Zobrazeno 1 - 10
of 151
pro vyhledávání: '"Laeven, Roger J. A."'
We introduce a spatiotemporal self-exciting point process $(N_t(x))$, boundedly finite both over time $[0,\infty)$ and space $\mathscr X$, with excitation structure determined by a graphon $W$ on $\mathscr X^2$. This graphon Hawkes process generalize
Externí odkaz:
http://arxiv.org/abs/2409.16903
We introduce and develop the concepts of Geometric Backward Stochastic Differential Equations (GBSDEs, for short) and two-driver BSDEs. We demonstrate their natural suitability for modeling continuous-time dynamic return risk measures. We characteriz
Externí odkaz:
http://arxiv.org/abs/2405.09260
Geometrically convex functions constitute an interesting class of functions obtained by replacing the arithmetic mean with the geometric mean in the definition of convexity. As recently suggested, geometric convexity may be a sensible property for fi
Externí odkaz:
http://arxiv.org/abs/2403.06188
Autor:
Laeven, Roger J. A., Stadje, Mitja
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation $\succeq$ on the space $\tilde{V}$ of random variables induces an ambiguity index $c$ on the space $\Delta$ of proba
Externí odkaz:
http://arxiv.org/abs/2312.05977
We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on random rather t
Externí odkaz:
http://arxiv.org/abs/2311.11098
This paper presents novel characterization results for classes of law-invariant star-shaped functionals. We begin by establishing characterizations for positively homogeneous and star-shaped functionals that exhibit second- or convex-order stochastic
Externí odkaz:
http://arxiv.org/abs/2310.19552
This paper establishes characterization results for dynamic return and star-shaped risk measures induced via backward stochastic differential equations (BSDEs). We first characterize a general family of static star-shaped functionals in a locally con
Externí odkaz:
http://arxiv.org/abs/2307.03447
We introduce a variant of the Hawkes-fed birth-death process, in which the conditional intensity does not increase at arrivals, but at departures from the system. Since arrivals cause excitation after a delay equal to their lifetimes, we call this a
Externí odkaz:
http://arxiv.org/abs/2306.12812
Informally, a risk measure is said to be elicitable if there exists a suitable scoring function such that minimizing its expected value recovers the risk measure. In this paper, we analyze the elicitability properties of the class of return risk meas
Externí odkaz:
http://arxiv.org/abs/2302.13070
In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing essential smoothness of the limiting cumulant of the multivariate com
Externí odkaz:
http://arxiv.org/abs/2211.16848