9 papers
Triangle-Free Coloring in LOCAL via Resilient Lovász Local Lemma
Peter Davies-Peck, Xusheng Zhang
The Lovász Local Lemma (LLL) is a probabilistic tool that has been shown to be of central importance in the study of distributed algorithms. For example, the constructive LLL is kn…
A Small-Noise Analysis of Controlled Functional Differential Equations with Gaussian Noise
David Criens, Max Nendel
We study small-noise asymptotics for controlled functional differential equations driven by additive Gaussian noise. The Gaussian noise is modeled on an abstract Wiener space, cove…
Optimal Market Making in Prediction Markets
Dominik Feil, Max Nendel
Prediction markets are attracting growing attention as trading volumes rise and their practical relevance increases. To ensure efficient price discovery, liquidity provision become…
Scaling limits of multi-period distributionally robust optimization problems
Max Nendel, Ariel Neufeld, Kyunghyun Park +1
We examine the scaling limit of multi-period distributionally robust optimization (DRO) problems via a semigroup approach. Each period involves a worst-case maximization over distr…
An optimal transport foundation for a class of dynamically consistent risk measures
Sven Fuhrmann, Michael Kupper, Max Nendel
We study a class of dynamically consistent risk measures that robustify a time-homogeneous Markovian reference model by allowing for distributional uncertainty in its transition la…
Asymptotic Behaviour of Unexpected Losses and Risk Ratios for Co-Monotonic Alternatives
Max Nendel
The aggregation of individual risks in large credit and insurance portfolios is guided by diversification and the law of large numbers, which formalizes the convergence of sample a…