相关论文: Dynamic monetary risk measures for bounded discret…

This work deals with the stability analysis of nonlinear sampled-data systems under nonuniform sampling. It establishes novel relationships between the stability property of the exact discrete-time model for a given sequence of (aperiodic)…

Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We…

Recently, literature on dynamic coherent risk measures has broadened the choices for risk-sensitive performance evaluation. A running example includes Cumulative prospect theory and Conditional variance at risk. Most of them can be can be…

Set-valued risk measures on $L^p_d$ with $0 \leq p \leq \infty$ for conical market models are defined, primal and dual representation results are given. The collection of initial endowments which allow to super-hedge a multivariate claim…

Many dynamical phenomena display a cyclic behavior, in the sense that time can be partitioned into units within which distributional aspects of a process are homogeneous. In this paper, we introduce a class of models - called conjugate…

We study the invariant measures and fluctuation limits of discrete-time harness processes in one spatial dimension. We construct one essential ergodic (under spatial shifts) invariant measure of the increment process derived from harness…

In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to get a solution to a suitable continuous-time Bellman…

Prediction sets provide a means of quantifying the uncertainty in predictive tasks. Using held out calibration data, conformal prediction and risk control can produce prediction sets that exhibit statistically valid error control in a…

We establish structural properties of optimal stopping problems under time-consistent dynamic (coherent) risk measures, focusing on value function monotonicity and the existence of control limit (threshold) optimal policies. While such…

Robustness guarantees are important properties to be looked for during control design. They ensure stability of closed-loop systems in face of uncertainties, unmodeled effects and bounded disturbances. While the theory on robust stability…

We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…

This paper concerns discrete-time infinite-horizon stochastic control systems with Borel state and action spaces and universally measurable policies. We study optimization problems on strategic measures induced by the policies in these…

Volatility is the canonical measure of financial risk, a role largely inherited from Modern Portfolio Theory. Yet, its universality rests on restrictive efficiency assumptions that render volatility, at best, an incomplete proxy for true…

We consider the notion of resilience for cyber-physical systems, that is, the ability of the system to withstand adverse events while maintaining acceptable functionality. We use finite temporal logic to express the requirements on the…

We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal…

We present a framework to interpret signal temporal logic (STL) formulas over discrete-time stochastic processes in terms of the induced risk. Each realization of a stochastic process either satisfies or violates an STL formula. In fact, we…

In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i.d. framework the solution to a suitable Bellman equation…

This paper is concerned with the study of the stability of dynamical systems evolving on time scales. We first {formalize the notion of matrix measures on time scales, prove some of their key properties and make use of this notion to study…

Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between…

In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing literature, focus is put on unbounded and non-uniformly ergodic…