Related papers: Robust Trading in a Generalized Lattice Market
The uncertainties in material and other properties of structures are usually spatially correlated. We introduce an efficient technique for representing and processing spatially correlated random fields in robust topology optimisation of…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
For a many-to-many matching market, we study the lattice structure of the set of random stable matchings. We define a partial order on the random stable set and present two intuitive binary operations to compute the least upper bound and…
Linear contracts are ubiquitous in practice, yet optimal contract theory often prescribes complex, nonlinear structures. We provide a distributional robustness justification for linear contracts. We study a principal-agent problem where the…
We consider linear programs involving uncertain parameters and propose a new tractable robust counterpart which contains and generalizes several other models including the existing Affinely Adjustable Robust Counterpart and the Fully…
Despite recent advancements in machine learning, in practice, relevant datasets are often distributed among market competitors who are reluctant to share. To incentivize data sharing, recent works propose analytics markets, where multiple…
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…
Trading markets represent a real-world financial application to deploy reinforcement learning agents, however, they carry hard fundamental challenges such as high variance and costly exploration. Moreover, markets are inherently a…
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…
The present work generalizes the analytical results of Petrikaite (2016) to a market where more than two firms interact. As a consequence, for a generic number of firms in the oligopoly model described by Janssen et al (2005), the…
We study stable matchings that are robust to preference changes in the two-sided stable matching setting of Gale and Shapley [GS62]. Given two instances $A$ and $B$ on the same set of agents, a matching is said to be robust if it is stable…
Traditional bulk load flexibility options, such as load shifting and load curtailment, for managing uncertainty in power markets limit the diversity of options and ignore the preferences of the individual loads, thus reducing efficiency and…
We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or…
For systems with uncertain linear models, bounded additive disturbances and state and control constraints, a robust model predictive control algorithm incorporating online model adaptation is proposed. Sets of model parameters are…
Platform giants in China have operated with persistently compressed margins in highly concentrated markets for much of the past decade, despite market shares exceeding 60\% in core segments. Standard theory predicts otherwise: either the…
In this work, we study a generalized Fisher market model that incorporates social influence. In this extended model, a buyer's utility depends not only on their own resource allocation but also on the allocations received by their…
This paper proposes an adaptive lattice-based motion planning solution to address the problem of generating feasible trajectories for systems, represented by a linearly parameterizable non-linear model operating within a cluttered…
We study a continuous-time financial market with continuous price processes under model uncertainty, modeled via a family $\mathcal{P}$ of possible physical measures. A robust notion ${\rm NA}_{1}(\mathcal{P})$ of no-arbitrage of the first…
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static…
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset Pricing and a Superhedging Theorem,…