The paper develops a UCB-based method for a specific class of restless bandit problems.
problem Real-world restless bandit problems are complex and hard to solve optimally.
method Modified UCB algorithm for φ-mixing stationary pay-off distributions. result UCB-based method provides good approximate solutions under certain conditions.
We determine Kelly criterion for a game with variable pay-off. The Kelly fraction satisfies a fundamental integral equation and is smaller than the classical Kelly fraction for the same game with the constant average pay-off.
We propose an analytically tractable variation of the minority game in which rational agents use probabilistic strategies. In our model, N agents choose between two alternatives repeatedly, and those who are in the minority get a pay-off 1, others zero. The agents optimize the expectation value of their discounted fu…
New swap contracts avoid bias and numerical errors, offering fair values independent of monitoring.
problem Bias and numerical integration errors in standard swap contracts.
method Characterized as solutions to a second-order system of PDEs, identified as a vector space of pay-offs.
result Existence of infinite variety of discretisation-invariant swap contracts with fair values independent of monitoring.
We analyze the errors arising from discrete readjustment of the hedging portfolio when hedging options in exponential Levy models, and establish the rate at which the expected squared error goes to zero when the readjustment frequency increases. We compare the quadratic hedging strategy with the common market practice …
We consider a zero-sum continuous time stopping game in which the pay-off is revealed in the maximum of the two stopping times instead of the minimum, which is the case in Dynkin games.
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical framework with linear generators depending on (Y(t),Z(t)) is extended and we investigate linear generators depending on (t1∫0tY(s)ds,t1∫0tZ(s)ds). We…
A new algorithm for restless bandits handles long-range dependencies.
problem Generalization of linear bandits with time-dependent parameters.
method LinMix-UCB algorithm with Berbee's coupling lemma.
result Sub-linear regret of $\mathcal{O}\left(\sqrt{d n\mathrm{polylog}(n) }
ight)$.
Study Nash equilibrium in non-zero-sum game with Bermudan strategies.
problem Optimizing pay-offs in non-linear non-zero-sum games.
method Recursive construction to find Nash equilibrium.
result Existence of Nash equilibrium in non-zero-sum game.
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The resulting problem is a fin…
Swing options on the gas market are american style option where daily quantities exercices are constrained and global quantities exerciced each year constrained too. The option holder has to decide each day how much he consumes of the quantities satisfying the constraints and tries to use a strategy in order to maximiz…
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims paying off at maturity a joint function of the underlying and its realised volatilit…
Model evaluates insurance risk using thermodynamic principles.
problem Risk of lapses due to adverse selection in insurance.
method Collective model with diffusion process influenced by statistical mechanics.
result Derives level premium to evaluate insurance risk.
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov process. The first two components are related to the stock and volatility processe…
This research uses empirical copulas to price quanto options, showing significant differences from traditional models.
problem The dependence relation between currency and asset prices affects quanto option pricing.
method Empirical copulas are used to model the dependence between currency and asset prices.
result Empirical copulas provide non-negligible pricing differences compared to traditional models.
Paper shows how LSTM can remember long sequences by attending to persisted information.
problem LSTMs struggle with long sequences due to fading information and bias towards recent data.
method The paper introduces a mechanism that allows LSTMs to attend to information in memory based on how long it was persisted by the gating mechanism.
result The method improves LSTM's ability to process long sequences by retrieving information proportionally to its persistence in memory.
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value function of the quadratic hedging problem can be related to a triangular system of parabolic partial integro-differential…
Optimal stopping problem solved for irregular reward processes without regularity assumptions.
problem Optimal stopping with non-linear f-expectation for irregular reward processes. method Characterization of value process Y as Ef-Snell envelope of ξ; infinitesimal characterization via Reflected BSDE. result Value process Y can be aggregated by an optional process Y. This paper studies the payoff amounts in simple interest loans without arbitrage.
problem Understanding the payoff amounts in simple interest loans without arbitrage.
method Developed a formula for the payoff amount for simple interest loans, studied within a model of a loan market.
result The sequence of payoff amounts is increasing before a certain critical time and then decreasing.
