3 citations · 3 across the 8 of their papers we have counts for
9 papers
An Entropic Factor Model for Robust Portfolio Replication
Argimiro Arratia, Henryk Gzyl
Portfolio replication, or the construction of a tradable basket of assets to match the risk-return profile of a target benchmark, is fundamentally an ill-posed inverse problem. Whe…
On spooky action at a distance and conditional probabilities
Henryk Gzyl
The aim of this exposé is to make explicit the analogy between the classical notion of non-independent probability distribution and the quantum notion of entangled state. To bring…
On the EPR paradox in systems with finite number of levels (Revised)
Henryk Gzyl
In this work we reexamine the EPR paradox for composite systems with a finite number of levels. The analysis emphasizes the connection between measurements and conditional probabil…
A predictive solution of the EPR paradox
Henryk Gzyl
In this work, we examine the paradox proposed by Einstein, Podolsky, and Rosen (EPR). They argued that since one may know the exact momentum of a particle without measurement and s…
Classification by Separating Hypersurfaces: An Entropic Approach
Argimiro Arratia, Mahmoud El Daou, Henryk Gzyl
We consider the following classification problem: Given a population of individuals characterized by a set of attributes represented as a vector in , the goal is to…
Determining a credit transition matrix from cumulative default probabilities
Henryk Gzyl, Silvia Mayoral
To quantify the changes in the credit rating of a bond is an important mathematical problem for the credit rating industry. To think of the credit rating as the state a Markov chai…
Qubit thermalization by random pulses: Asymptotic state factorization
Henryk Gzyl
Here we consider an analytically tractable model of a two level quantum system subject to random shocks and prove that it decays asymptotically to a trivial state, that is, to a st…
Lorentz covariant physical Brownian motion: Classical and quantum
Henryk Gzyl
In this work, we re-examine the Goldstein-Kaç velocity switching model from two points of view. On the one hand, we prove that the forward and backward Chapman-Kolmogorov equations…
A geometry in the set of solutions to ill-posed linear problems with box constraints: Applications to probabilities on discrete sets
Henryk Gzyl
When there are no constraints upon the solutions of the equation where is a matrix, and $\mathb…