相关论文: Logarithmic asymptotics for probability of compone…

We give explicit solutions for utility maximization of terminal wealth problem $u(X_T)$ in the presence of Knightian uncertainty in continuous time $[0,T]$ in a complete market. We assume there is uncertainty on both drift and volatility of…

We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…

In this paper, we are concerned with the numerical solution of one type integro-differential equation by a probability method based on the fundamental martingale of mixed Gaussian processes. As an application, we will try to simulate the…

A high order expansion of the renewal function is provided under the assumption that the inter-renewal time distribution is light tailed with finite moment generating function g on a neighborhood of 0. This expansion relies on complex…

We study a class of adversarial bandit optimization problems in which the loss functions may be non-convex and non-smooth. In each round, the learner observes a loss that consists of an underlying linear component together with an…

We study a risk sensitive control version of the lifetime ruin probability problem. We consider a sequence of investments problems in Black-Scholes market that includes a risky asset and a riskless asset. We present a differential game that…

Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…

We investigate a random integral which provides a natural example of an imaginary exponential functional of Brownian motion. This functional shows up in the study of the binary annihilation process, within the Doi-Peliti formalism for…

A bicriteria approximation algorithm is presented for the unrooted traveling repairman problem, realizing increased profit in return for increased speedup of repairman motion. The algorithm generalizes previous results from the case in…

We consider a spectrally-negative Markov additive process as a model of a risk process in random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees…

We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation…

We solve an optimal stopping problem where the underlying diffusion is Brownian motion on $\bf R$ with a positive drift changing at zero. It is assumed that the drift $\mu_1$ on the negative side is smaller than the drift $\mu_2$ on the…

The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy processes whose Levy densities decay as exp(-lambda|x|) or…

We consider the problem of tracking a target whose dynamics is modeled by a continuous It\=o semi-martingale. The aim is to minimize both deviation from the target and tracking efforts. We establish the existence of asymptotic lower bounds…

Given a Gaussian risk process $R(t)=u+c(t)-X(t),t\ge 0$, the cumulative Parisian ruin probability on a finite time interval $[0,T]$ with respect to $L \geq 0$ is defined as the probability that the sojourn time that the risk process $R$…

We consider the problem of approximating the partition function of the hard-core model on planar graphs of degree at most 4. We show that when the activity lambda is sufficiently large, there is no fully polynomial randomised approximation…

We consider the maximal displacement of one dimensional branching Brownian motion with (macroscopically) time varying profiles. For monotone decreasing variances, we show that the correction from linear displacement is not logarithmic but…

Long-horizon decision problems with cumulative damage couple locally attractive actions to globally adverse outcomes. We identify two orthogonal failure modes for policy-gradient methods on this class and propose a decomposition that…

We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic…

In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the…