相关论文: Nonparametric Stochastic Discount Factor Decomposi…

This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (Borel right process (BRP)) and the stochastic discount…

Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from…

This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we show that common nonparametric assumptions on per-period…

This paper develops a unified framework that links firm-level predictive signals, cross-asset spillovers, and the stochastic discount factor (SDF). Signals and spillovers are jointly estimated by maximizing the Sharpe ratio, yielding an…

We develop a generalization of correlated trend-cycle decompositions that avoids prior assumptions about the long-run dynamic characteristics by modelling the permanent component as a fractionally integrated process and incorporating a…

We study existence and uniqueness of the fixed points solutions of a large class of non-linear variable discounted transfer operators associated to a sequential decision-making process. We establish regularity properties of these solutions,…

In this paper, we provide a new algorithm for the finite dimensional approximation of the linear transfer Koopman and Perron-Frobenius operator from time series data. We argue that existing approach for the finite dimensional approximation…

This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to…

The non-Hermitian matrix-valued Brownian motion is the stochastic process of a random matrix whose entries are given by independent complex Brownian motions. The bi-orthogonality relation is imposed between the right and the left…

We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…

We consider Klein-Gordon equations with an external potential $V$ and a quadratic nonlinearity in $3+1$ space dimensions. We assume that $V$ is regular and decaying and that the (massive) Schr\"odinger operator $H=-\Delta+V+m^2$ has a…

In a previous paper, dealing with "Applications in $\mathbb{R}^1$," the authors developed a new approach to the computation of the Hausdorff dimension of the invariant set of an iterated function system or IFS and studied some applications…

In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-additive utility functions considered in a number of models in…

Simulating the long-term dynamics of multi-scale and multi-physics systems poses a significant challenge in understanding complex phenomena across science and engineering. The complexity arises from the intricate interactions between scales…

The feedback particle filter (FPF), a resampling-free algorithm proposed over a decade ago, modifies the particle filter (PF) by incorporating a feedback structure. Each particle in FPF is regulated via a feedback gain function (lacking a…

Tensor decomposition is a fundamental framework to analyze data that can be represented by multi-dimensional arrays. In practice, tensor data is often accompanied by temporal information, namely the time points when the entry values were…

This paper deals with the consistency, a rate of convergence and the asymptotic distribution of a nonparametric estimator of the trend in the Skorokhod reflection problem defined by a fractional SDE and a Moreau sweeping process.

We consider the dynamic inventory problem with non-stationary demands. It has long been known that non-stationary (s, S) policies are optimal for this problem. However, finding optimal policy parameters remains a computational challenge as…

In this paper, we introduce a model that adds a non-linearity to discounting: the discounting factor may depend on the notional (i.e., discounted values are no longer linear in the notional). In the first part of the paper, we provide a…

In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…