Related papers: From Arbitrage Removal to Density Extraction: A Mo…
We study the problem of excess risk evaluation for empirical risk minimization (ERM) under convex losses. We show that by leveraging the idea of wild refitting, one can upper bound the excess risk through the so-called "wild optimism,"…
We consider the asymmetric simple exclusion process in $d\ge 3$ with open boundaries. The particle reservoirs of constant densities are modeled by birth and death processes at the boundary. We prove that, if the initial density and the…
Predictive recursion (PR) is a fast algorithm for nonparametric estimation of a mixing density, with connections to sequential Bayesian updating under a Dirichlet process prior and rigorous frequentist consistency guarantees. Extending PR…
Consider the communication-constrained problem of nonparametric function estimation, in which each distributed terminal holds multiple i.i.d. samples. Under certain regularity assumptions, we characterize the minimax optimal rates for all…
Parametric estimation of stochastic differential equations (SDEs) has been a subject of intense studies already for several decades. The Heston model for instance is driven by two coupled SDEs and is often used in financial mathematics for…
In many scientific applications, the target probability distribution cannot be evaluated in closed form or sampled from directly. Instead, it can often be decomposed into multiple components, some of which are accessible only through…
Word frequency-based methods for extractive summarization are easy to implement and yield reasonable results across languages. However, they have significant limitations - they ignore the role of context, they offer uneven coverage of…
In this paper, we consider the problem of estimating a conditional density in moderately large dimensions. Much more informative than regression functions, conditional densities are of main interest in recent methods, particularly in the…
We propose a robust elastic net (REN) model for high-dimensional sparse regression and give its performance guarantees (both the statistical error bound and the optimization bound). A simple idea of trimming the inner product is applied to…
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the…
Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward price which can, but does not have to be the risk-neutral one,…
Select-then-compress is a popular hybrid, framework for text summarization due to its high efficiency. This framework first selects salient sentences and then independently condenses each of the selected sentences into a concise version.…
Active Queue Management (AQM) for mitigating Internet congestion has been addressed via various feedback control syntheses, especially P, PI, and PID regulators, by using a linear approximation where the ``round trip time'', i.e., the…
We theoretically investigate the many-body dynamics of a tight-binding chain with dephasing noise on the infinite interval. We obtain the exact solution of an average particle-density profile for the domain wall and the alternating initial…
In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particular we consider credit-risky assets that may include random recovery upon default. The market…
This paper addresses an important gap in rigorous numerical treatments for pricing American options under correlated two-asset jump-diffusion models using the viscosity solution framework, with a particular focus on the Merton model. The…
We study the automated abstraction-based synthesis of correct-by-construction control policies for stochastic dynamical systems with unknown dynamics. Our approach is to learn an abstraction from sampled data, which is represented in the…
In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it…
We consider a principal who wishes to screen an agent with \emph{discrete} types by offering a menu of \emph{discrete} quantities and \emph{discrete} transfers. We assume that the principal's valuation is discrete strictly concave and use a…
The exclusive queueing process (EQP) incorporates the exclusion principle into classic queueing models. It can be interpreted as an exclusion process of variable system length. Here we extend previous studies of its phase diagram by…