Zobrazeno 1 - 10
of 119
pro vyhledávání: '"Cox, A. M. G."'
The robust option pricing problem is to find upper and lower bounds on fair prices of financial claims using only the most minimal assumptions. It contrasts with the classical, model-based approach and gained prominence in the wake of the 2008 financ
Externí odkaz:
http://arxiv.org/abs/2312.09201
In this article, we consider a generalisation of the Skorokhod embedding problem (SEP) with a delayed starting time. In the delayed SEP, we look for stopping times which embed a given measure in a stochastic process, which occur after a given delay t
Externí odkaz:
http://arxiv.org/abs/2312.04218
This study presents a proof-of-concept for a novel Bayesian inverse method in a one-dimensional setting, aimed at proton beam therapy treatment verification. Our methodology is predicated on a hypothetical scenario wherein strategically positioned se
Externí odkaz:
http://arxiv.org/abs/2311.10769
The aim of this paper is to study the large population limit of a binary branching particle system with Moran type interactions: we introduce a new model where particles evolve, reproduce and die independently and, with a probability that may depend
Externí odkaz:
http://arxiv.org/abs/2207.03323
Publikováno v:
Electron. J. Probab. 28: 1-24 (2023)
We study a two-dimensional stochastic differential equation that has a unique weak solution but no strong solution. We show that this SDE shares notable properties with Tsirelson's example of a one-dimensional SDE with no strong solution. In contrast
Externí odkaz:
http://arxiv.org/abs/2205.02519
We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, called measure-valued martingales (MVMs). We establish the `classical' r
Externí odkaz:
http://arxiv.org/abs/2109.00064
Publikováno v:
Stoch. Proc. Appl. 159 (2023) 149-198
We study a stochastic control problem for continuous multidimensional martingales with fixed quadratic variation. In a radially symmetric environment, we are able to find an explicit solution to the control problem and find an optimal strategy. We sh
Externí odkaz:
http://arxiv.org/abs/2108.04583
An Echo State Network (ESN) is a type of single-layer recurrent neural network with randomly-chosen internal weights and a trainable output layer. We prove under mild conditions that a sufficiently large Echo State Network can approximate the value f
Externí odkaz:
http://arxiv.org/abs/2102.06258
This paper continues our treatment of the Neutron Transport Equation (NTE) building on the work in [arXiv:1809.00827v2], [arXiv:1810.01779v4] and [arXiv:1901.00220v3], which describes the flux of neutrons through inhomogeneous fissile medium. Our aim
Externí odkaz:
http://arxiv.org/abs/2012.02864
Switching identities have a long history in potential theory and stochastic analysis. In recent work of Cox and Wang, a switching identity was used to connect an optimal stopping problem and the Skorokhod embedding problem (SEP). Typically switching
Externí odkaz:
http://arxiv.org/abs/2002.12840