5 papers
Behavioral Participating Insurance: Optimal Investment under Probability Distortion and Aspiration Constraints
Hao Liu, Yang Liu, Zhenyu Shen
We study optimal investment for insurers managing participating (profit-sharing) contracts under probability distortion and probability benchmark (aspiration) constraints. The prob…
Optimal Watermark Localization in Mixed-Source Large Language Model Texts
Jose H. Blanchet, T. Tony Cai, Xiang Li +3
Watermarking provides a principled way to authenticate text generated by large language models (LLMs). In practice, however, the final text may be mixed-source, with watermark evid…
Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections
Jose Blanchet, Jiayi Cheng, Hao Liu +1
We revisit Merton's continuous-time portfolio selection through a data-driven, distributionally robust lens. Our aim is to tap the benefits of frequent trading over short horizons…
Duality and Policy Evaluation in Distributionally Robust Bayesian Diffusion Control
Jose Blanchet, Jiayi Cheng, Yuewei Ling +2
We study diffusion control problems under parameter uncertainty. Controllers based on plug-in estimation can be brittle due to potential distribution shifts. Bayesian control with…
ScoreFusion: Fusing Score-based Generative Models via Kullback-Leibler Barycenters
Hao Liu, Junze Tony Ye, Jose Blanchet +1
We introduce ScoreFusion, a theoretically grounded method for fusing multiple pre-trained diffusion models that are assumed to generate from auxiliary populations. ScoreFusion is p…