Related papers: Levy-stable scaling of risk and performance functi…
The behaviour of a stochastic dynamical system may be largely influenced by those low-probability, yet extreme events. To address such occurrences, this paper proposes an infinite-horizon risk-constrained Linear Quadratic Regulator (LQR)…
A novel robust nonlinear model predictive control strategy is proposed for systems with nonlinear dynamics and convex state and control constraints. Using a sequential convex approximation approach and a difference of convex functions…
Integral constraints on the linear instability of stratified parallel flow with planar shear at an arbitrary angle to the vertical are derived using the analytical approach of Miles and Howard, for perturbations with 2D spatial structure,…
Horizontal visibility graphs (HVGs) encode the ordinal structure of time series and provide graph-local summaries of path topology. This article introduces L+(t), the forward visibility horizon at node t, with finite-sample terminal…
We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar L\'evy-type stochastic processes. We derive rigorous error bounds for the…
Robust estimators for linear regression require non-convex objective functions to shield against adverse affects of outliers. This non-convexity brings challenges, particularly when combined with penalization in high-dimensional settings.…
We consider the problem of active learning in the context of spatial sampling for level set estimation (LSE), where the goal is to localize all regions where a function of interest lies above/below a given threshold as quickly as possible.…
The exponentially weighted moving average (EMWA) could be labeled as a competitive volatility estimator, where its main strength relies on computation simplicity, especially in a multi-asset scenario, due to dependency only on the decay…
We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency…
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon problems, and allow notably some coefficients to be stochastic. Our method is…
We study the global convergence of policy gradient for infinite-horizon entropy-regularized Markov decision processes (MDPs) with continuous state and action spaces. We consider log-linear softmax policies with linear function…
The vapor-liquid critical behavior of intrinsically asymmetric fluids is studied in finite systems of linear dimensions, $L$, focusing on periodic boundary conditions, as appropriate for simulations. The recently propounded ``complete''…
In this paper approximation methods for infinite-dimensional Levy processes, also called (time-dependent) Levy fields, are introduced. For square integrable fields beyond the Gaussian case, it is no longer given that the one-dimensional…
We report on the emergence of scaling laws in the temporal evolution of the daily closing values of the S\&P 500 index prices and its modeling based on the L\'evy flights in two dimensions (2D). The efficacy of our proposed model is…
Mathematical regularisation of the nonlinear terms in the Navier-Stokes equations provides a systematic approach to deriving subgrid closures for numerical simulations of turbulent flow. By construction, these subgrid closures imply…
We consider a nonlinear variational wave equation that models the dynamics of the director field in nematic liquid crystals with high molecular rotational inertia. Being derived from an energy principle, energy stability is an intrinsic…
Self-similar processes are useful in modeling diverse phenomena that exhibit scaling properties. Operator scaling allows a different scale factor in each coordinate. This paper develops practical methods for modeling and simulating…
It is known that the implied volatility skew of FX options demonstrates a stochastic behavior which is called stochastic skew. In this paper we create stochastic skew by assuming the spot/instantaneous variance correlation to be stochastic.…
We exploit the asymptotic normality of the extreme value theory (EVT) based estimators of the parameters of a symmetric L\'evy-stable distribution, to construct confidence intervals. The accuracy of these intervals is evaluated through a…
We present a nonparametric family of estimators for the tail index of a Pareto-type distribution when covariate information is available. Our estimators are based on a weighted sum of the log-spacings between some selected observations.…