondeterministic ones. The frame that emerges is known to host a ''classical'' extension of quantum mechanics. We discuss the notion…
A class of probability distributions is characterized via equalities in law between two order statistics shifted by independent exponential variables. An explicit formula for the quintile function of the identified family of distributions…
We study a natural variant of the implicational fragment of propositional logic. Its formulas are pairs of conjunctions of positive literals, related together by an implicational-like connective; the semantics of this sort of implication is…
We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a…
We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…
This paper studies parameterized stochastic optimization problems in finite discrete time that arise in many applications in operations research and mathematical finance. We prove the existence of solutions and the absence of a duality gap…
We establish fundamental connections between utility theories of wealth from the economic sciences and information-theoretic quantities. In particular, we introduce operational tasks based on betting where both gambler and bookmaker have…
We argue that statistical mechanics of systems with relaxation implies breaking the energy function of systems into two having different transformation rules. With this duality the energy approach incorporates the generalized vortex forces.…
Neural networks are powerful predictive models, but they provide little insight into the nature of relationships between predictors and outcomes. Although numerous methods have been proposed to quantify the relative contributions of input…
We obtain an elementary characterization of expected utility based on a representation of choice in terms of psychological gambles, which requires no assumption other than coherence between ex-ante and ex-post preferences. Weaker version of…