Related papers: Robust No-Arbitrage under Projective Determinacy
The efficacy of robust optimization spans a variety of settings with uncertainties bounded in predetermined sets. In many applications, uncertainties are affected by decisions and cannot be modeled with current frameworks. This paper takes…
We derive deterministic criteria for the existence and non-existence of equivalent (local) martingale measures for financial markets driven by multi-dimensional time-inhomogeneous diffusions. Our conditions can be used to construct…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous-time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of…
The goal of this note is to provide a geometric setting in which generalized arithmetic means are best predictors in an appropriate metric. This characterization provides a geometric interpretation to the concept of certainty equivalent.…
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to be finite quadratic variation processes.…
We investigate the nonparametric estimation for regression in a fixed-design setting when the errors are given by a field of dependent random variables. Sufficient conditions for kernel estimators to converge uniformly are obtained. These…
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
This paper introduces a framework for finite non-cooperative games where each player faces a globally uncertain parameter with no common prior. Every player chooses both a mixed strategy and projects an emergent subjective prior to the…
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under proportional transaction costs in the same…
We consider the problem of optimal hedging in an incomplete market with an established pricing kernel. In such a market, prices are uniquely determined, but perfect hedges are usually not available. We work in the rather general setting of…
We study procurement design when the buyer is uncertain about both the value of the good and the seller's cost. The buyer has a conjectured model but does not fully trust it. She first identifies mechanisms that maximize her worst-case…
In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the initial cost of the cheapest portfolio that dominates a…
In this paper is presented a framework for treating uncertainty in optimal decision problems occuring in combat situations, in order to robustly select the optimal strategy. A stochastic version of the popular Lanchester's aimed-fire model…
In natural resource management, or more generally in the study of sustainability issues, often the objective is to maintain the state of a given system within a desirable configuration, typically established in terms of standards or…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
Robust optimization methods have shown practical advantages in a wide range of decision-making applications under uncertainty. Recently, their efficacy has been extended to multi-period settings. Current approaches model uncertainty either…
Choice and independence of premise principles play an important role in characterizing Kreisel's modified realizability and G\"odel's Dialectica interpretation. In this paper we show that a great many intuitionistic set theories are closed…
The non-redundancy (NRD) of a constraint satisfaction problem (CSP) is a combinatorial quantity closely tied to the behavior of CSPs in various computational models including their sparsification, kernelization, and streaming complexity. A…
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the random field of forward rates is driven by a general…