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math.PR2023
Invariant Distributions in Nonlinear Markov Chains with Aggregators: Theory, Computation, and Applications
Bar Light
We study the properties of a subclass of stochastic processes called discrete time nonlinear Markov chains with an aggregator, which naturally appear in various topics such as stra…
math.PR2020★ 2 cited
Concentration inequalities using higher moments information
Bar Light
In this paper, we generalize and improve some fundamental concentration inequalities using information on the random variables' higher moments. In particular, we improve the classi…
math.PR2019
The Family of Alpha,[a,b] Stochastic Orders: Risk vs. Expected Value
Bar Light, Andres Perlroth
In this paper we provide a novel family of stochastic orders that generalizes second order stochastic dominance, which we call the -concave stochastic orders. These stocha…