Related papers: Fatou limits of stochastic integrals
We develop a general framework for pathwise stochastic integration that extends F\"ollmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums and provides pathwise counterparts of It\^o, Stratonovich,…
In this paper we study the boundary limit properties of harmonic functions on $\mathbb R_+\times K$, the solutions $u(t,x)$ to the Poisson equation \[ \frac{\partial^2 u}{\partial t^2} + \Delta u = 0, \] where $K$ is a p.c.f. set and…
Stochastic Approximation (SA) is a popular approach for solving fixed-point equations where the information is corrupted by noise. In this paper, we consider an SA involving a contraction mapping with respect to an arbitrary norm, and show…
We study the boundary behaviour of a meromorphic map $f: \mathbb C \to \widehat{\mathbb C}$ on its invariant simply connected Fatou component $U$. To this aim, we develop the theory of accesses to boundary points of $U$ and their relation…
This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for the dual objective in many applications in operations…
This paper presents relations between several types of closedness of a law-invariant convex set in a rearrangement invariant space $\mathcal{X}$. In particular, we show that order closedness,…
We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the…
Let $\rho$ be a general law--invariant convex risk measure, for instance the average value at risk, and let $X$ be a financial loss, that is, a real random variable. In practice, either the true distribution $\mu$ of $X$ is unknown, or the…
We solve time-reversed stochastic inflation in the semi-infinite flat potential with a constant drift term and derive an exact expression for the probability distribution of the curvature fluctuations. It exhibits exponential decaying tails…
The paper concerns itself with establishing large deviation principles for a sequence of stochastic integrals and stochastic differential equations driven by general semimartingales in infinite-dimensional settings. The class of…
When uncertainty is modelled by a set of non-dominated and non-compact probability measures, a notion of essential supremum for a family of real-valued functions is developed in terms of upper semi-analytic functions. We show how the…
Recently there has been renewed interests in derivative free approaches to stochastic optimization. In this paper, we examine the rates of convergence for the Kiefer-Wolfowitz algorithm and the mirror descent algorithm, under various…
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…
In this paper we study the connectivity of Fatou components for maps in a large family of singular perturbations. We prove that, for some parameters inside the family, the dynamical planes for the corresponding maps present Fatou components…
In this paper we study a class of functions that appear naturally in some equidistribution problems and that we call $F$-harmonic. These are functions of the universal cover of a closed and negatively curved which possess an integral…
Drifts of asset returns are notoriously difficult to model accurately and, yet, trading strategies obtained from portfolio optimization are very sensitive to them. To mitigate this well-known phenomenon we study robust growth-optimization…
A random field $X = (X_v)_{v \in G}$ on a quasi-transitive graph $G$ is a factor of i.i.d. if it can be written as $X=\varphi(Y)$ for some i.i.d. process $Y= (Y_v)_{v \in G}$ and equivariant map $\varphi$. Such a map, also called a coding,…
Monotone inclusions have a wide range of applications, including minimization, saddle-point, and equilibria problems. We introduce new stochastic algorithms, with or without variance reduction, to estimate a root of the expectation of…
Stochastic dynamical systems consisting of non-invertible continuous maps on an interval are studied. It is proved that if they satisfy the recently introduced so-called $\mu$-injectivity and some mild assumptions, then proximality,…
Empirical studies indicate the existence of long range dependence in the volatility of the underlying asset. This feature can be captured by modeling its return and volatility using functions of a stationary fractional Ornstein--Uhlenbeck…