A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Framework simplifies vision-based control and goal discovery.
In this paper we present a geometric control law for position and line-of-sight stabilization of the nonholonomic spherical robot actuated by three independent actuators. A simple configuration error function with an appropriately defined transport map is proposed to extract feedforward and proportional-derivative cont…
A method for logistic regression inference using both internal and external data.
We propose an adaptive sampling approach for multiple testing which aims to maximize statistical power while ensuring anytime false discovery control. We consider distributions whose means are partitioned by whether they are below or equal to a baseline (nulls), versus above the baseline (actual positives). In addi…
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction costs. To find optimal strategies which determine optimally both trade times and numb…
New tontine model with transaction costs for retirees.
Estimates non-parametric logistic model using case-control data and external summary info.
Study optimal investment and consumption strategies with various transaction costs.
Paper finds closed-form solutions for tontine with bequest motive.
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting capital. In the first pro…
New methods for time-to-event prediction are proposed by extending the Cox proportional hazards model with neural networks. Building on methodology from nested case-control studies, we propose a loss function that scales well to large data sets, and enables fitting of both proportional and non-proportional extensions o…
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a regime-switching process subject to both regular and singular controls. To approxima…
In frictionless markets, utility maximization problems are typically solved either by stochastic control or by martingale methods. Beginning with the seminal paper of Davis and Norman [Math. Oper. Res. 15 (1990) 676--713], stochastic control theory has also been used to solve various problems of this type in the presen…
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer is of CRRA form. By solving the corresponding Hamilton-Jacobi-Bellman equation, w…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at des…
New method uses unlabeled data to estimate intercept in case-control logistic regression.
Multiple hypothesis testing is a core problem in statistical inference and arises in almost every scientific field. Given a set of null hypotheses , Benjamini and Hochberg introduced the false discovery rate (FDR), which is the expected proportion of false positives among rejected nu…
DSDE improves OoD detection by estimating model library proportions.
A new Q-learning controller improves line follower robot control.
Paper develops robust methods for large-scale testing without tuning parameters.
fcHMRF-LIS controls FDR in neuroimaging data, improving power and scalability.
Wealth redistribution through Fokker-Planck equation controls preserves Gini coefficient.
The paper provides high-probability bounds on false discovery proportions in conformal inference.
Investigates optimal strategies for behavioral control problems with finite variation controls.
Method improves volatility targeting for index construction.
Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model the occurrence of claims according to a Poisson process. The ruin is achieved wh…
Convolutional neural networks (CNNs) are commonly used for image classification tasks, raising the challenge of their application on data flows. During their training, adaptation is often performed by tuning the learning rate. Usual learning rate strategies are time-based i.e. monotonously decreasing. In this paper, we…
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by reinsurance. The management of the company controls the reinsurance rate and div…
In this paper, we work in the framework of the Merton problem but we impose a drawdown constraint on the consumption process. This means that consumption can never fall below a fixed proportion of the running maximum of past consumption. In terms of economic motivation, this constraint represents a type of habit format…
This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We consider the optimal allocation of wealth among multiple stocks and a bank account in order to maximize the finite horizon discounted utilit…
This work is motivated by numerical solutions to Hamilton-Jacobi-Bellman quasi-variational inequalities (HJBQVIs) associated with combined stochastic and impulse control problems. In particular, we consider (i) direct control, (ii) penalized, and (iii) semi-Lagrangian discretization schemes applied to the HJBQVI proble…
CoxSE combines deep learning with self-explaining neural networks for survival analysis.
Enhances FDR control in variable selection using neural networks.
This research introduces a control system for managing DeFi money supply.
Central bank optimizes bailout cash injection to limit defaults.
To overcome the oscillation problem in the classical momentum-based optimizer, recent work associates it with the proportional-integral (PI) controller, and artificially adds D term producing a PID controller. It suppresses oscillation with the sacrifice of introducing extra hyper-parameter. In this paper, we start by …
The paper defines and solves time-inconsistent stopping control problems in multi-dimensional diffusion models.
ControlVAE improves VAE performance by adding a controller to tune hyperparameters.
One unexamined assumption in foreign ownership regulation is the notion that majority voting rights translate to 'effective control'. This assumption is so deeply entrenched in foreign investments law that possession of majority voting rights can determine the nationality of a corporation and its capacity to engage in …
In the context of the multi-dimensional infinite horizon optimal consumption-investment problem with proportional transaction costs, we provide the first order expansion in small transact costs. Similar to the one-dimensional derivation in our accompanying paper [42], the asymptotic expansion is expressed in terms of a…
A hybrid model combines Q-learning and PID controller for continuous vehicle control.
We tune one of the most common heating, ventilation, and air conditioning (HVAC) control loops, namely the temperature control of a room. For economical and environmental reasons, it is of prime importance to optimize the performance of this system. Buildings account from 20 to 40% of a country energy consumption, and …
We address the problem of non-parametric multiple model comparison: given candidate models, decide whether each candidate is as good as the best one(s) or worse than it. We propose two statistical tests, each controlling a different notion of decision errors. The first test, building on the post selection inference…
New algorithm solves Schrödinger bridge problem with mismatched channels.
Paper studies systemic robustness in financial networks using particle systems.
Paper proposes AdaDetect for FDR-controlled novelty detection.
Paper creates transparent, safe synthetic data from coarsened margins.
Modern automation systems rely on closed loop control, wherein a controller interacts with a controlled process, based on observations. These systems are increasingly complex, yet most controllers are linear Proportional-Integral-Derivative (PID) controllers. PID controllers perform well on linear and near-linear syste…