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pro vyhledávání: '"Backhoff, Julio"'
The increasing availability of granular and big data on various objects of interest has made it necessary to develop methods for condensing this information into a representative and intelligible map. Financial regulation is a field that exemplifies
Externí odkaz:
http://arxiv.org/abs/2305.03565
In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit ``small arbitrage", we can still make sense of the problems of
Externí odkaz:
http://arxiv.org/abs/2209.15037
A number of researchers have independently introduced topologies on the set of laws of stochastic processes that extend the usual weak topology. Depending on the respective scientific background this was motivated by applications and connections to v
Externí odkaz:
http://arxiv.org/abs/2002.07261
Akademický článek
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Autor:
Backhoff, Julio Daniel
In dieser Arbeit beschäftigen wir uns mit Nutzenoptimierungs- und stochastischen Kontrollproblemen unter mehreren Gesichtspunkten. Wir untersuchen die Parameterunsicherheit solcher Probleme im Sinne des Robustheits- und des Sensitivitätsparadigma.
Externí odkaz:
http://edoc.hu-berlin.de/18452/17790
Autor:
Backhoff, Julio, Horst, Ulrich
We analyze conditional optimization problems arising in discrete time Principal-Agent problems of delegated portfolio optimization with linear contracts. Applying tools from Conditional Analysis we show that some results known in the literature for v
Externí odkaz:
http://arxiv.org/abs/1412.4698
Autor:
Backhoff, Julio, Fontbona, Joaquín
We formulate conditions for the solvability of the problem of robust utility maximization from final wealth in continuous time financial markets, without assuming weak compactness of the densities of the uncertainty set, as customary in the literatur
Externí odkaz:
http://arxiv.org/abs/1405.0251
Autor:
Backhoff, Julio, Silva, Francisco
In this work we provide a first order sensitivity analysis of some parameterized stochastic optimal control problems. The parameters can be given by random processes. The main tool is the one-to-one correspondence between the adjoint states appearing
Externí odkaz:
http://arxiv.org/abs/1404.0586
The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities.
Autor:
Backhoff, Julio1,2 (AUTHOR) julio.backhoff@univie.ac.at, Conforti, Giovanni3 (AUTHOR), Gentil, Ivan4 (AUTHOR), Léonard, Christian5 (AUTHOR)
Publikováno v:
Probability Theory & Related Fields. Oct2020, Vol. 178 Issue 1/2, p475-530. 56p.
Akademický článek
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