相关论文: Filtration shrinkage, the structure of deflators, …
In a semimartingale financial market model, it is shown that there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale…
New proofs are given of the existence of the compensator (or dual predictable projection) of a locally integrable c\'adl\'ag adapted process of finite variation and of the existence of the quadratic variation process for a c\'adl\'ag local…
Matrix completion is a modern missing data problem where both the missing structure and the underlying parameter are high dimensional. Although missing structure is a key component to any missing data problems, existing matrix completion…
In this paper, we consider the distributed robust filtering problem, where estimator design is based on a set of coupled linear matrix inequalities (LMIs). We separate the problem and show that the method of multipliers can be applied to…
Constructing a propagation map from a set of scattered measurements finds important applications in many areas, such as localization, spectrum monitoring and management. Classical interpolation-type methods have poor performance in regions…
This article introduces two absolutely continuous global-local shrinkage priors to enable stochastic variable selection in the context of high-dimensional matrix exponential spatial specifications. Existing approaches as a means to dealing…
We present a machine learning approach for finding minimal equivalent martingale measures for markets simulators of tradable instruments, e.g. for a spot price and options written on the same underlying. We extend our results to markets…
We introduce a Bayesian perspective for the structured matrix factorization problem. The proposed framework provides a probabilistic interpretation for existing geometric methods based on determinant minimization. We model input data…
We extend classical basis constructions from Fourier analysis to attractors for affine iterated function systems (IFSs). This is of interest since these attractors have fractal features, e.g., measures with fractal scaling dimension.…
In this paper we prove that every random variable of the form $F(M_T)$ with $F:\real^d \to\real$ a Borelian map and $M$ a $d$-dimensional continuous Markov martingale with respect to a Markov filtration $\mathcal{F}$ admits an exact…
Determinantal point processes (DPPs) are an elegant model for encoding probabilities over subsets, such as shopping baskets, of a ground set, such as an item catalog. They are useful for a number of machine learning tasks, including product…
Micro-domes based on a combination of metallic and dielectric multilayer mirrors are studied using a fully vectorial numerical basis-expansion method that accurately accounts for the effects of an arbitrary Bragg stack and can efficiently…
Fragmentation processes are part of a broad class of models describing the evolution of a system of particles which split apart at random. These models are widely used in biology, materials science and nuclear physics, and their asymptotic…
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…
The geometrical structure of PLS shrinkages is here considered. Firstly, an explicit formula for the shrinkage vector is provided. In that expression, shrinkage factors are expressed a averages of a set of basic shrinkages that depend only…
This work is concerned with the theory of initial and progressive enlargements of a reference filtration F with a random time {\tau}. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of…
A structured version of derivative-free random pattern search optimization algorithms is introduced which is able to exploit coordinate partially separable structure (typically associated with sparsity) often present in unconstrained and…
In this paper we study progressive filtration expansions with c\`adl\`ag processes. Using results from the theory of the weak convergence of $\sigma$-fields, we first establish a semimartingale convergence theorem. Then we apply it in a…
We derive results about geometric means of the Fourier modulus of filters and functions related to refinable distributions with arbitrary dilations and translations. Then we develop multi-scale constructions for dilations by…
We consider a semimartingale market model when the underlying diffusion has a singular volatility matrix and compute the hedging portfolio for a given payoff function. Recently, the representation problem for such degenerate diffusions with…