Related papers: Superhedging under Proportional Transaction Costs …

Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…

We study superhedging of contingent claims with physical delivery in a discrete-time market model with convex transaction costs. Our model extends Kabanov's currency market model by allowing for nonlinear illiquidity effects. We show that…

We study the classic {\sc Dominating Set} problem with respect to several prominent parameters. Specifically, we present algorithmic results that sidestep time complexity barriers by the incorporation of either approximation or larger…

This script offers an implementation-oriented introduction to deep learning methods for solving and estimating high-dimensional dynamic stochastic models in economics and finance. Its starting point is the curse of dimensionality:…

We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This…

We study a novel general class of multidimensional type-I backward stochastic Volterra integral equations. Toward this goal, we introduce an infinite dimensional system of standard backward SDEs and establish its well-posedness, and we show…

We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…

Sharp asymptotic lower bounds of the expected quadratic variation of discretization error in stochastic integration are given. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves…

The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…

We study a class of backward stochastic differential equations (BSDEs) driven by a random measure or, equivalently, by a marked point process. Under appropriate assumptions we prove well-posedness and continuous dependence of the solution…

Supermartingales are here defined on a non-probabilistic setting and can be interpreted solely in terms of superhedging operations. The classical expectation operator is replaced by a pair of subadditive operators one of them providing a…

We provide improved space-time tradeoffs for permutation problems over additively idempotent semi-rings. In particular, there is an algorithm for the Traveling Salesperson Problem that solves $N$-vertex instances using space $S$ and time…

In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the…

Navigating a collision-free and optimal trajectory for a robot is a challenging task, particularly in environments with moving obstacles such as humans. We formulate this problem as a stochastic optimal control problem. Since solving the…

The centralized training for decentralized execution paradigm emerged as the state-of-the-art approach to $\epsilon$-optimally solving decentralized partially observable Markov decision processes. However, scalability remains a significant…

We study Markov decision processes with Polish state and action spaces. The action space is state dependent and is not necessarily compact. We first establish the existence of an optimal ergodic occupation measure using only a near-monotone…

Real-world tasks involve nuanced combinations of goal and safety specifications. In high dimensions, the challenge is exacerbated: formal automata become cumbersome, and the combination of sparse rewards tends to require laborious tuning.…

We study finite-horizon continuous-time policy evaluation from discrete closed-loop trajectories under time-inhomogeneous dynamics. The target value surface solves a backward parabolic equation, but the Bellman baseline obtained from…

We consider a broad class of dynamic programming (DP) problems that involve a partially linear structure and some positivity properties in their system equation and cost function. We address deterministic and stochastic problems, possibly…

We explore the statistical and economic importance of restrictions on the dynamics of risk compensation from the perspective of a real-time Bayesian learner who predicts bond excess returns using dynamic term structure models (DTSMs). The…