Zobrazeno 1 - 10
of 110
pro vyhledávání: '"BARTL, DANIEL"'
Autor:
Bartl, Daniel, Eckstein, Stephan
We address the problem of estimating the expected shortfall risk of a financial loss using a finite number of i.i.d. data. It is well known that the classical plug-in estimator suffers from poor statistical performance when faced with (heavy-tailed)
Externí odkaz:
http://arxiv.org/abs/2405.00357
We examine nonlinear Kolmogorov partial differential equations (PDEs). Here the nonlinear part of the PDE comes from its Hamiltonian where one maximizes over all possible drift and diffusion coefficients which fall within a $\varepsilon$-neighborhood
Externí odkaz:
http://arxiv.org/abs/2403.11910
Autor:
Bartl, Daniel, Mendelson, Shahar
We show that under minimal assumption on a class of functions $\mathcal{H}$ defined on a probability space $(\mathcal{X},\mu)$, there is a threshold $\Delta_0$ satisfying the following: for every $\Delta\geq\Delta_0$, with probability at least $1-2\e
Externí odkaz:
http://arxiv.org/abs/2312.06442
We examine optimization problems in which an investor has the opportunity to trade in $d$ stocks with the goal of maximizing her worst-case cost of cumulative gains and losses. Here, worst-case refers to taking into account all possible drift and vol
Externí odkaz:
http://arxiv.org/abs/2311.11248
Autor:
Bartl, Daniel, Mendelson, Shahar
Publikováno v:
International Mathematics Research Notices, 2023+
We construct the first non-gaussian ensemble that yields the optimal estimate in the Dvoretzky-Milman Theorem: the ensemble exhibits almost Euclidean sections in arbitrary normed spaces of the same dimension as the gaussian embedding -- despite being
Externí odkaz:
http://arxiv.org/abs/2309.12069
Autor:
Bartl, Daniel, Mendelson, Shahar
Let $G_1,\dots,G_m$ be independent copies of the standard gaussian random vector in $\mathbb{R}^d$. We show that there is an absolute constant $c$ such that for any $A \subset S^{d-1}$, with probability at least $1-2\exp(-c\Delta m)$, for every $t\in
Externí odkaz:
http://arxiv.org/abs/2309.02013
Autor:
Bartl, Daniel, Mendelson, Shahar
Let $X$ be a real-valued random variable with distribution function $F$. Set $X_1,\dots, X_m$ to be independent copies of $X$ and let $F_m$ be the corresponding empirical distribution function. We show that there are absolute constants $c_0$ and $c_1
Externí odkaz:
http://arxiv.org/abs/2308.04757
Autor:
Bartl, Daniel, Mendelson, Shahar
We show that under minimal assumptions on a random vector $X\in\mathbb{R}^d$ and with high probability, given $m$ independent copies of $X$, the coordinate distribution of each vector $(\langle X_i,\theta \rangle)_{i=1}^m$ is dictated by the distribu
Externí odkaz:
http://arxiv.org/abs/2209.07058
Autor:
Bartl, Daniel, Wiesel, Johannes
We analyze the effect of small changes in the underlying probabilistic model on the value of multi-period stochastic optimization problems and optimal stopping problems. We work in finite discrete time and measure these changes with the adapted Wasse
Externí odkaz:
http://arxiv.org/abs/2208.05656
Autor:
Bartl, Daniel, Mendelson, Shahar
Publikováno v:
Advances in Mathematics, 400:108261, 2022
Let $X$ be a symmetric, isotropic random vector in $\mathbb{R}^m$ and let $X_1...,X_n$ be independent copies of $X$. We show that under mild assumptions on $\|X\|_2$ (a suitable thin-shell bound) and on the tail-decay of the marginals $\langle X,u\ra
Externí odkaz:
http://arxiv.org/abs/2106.15173