Related papers: A duality between utility transforms and probabili…
By embedding uncertainty into time, we obtain a conjoint axiomatic characterization of both Exponential Discounting and Subjective Expected Utility that accommodates arbitrary state and outcome spaces. In doing so, we provide a novel and…
Gilboa and Schmeidler's (1989) uncertainty aversion plays a central role in decision theory and economics, yet many inconsistent behaviors have been observed in experiments. Motivated by this, we study an axiom postulating a minimal degree…
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…
We consider a multinomial distribution, where the number of cells increases and the cell-probabilities decreases as the number of observations grows. The probabilities of large deviations of statistics, which has form of a sum of Borel…
Incomplete preferences provide the epistemic foundation for models of imprecise subjective probabilities and utilities that are used in robust Bayesian analysis and in theories of bounded rationality. This paper presents a simple…
Metric distortion in social choice is a framework for evaluating how well voting rules minimize social cost when both voters and candidates exist in a shared metric space, with a voter's cost defined by their distance to a candidate. Voters…
A variant of the divergence theory for vacuum-condensation developed in a previous communication is analyzed from the viewpoint of a 'time' asymmetric law in vacuum. This law is found to establish a substantial distinction between…
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
We describe a duality mapping between STRIPS planning tasks. By exchanging the initial and goal conditions, taking their respective complements, and swapping for every action its precondition and delete list, one obtains for every STRIPS…
We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time-series data.…
The idea of slicing divergences has been proven to be successful when comparing two probability measures in various machine learning applications including generative modeling, and consists in computing the expected value of a `base…
We establish a super-replication duality in a continuous-time financial model where an investor's trades adversely affect bid- and ask-prices for a risky asset and where market resilience drives the resulting spread back towards zero at an…
The consideration of nonstandard models of the real numbers and the definition of a qualitative ordering on those models provides a generalization of the principle of maximization of expected utility. It enables the decider to assign…
We exploit qualitative probabilistic relationships among variables for computing bounds of conditional probability distributions of interest in Bayesian networks. Using the signs of qualitative relationships, we can implement abstraction…
We introduce a new notion of conditional nonlinear expectation under probability distortion. Such a distorted nonlinear expectation is not sub-additive in general, so it is beyond the scope of Peng's framework of nonlinear expectations. A…
We consider stochastic motion of a particle on a cyclic graph with arbitrarily periodic time dependent kinetic rates. We demonstrate duality relations for statistics of currents in this model and in its continuous version of a diffusion in…
We discuss the physical consequences of a duality between two models with quenched disorder, in which particles propagate in one dimension among random traps or across random barriers. We derive an exact relation between their diffusion…
This paper is concerned with whether or not the preferential gauge can ensure the uniqueness and correctness of results obtained from the standard time-dependent perturbation theory, in which the transition probability is formulated in…
In quantum operations, probabilities characterise both the degree of the success of a state transformation and, as density operator eigenvalues, the degree of mixedness of the final state. We give a unified treatment of pure-to-pure state…
Building on recent developments in models focused on the shape properties of odds ratios, this paper introduces two new models that expand the class of available distributions while preserving specific shape characteristics of an underlying…