421 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University College LondonGB63 papers
- Systemic Risk CentreGB48 papers
- University of OxfordGB20 papers
- University of WarwickGB18 papers
- King's College LondonGB16 papers
- London Mathematical LaboratoryGB12 papers
- University of Illinois Urbana-ChampaignUS12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Queen Mary University of LondonGB11 papers
- The Open UniversityGB11 papers
- City, University of LondonGB10 papers
- ETH ZurichCH10 papers
13 papers · 1 filter
Continuous-time persuasion by filtering
René Aïd, Ofelia Bonesini, Giorgia Callegaro +1
We frame dynamic persuasion in a partial observation stochastic control Leader-Follower game with an ergodic criterion. The Receiver controls the dynamics of a multidimensional uno…
The law of one price in quadratic hedging and mean-variance portfolio selection
Aleš Černý, Christoph Czichowsky
The law of one price (LOP) broadly asserts that identical financial flows should command the same price. We show that, when properly formulated, LOP is the minimal condition for a…
Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
Aleš Černý, Christoph Czichowsky, Jan Kallsen
The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numerair…
A policy iteration algorithm for nonzero-sum stochastic impulse games
René Aïd, Francisco Bernal, Mohamed Mnif +2
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving s…
Unique lifting of integer variables in minimal inequalities
Amitabh Basu, Manoel Campelo, Michele Conforti +2
This paper contributes to the theory of cutting planes for mixed integer linear programs (MILPs). Minimal valid inequalities are well understood for a relaxation of an MILP in tabl…
An Investment Model with Switching Costs and the Option to Abandon
Mihail Zervos, Carlos Oliveira, Kate Duckworth
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payo…
Optimal double stopping of a Brownian bridge
Erik J. Baurdoux, Nan Chen, Budhi A. Surya +1
We study optimal double stopping problems driven by a Brownian bridge. The objective is to maximize the expected spread between the payoffs achieved at the two stopping times. We s…
Quadratization of Symmetric Pseudo-Boolean Functions
Martin Anthony, Endre Boros, Yves Crama +1
A pseudo-Boolean function is a real-valued function of binary variables; that is, a mapping from to . For a pseudo-Boolean…
Solvability of the algebraic Riccati equation in Banach algebras
Amol Sasane
Let be a commutative complex unital semisimple Banach algebra with the involution . Sufficient conditions are given for the existence of a stabilizing solution to…
Extension of the -metric for stabilizable plants over
Amol Sasane
An abstract -metric was introduced by Ball and Sasane, with a view towards extending the classical -metric of Vinnicombe from the case of rational transfer functions to more…
An abstract Nyquist criterion containing old and new results
Amol Sasane
We prove an abstract Nyquist criterion in a general set up. As applications, we recover various versions of the Nyquist criterion, some of which are new.
The Gilbert Arborescence Problem
M. G. Volz, M. Brazil, C. J. Ras +2
We investigate the problem of designing a minimum cost flow network interconnecting n sources and a single sink, each with known locations in a normed space and with associated flo…
Asymptotic behaviour of a family of gradient algorithms in R^d and Hilbert spaces
Luc Pronzato, Henry P. Wynn, Anatoly A. Zhigljavsky
The asymptotic behaviour of a family of gradient algorithms (including the methods of steepest descent and minimum residues) for the optimisation of bounded quadratic operators in…