相关论文: Time Consistent Dynamic Risk Processes, Cadlag Mod…
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 consider a general honest homogeneous continuous-time Markov process with restarts. The process is forced to restart from a given distribution at time moments generated by an independent Poisson process. The motivation to study such…
It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…
This paper generalizes results concerning strong convexity of two-stage mean-risk models with linear recourse to distortion risk measures. Introducing the concept of (restricted) partial strong convexity, we conduct an in-depth analysis of…
In this short note, we show that every convex, order bounded above functional on a Frechet lattice is automatically norm continuous. This improves a result in \cite{RS06} and applies to many deviation and variability measures. We also show…
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered…
This paper considers continuously differentiable functions of two vector variables that have (possibly a continuum of) min-max saddle points. We study the asymptotic convergence properties of the associated saddle-point dynamics…
This paper studies the regularity of the minimum time function, $T(\cdot)$, for a control system with a general closed target, taking the state equation in the form of a differential inclusion. Our first result is a sensitivity relation…
We analyse derivative securities whose value is NOT a deterministic function of an underlying which means presence of a basis risk at any time. The key object of our analysis is conditional probability distribution at a given underlying…
We analyze the convergence rate of various momentum-based optimization algorithms from a dynamical systems point of view. Our analysis exploits fundamental topological properties, such as the continuous dependence of iterates on their…
Science and technology have a growing need for effective mechanisms that ensure reliable, controlled performance from black-box machine learning algorithms. These performance guarantees should ideally hold conditionally on the input-that is…
Directional-change Intrinsic Time analysis has long revealed scaling laws in market microstructure, but the origin of their stability remains elusive. This article presents evidence that Intrinsic Time can be modeled as a memoryless…
The goal of this paper is to understand the conditional law of a stochastic process once it has been observed over an interval. To make this precise, we introduce the notion of a continuous disintegration: a regular conditional probability…
In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…
For sequential stochastic control problems with standard Borel measurement and control action spaces, we introduce a general (universally applicable) dynamic programming formulation, establish its well-posedness, and provide new existence…
We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…
We provide a new characterization of law-invariant backward stochastic differential equations (i.e. BSDEs) with quadratic growth. This answers the open question raised in Xu--Xu--Zhou (2022) on necessary conditions for law-invariance of…
We study a variant of the martingale optimal transport problem in a multi-period setting to derive robust price bounds of a financial derivative. On top of marginal and martingale constraints, we introduce a time-homogeneity assumption,…
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
In this work, we investigate the optimal control problem for continuous-time Markov decision processes with the random impact of the environment. We provide conditions to show the existence of optimal controls under finite-horizon criteria.…