2 papers
q-fin.PM2026
Optimal payoff under Bregman-Wasserstein divergence constraints
Silvana M. Pesenti, Steven Vanduffel, Yang Yang +1
We study optimal payoff choice for an expected utility maximizer under the constraint that their payoff is not allowed to deviate ``too much'' from a given benchmark. We solve this…
math.PR2025
On the Maximum and Minimum of a Multivariate Poisson Distribution
Zheng Liu, Feifan Shi, Jing Yao +1
In this paper, we investigate the cumulative distribution functions (CDFs) of the maximum and minimum of multivariate Poisson distributions with three dependence structures, namely…