Paper generalizes Hardy-Rogers maps for market equilibrium analysis in duopoly markets.
problem Existence and uniqueness of market equilibrium in duopoly markets with non-differentiable, nonlinear response functions.
method Coupled fixed points approach for generalized Hardy-Rogers maps.
result Enriched understanding of market equilibrium in duopoly markets with non-differentiable response functions.
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide downside protection. A tractable stochastic mortality model with age dependent …
Develops efficient importance sampling for Lévy process models.
problem Evaluating prices of options in Lévy process models.
method Uses large deviation theory and convex duality to compute asymptotic variance and find efficient importance sampling.
result Explicit asymptotic approximation and efficient importance sampling estimator for option prices.
New model values equity-linked securities with guaranteed return.
problem Valuation of equity-linked securities with guaranteed return.
method Replicate security price as sum of guaranteed amount and Asian style option price on basket.
result Analytical formulas derived for security price and hedge ratios.
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default is recorded in the legal system. The economic default time is the last time when the firm is able to pay off its debt prior to the legal defa…
We study a robust optimal stopping problem with respect to a set $\cP$ of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse player wants to minimize this payoff by choosing an evaluation criteria from $\…
New models explain rough and persistent volatility patterns.
problem Understanding and modeling the rough and persistent nature of asset price volatility.
method Introduced a new class of continuous-time models based on the Brownian semistationary process.
result Models show evidence of roughness and long memory in volatility time series.
New definition resolves ambiguity in non-stationary bandit classification.
problem Ambiguity in classifying non-stationary bandits using existing definitions.
method Introducing a formal definition that resolves ambiguity and provides a unified approach.
result Unified approach applicable to both Bayesian and frequentist formulations, resolves classification issues.
This article introduces both a new algorithm for reconstructing epsilon-machines from data, as well as the decisional states. These are defined as the internal states of a system that lead to the same decision, based on a user-provided utility or pay-off function. The utility function encodes some a priori knowledge ex…
New algorithms cluster non-stationary time series data.
problem Clustering time series generated by piecewise stationary processes.
method Proposed a natural formulation and introduced a notion of consistency for clustering.
result Simple, efficient algorithms that work without additional assumptions.
The method approximates stationary distributions of Markov models by truncating irrelevant states.
problem Computing the stationary distribution of complex Markov models is computationally challenging.
method A state-space lumping scheme that aggregates states in a grid structure, iteratively refining the state-space.
result The method provides a well-justified finite-state projection tailored to the stationary behavior of Markov models.
Proposes a new algorithm for non-stationary bandits.
problem Non-stationary reward distributions in contextual bandits.
method Multiscale changepoint detection for adaptive learning.
result Regret bound analysis and superior performance in experiments.
New kernels model non-stationary data efficiently.
problem Efficiently modeling non-stationary data with Gaussian processes.
method Model spectral density as a mixture of frequency surfaces, solve generalised Fourier transform.
result Derives efficient inference methods for non-stationary kernels.
Big investments are fragile and prone to poor outcomes due to uncertainty.
problem The fragility of large capital investments leading to poor returns.
method Characterizing fragility as easily harmed by randomness and analyzing various sources of uncertainty.
result Big capital investments have a disproportionate exposure to uncertainties that can lead to negative returns.
The paper classifies ruled surfaces in Lorentz-Minkowski space that are stationary for the moment of inertia.
problem Classifying ruled surfaces in Lorentz-Minkowski space that are stationary for the moment of inertia.
method Maximum principle applications, classification based on causal character of rulings.
result Planes are the only cylindrical stationary surfaces. For non-cylindrical surfaces, classification depends on the causal character of the rulings.
SmoothFBO tackles non-stationary functional bilevel optimization.
problem Current FBO methods are limited to static offline settings and perform poorly in online, non-stationary scenarios.
method SmoothFBO introduces a time-smoothed stochastic hypergradient estimator with a window parameter to handle non-stationarity.
result SmoothFBO achieves sublinear regret and outperforms existing methods in non-stationary hyperparameter optimization and model-based reinforcement learning.
