相关论文: Time Consistent Dynamic Risk Processes, Cadlag Mod…

The risk of financial positions is measured by the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate nondegeneracy, finiteness and…

In an incomplete financial market, the axiomatic of Time Consistent Pricing Procedure (TCPP), recently introduced, is used to assign to any financial asset a dynamic limit order book, taking into account both the dynamics of basic assets…

We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect general multiple structural changes in the tails of marginal…

We establish new conditions for obtaining uniform bounds on the moments of discrete-time stochastic processes. Our results require a weak negative drift criterion along with a state-dependent restriction on the sizes of the one-step jumps…

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…

Demand for high-performance, robust, and safe autonomous systems has grown substantially in recent years. These objectives motivate the desire for efficient safety-theoretic reasoning that can be embedded in core decision-making tasks such…

We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measures defined by $g$-evaluations. For such problems, we…

We exhibit rationally ergodic, weakly mixing measure preserving transformations which are not subsequence rationally weakly mixing and give a condition for smoothness of renewal sequences.

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…

This paper studies the dynamic programming principle for general convex stochastic optimization problems introduced by Rockafellar and Wets in [30]. We extend the applicability of the theory by relaxing compactness and boundedness…

In this paper, we examine the fundamental performance limitations in the control of stochastic dynamical systems; more specifically, we derive generic $\mathcal{L}_p$ bounds that hold for any causal (stabilizing) controllers and any…

Consider a strong Markov process in continuous time, taking values in some Polish state space. Recently, Douc, Fort and Guillin (2009) introduced verifiable conditions in terms of a supermartingale property implying an explicit control of…

This paper deals with the problem of measurable lifting modification for stochastic processes in its most general form and with the 'product lifting problem'. Solutions to the positive are reduced to the existence of marginals with respect…

Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which…

We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…

An error in the proof of Lemma 2 (ii) in [I. Werner, Math. Proc. Camb. Phil. Soc. 140(2) 333-347 (2006)], which claims the absolute continuity of dynamically defined measures (DDM), is identified. This undermines the assertion of the…

In this paper, we derive first-order Pontryagin optimality conditions for risk-averse stochastic optimal control problems subject to final time inequality constraints, and whose costs are general, possibly non-smooth finite coherent risk…

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…

Given a c\`adl\`ag process $X$ on a filtered measurable space, we construct a version of its semimartingale characteristics which is measurable with respect to the underlying probability law. More precisely, let $\mathfrak{P}_{sem}$ be the…

Conformal risk control is an extension of conformal prediction for controlling risk functions beyond miscoverage. The original algorithm controls the expected value of a loss that is monotonic in a one-dimensional parameter. Here, we…