Related papers: Concave Continuation: Linking Routing to Arbitrage
In the ever evolving landscape of decentralized finance automated market makers (AMMs) play a key role: they provide a market place for trading assets in a decentralized manner. For so-called bluechip pairs, arbitrage activity provides a…
We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing,…
We characterize incentive compatible mechanisms in environments with hidden types and flexible hidden actions. Our approach introduces extended recommendation schedules that specify prescribed actions also off-path, after misreports. This…
Despite significant recent advances in deep neural networks, training them remains a challenge due to the highly non-convex nature of the objective function. State-of-the-art methods rely on error backpropagation, which suffers from several…
We study the existing algorithms that solve the multidimensional martingale optimal transport. Then we provide a new algorithm based on entropic regularization and Newton's method. Then we provide theoretical convergence rate results and we…
We consider unconstrained multi-criteria optimization problems with finite sum objective functions. The proposed algorithm belongs to a non-monotone trust region framework where additional sampling approach is used to govern the sample size…
This paper proposes an accelerated consensus-based distributed iterative algorithm for resource allocation and scheduling. The proposed gradient-tracking algorithm introduces an auxiliary variable to add momentum towards the optimal state.…
We proposed an iterate scheme for solving convex-concave saddle-point problems associated with general convex-concave functions. We demonstrated that when our iterate scheme is applied to a special class of convex-concave functions, which…
The marginal maximum a posteriori probability (MAP) estimation problem, which calculates the mode of the marginal posterior distribution of a subset of variables with the remaining variables marginalized, is an important inference problem…
The algorithm for inverting covariant exterior derivative is provided. It works for a sufficiently small star-shaped region of a fibered set - a local subset of a vector bundle and associated vector bundle. The algorithm contains some…
Quantization of the parameters of machine learning models, such as deep neural networks, requires solving constrained optimization problems, where the constraint set is formed by the Cartesian product of many simple discrete sets. For such…
This paper mainly addresses the distributed online optimization problem where the local objective functions are assumed to be convex or non-convex. First, the distributed algorithms are proposed for the convex and non-convex situations,…
We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theoretical basis for differences in regulation for financial…
In this paper we consider from two different aspects the proximal alternating direction method of multipliers (ADMM) in Hilbert spaces. We first consider the application of the proximal ADMM to solve well-posed linearly constrained…
Modern aircraft are designed with redundant control effectors to cater for fault tolerance and maneuverability requirements. This leads to aircraft being over-actuated and requires control allocation schemes to distribute the control…
Given a bidirected ring with capacities and a demand graph, we present an approximation algorithm to the problem of finding the minimum $\alpha$ such that there exists a feasible unsplittable routing of the demands after multiplying each…
Since most of the traded options on individual stocks is of American type it is of interest to generalize the results obtained in semi-static trading to the case when one is allowed to statically trade American options. However, this…
We review some recent advances in the field of element-based algebraic stabilization for continuous finite element discretizations of nonlinear hyperbolic problems. The main focus is on multidimensional convex limiting techniques designed…
Consider the inverse design problem for a scalar conservation law, i.e., the problem of finding initial data evolving into a given profile at a given time. The solution we present below takes into account localizations both in the final…
The $\alpha$-fair resource allocation problem has received remarkable attention and has been studied in numerous application fields. Several algorithms have been proposed in the context of $\alpha$-fair resource sharing to distributively…