A Hamiltonian stationary Lagrangian submanifold of a Kaehler manifold is a Lagrangian submanifold whose volume is stationary under Hamiltonian variations. We find a sufficient condition on the curvature of a Kaehler manifold of real dimension four that guarantees the existence of a family of small Hamiltonian stationar…
Proposes a method to forecast non-stationary time series.
problem Challenges of non-stationary conditional distributions in deep learning.
method Bayesian dynamic model + deep conditional distribution model.
result Adapts to non-stationary time series better than state-of-the-art solutions.
Method proves ellipticity of vacuum spacetime boundary problems.
problem Proving ellipticity of boundary value problems for stationary vacuum spacetimes.
method Developed a general method using the projection formalism.
result Proved manifold theorem for moduli space of stationary vacuum spacetimes.
Local curvature estimate for stationary solutions in Einstein field equations.
problem Understanding stationary solutions to Einstein field equations with specific conditions.
method Deriving a local curvature estimate for four-dimensional stationary solutions to the inheriting Einstein-Maxwell-Klein-Gordon equations.
result Any stationary geodesically complete solution with vanishing Poynting vector and proper coupling constants is flat.
Flexible non-stationary modeling of spatial outcomes using a mixed-stationary Gaussian process.
problem Limited flexibility in non-stationary models and computational intractability.
method Developed a non-stationary Gaussian process with individually set stationarity parameters at each location, using a non-parametric mixture model to reduce parameters and incorporate spatial correlation.
result Improved prediction efficiency through spatially correlated components in the mixture model.
The paper simplifies arguments for stationary varifolds results.
problem Height bound and Lipschitz approximation for stationary varifolds.
method Simpler arguments to obtain height bound and Lipschitz approximation.
result Excess decay as a consequence of height bound and Lipschitz approximation.
This is the second part of the investigation started in [Stationary solutions and asymptotic flatness I]. We prove here that Strongly Stationary ends having cubic volume growth are Weakly Asymptotically Flat. Combined with the results of the previous paper this shows that Strongly Stationary ends are Asymptotically Fla…
Study finds sample size needed for non-stationary model selection.
problem Accurately selecting graphical models from non-stationary data.
method Analyzed a specific model selection method for non-stationary Gaussian processes.
result Derived a sufficient condition for sample size based on non-stationary data.
The paper improves energy decay estimates for Dir-stationary Q-valued functions and applies them to Liouville-type theorems and continuity.
problem Improving energy decay estimates for Dir-stationary Q-valued functions.
method Establishing improved decay estimates and applying them to derive Liouville-type theorems and continuity.
result Dir-stationary Q-valued functions exhibit the Lebesgue property and reside in a generalized Campanato-Morrey space.
The study proves compactness of Hamiltonian stationary Lagrangian surfaces in Kähler surfaces.
problem Compactness of Hamiltonian stationary Lagrangian surfaces in Kähler surfaces.
method Bubble tree convergence theorem and strong compactness theorems.
result Proves compactness of Hamiltonian stationary Lagrangian surfaces in Kähler surfaces.
Study on fake stationary Volterra Heston model for non-stationary processes.
problem Non-stationary nature of true Volterra equations.
method Weak notion of stationarity (fake stationary regime) for inhomogeneous affine Stochastic Volterra equations.
result Existence of limiting distributions in the long run, which may depend on initial state.
We study surfaces in TN that are area-stationary with respect to a neutral Kaehler metric constructed on TN from a riemannian metric g on N. We show that holomorphic curves in TN are area-stationary, while lagrangian surfaces that are area-stationary are also holomorphic and hence totally null. However, in general, are…
Two classification results for stationary surfaces of least moment of inertia.
problem Classifying stationary surfaces in Euclidean space based on their energy.
method Analyzing ruled and foliated surfaces, using critical point theory.
result Classification of stationary surfaces including vector planes, elongated helicoids, and specific types of surfaces.