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Found 16 papers, 4 papers with code
DEX Specs: A Mean Field Approach to DeFi Currency Exchanges
We calibrate the distribution of LP characteristics based on Uniswap data and the equilibrium strategy resulting from this mean-field game produces pool exchange rate dynamics and liquidity evolution consistent with observed pool behavior.
The McCormick martingale optimal transport
Martingale optimal transport (MOT) often yields broad price bounds for options, constraining their practical applicability.
Fitted Value Iteration Methods for Bicausal Optimal Transport
We develop a fitted value iteration (FVI) method to compute bicausal optimal transport (OT) where couplings have an adapted structure.
Quantifying dimensional change in stochastic portfolio theory
In this paper, we develop the theory of functional generation of portfolios in an equity market with changing dimension.
Arbitrage theory in a market of stochastic dimension
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time.
Deep Signature Algorithm for Multi-dimensional Path-Dependent Options
We extend the backward scheme in [Hur\'e-Pham-Warin.
A PDE approach for regret bounds under partial monitoring
In this paper, we study a learning problem in which a forecaster only observes partial information.
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs.
Optimal Investment and Consumption under a Habit-Formation Constraint
Furthermore, an individual with a more addictive habit invests less in the risky asset compared to an individual with a less addictive habit but with the same wealth-to-habit ratio and risk aversion, which provides an explanation for the equity-premium puzzle.
K-core in percolated dense graph sequences
Keeping an edge $(i, j)$ of $G_n$ with probability $\min \{ {a^n_{i, j}}/{n}, 1 \}$ independently, we obtain a sequence of random graphs $G_n(\frac{1}{n})$.
Probability Combinatorics
Prediction against a limited adversary
We study the problem of prediction with expert advice with adversarial corruption where the adversary can at most corrupt one expert.
Malicious Experts versus the multiplicative weights algorithm in online prediction
We assume that one of the experts is honest and makes correct prediction with probability $\mu$ at each round.
Finite-Time 4-Expert Prediction Problem
We explicitly solve the nonlinear PDE that is the continuous limit of dynamic programming of \emph{expert prediction problem} in finite horizon setting with $N=4$ experts.
Equilibrium concepts for time-inconsistent stopping problems in continuous time
A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time.
On the Adversarial Robustness of Multivariate Robust Estimation
In this paper, we investigate the adversarial robustness of multivariate $M$-Estimators.
On the asymptotic optimality of the comb strategy for prediction with expert advice
For the problem of prediction with expert advice in the adversarial setting with geometric stopping, we compute the exact leading order expansion for the long time behavior of the value function.
