Related papers: Hybrid Risk Processes: A Versatile Framework for M…

We present a novel, generalised formulation to treat coupled structural integrity problems by combining phase field and multi-physics modelling. The approach exploits the versatility of the heat transfer equation and is therefore well…

We review basic modeling approaches for failure and maintenance data from repairable systems. In particular we consider imperfect repair models, defined in terms of virtual age processes, and the trend-renewal process which extends the…

In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising…

This paper considers a variant of the classical Cram\'er-Lundberg model that is particularly appropriate in the credit context, with the distinguishing feature that it corresponds to a finite number of obligors. The focus is on computing…

Open-pit mine scheduling is a complex real world optimization problem that involves uncertain economic values and dynamically changing resource capacities. Evolutionary algorithms are particularly effective in these scenarios, as they can…

This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and…

We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a `potential' or `objective' function. This allows us to rescale data from different assets (or sources) such that each data…

One of the most important tasks of urban and hazard planning is to mitigate the damages and minimize the costs of the recovery process after catastrophic events. The rapidity and the efficiency of the recovery process are commonly referred…

Lehmann's ideas on concepts of dependence have had a profound effect on mathematical theory of reliability. The aim of this paper is two-fold. The first is to show how the notion of a ``hazard potential'' can provide an explanation for the…

In this paper we look into the problem of planning over hybrid domains, where change can be both discrete and instantaneous, or continuous over time. In addition, it is required that each state on the trajectory induced by the execution of…

Currently, many machine learning algorithms contain lots of iterations. When it comes to existing large-scale distributed systems, some slave nodes may break down or have lower efficiency. Therefore traditional machine learning algorithm…

We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions…

In this note we consider the two-dimensional risk model introduced in Avram et al. \cite{APP08} with constant interest rate. We derive the integral-differential equations of the Laplace transforms, and asymptotic expressions for the finite…

Prediction markets rely on liquidity to convert trades into informative prices, yet existing mechanisms fix liquidity ex ante. This restriction enforces a static trade-off between price responsiveness and worst-case loss despite inherently…

We consider the problem of optimally designing a system for repeated use under uncertainty. We develop a modeling framework that integrates design and operational phases, which are represented by a mixed-integer program and discounted-cost…

The paper proposes a model reduction algorithm for linear hybrid systems, i.e., hybrid systems with externally induced discrete events, with linear continuous subsystems, and linear reset maps. The model reduction algorithm is based on…

It is well known that rather general mutation-recombination models can be solved algorithmically (though not in closed form) by means of Haldane linearization. The price to be paid is that one has to work with a multiple tensor product of…

In this work, we introduce a new Hybrid High-Order method for the numerical simulation of fracture propagation based on phase-field models. The proposed method supports general meshes made of polygonal/polyhedral elements, which provides…

Achieving a just and sustainable transition requires the pursuit of multiple social and environmental targets. Two primary barriers impede this process: (1) targets are often in conflict with each other, and (2) policies aimed at these…

Many real-world decision problems require solving, again and again, combinatorial optimization instances drawn from a common distribution. A recent line of structured learning methods exploits this regularity by learning policies that pair…