We establish the duality-formula for the superreplication price in a setting of volatility uncertainty which includes the example of "random G-expectation." In contrast to previous results, the contingent claim is not assumed to be quasi-continuous.
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Theory developed for complex Hessian measures on Hermitian manifolds.
problem Defining and analyzing complex Hessian measures on Hermitian manifolds.
method Potential theory for m-subharmonic functions with respect to a Hermitian metric.
result Equivalence between polar sets and negligible sets for m-subharmonic functions.
We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather than quasi-continuous) random variable, a generalization of the random G-expectation, and an optional sampling theorem that…
Functional Isolation Foreststat.ML
For the purpose of monitoring the behavior of complex infrastructures (e.g. aircrafts, transport or energy networks), high-rate sensors are deployed to capture multivariate data, generally unlabeled, in quasi continuous-time to detect quickly the occurrence of anomalies that may jeopardize the smooth operation of the s…