30 citations · 110 across the 29 of their papers we have counts for
6 papers · 1 filter
Robust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints
David Itkin, Martin Larsson
We consider the problem of maximizing the asymptotic growth rate of an investor under drift uncertainty in the setting of stochastic portfolio theory (SPT). As in the work of Karda…
Admissible anytime-valid sequential inference must rely on nonnegative martingales
Aaditya Ramdas, Johannes Ruf, Martin Larsson +1
Confidence sequences, anytime p-values (called p-processes in this paper), and e-processes all enable sequential inference for composite and nonparametric classes of distributions…
Stopper-Controller Games embedded in Single-Player Control Problems
Martin Larsson, Marvin S. Mueller, Josef Teichmann
In 2002, Benjamin Jourdain and Claude Martini discovered that for a class of payoff functions, the pricing problem for American options can be reduced to pricing of European option…
Convergence of Local Supermartingales
Martin Larsson, Johannes Ruf
We characterize the event of convergence of a local supermartingale. Conditions are given in terms of its predictable characteristics and quadratic variation. The notion of station…
Minimum curvature flow and martingale exit times
Martin Larsson, Johannes Ruf
We study the following question: What is the largest deterministic amount of time that a suitably normalized martingale can be kept inside a convex body in $\mathbb{R…
Relative Arbitrage: Sharp Time Horizons and Motion by Curvature
Martin Larsson, Johannes Ruf
We characterize the minimal time horizon over which any equity market with stocks and sufficient intrinsic volatility admits relative arbitrage with respect to the marke…