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

In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon, this paper proves that for general dynamic convex risk measures, the buyer's and seller's risk indifference prices of a contingent claim are…

Stability analysis of discrete-time switched systems under minimum dwell-time is studied using a new type of LMI conditions. These conditions are convex in the matrices of the system and shown to be equivalent to the nonconvex conditions…

In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively,…

This paper introduces test and estimation procedures for abrupt and gradual changes in the entire jump behaviour of a discretely observed Ito semimartingale. In contrast to existing work we analyse jumps of arbitrary size which are not…

One of the crucial problems in mathematical finance is to mitigate the risk of a financial position by setting up hedging positions of eligible financial securities. This leads to focusing on set-valued maps associating to any financial…

For Markov processes over discrete configurations, an asymptotic bound on the uncertainty of stochastic fluxes is derived in terms of the harmonic mean of decay rates with respect to the stationary distribution. This bound is necessarily…

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…

The metalog distributions represent a convenient way to approach many practical applications. Their distinctive feature is simple closed-form expressions for quantile functions. This paper contributes to further development of the metalog…

A variant of the optimal control problem is considered which is nonstandard in that the performance index contains "stochastic" integrals, that is, integrals against very irregular functions. The motivation for considering such performance…

The performance of online convex optimization algorithms in a dynamic environment is often expressed in terms of the dynamic regret, which measures the decision maker's performance against a sequence of time-varying comparators. In the…

This article considers the average optimality for a continuous-time Markov decision process with Borel state and action spaces and an arbitrarily unbounded nonnegative cost rate. The existence of a deterministic stationary optimal policy is…

A pseudorandom point in an ergodic dynamical system over a computable metric space is a point which is computable but its dynamics has the same statistical behavior as a typical point of the system. It was proved in [Avigad et al. 2010,…

In this paper, we consider isotropic and stationary max-stable, inverse max-stable and max-mixture processes $X=(X(s))\_{s\in\bR^2}$ and the damage function $\cD\_X^{\nu}= |X|^\nu$ with $0<\nu<1/2$. We study the quantitative behavior of a…

We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of super-hedging a European option. Our main result is the…

Bellman formulated a vague principle for optimization over time, which characterizes optimal policies by stating that a decision maker should not regret previous decisions retrospectively. This paper addresses time consistency in stochastic…

This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…

We prove a sufficient set of conditions for a sequence of finite measures on the space of cadlag measure-valued paths to converge to the canonical measure of super-Brownian motion in the sense of convergence of finite-dimensional…

We investigate dynamical heterogeneities in the collective relaxation of a concentrated microgel system, for which the packing fraction can be conveniently varied by changing the temperature. The packing fraction dependent mechanical…

The `local time on curves' formula of Peskir provides a stochastic change of variables formula for a function whose derivatives may be discontinuous over a time-dependent curve, a setting which occurs often in applications in optimal…

We present a novel characterization of slow variables for continuous Markov processes that provably preserve the slow timescales. These slow variables are known as reaction coordinates in molecular dynamical applications, where they play a…