26 citations · 77 across the 19 of their papers we have counts for
24 papers
Anomalous Recurrence Properties of Markov Chains on Manifolds of Negative Curvature
John Armstrong, Tim King
We present a recurrence-transience classification for discrete-time Markov chains on manifolds with negative curvature. Our classification depends only on geometric quantities asso…
The importance of dynamic risk constraints for limited liability operators
John Armstrong, Damiano Brigo, Alex S. L. Tse
Previous literature shows that prevalent risk measures such as Value at Risk or Expected Shortfall are ineffective to curb excessive risk-taking by a tail-risk-seeking trader with…
Curved Schemes for SDEs on Manifolds
John Armstrong, Tim King
Given a stochastic differential equation (SDE) in whose solution is constrained to lie in some manifold , we propose a class of numerical sch…
Non-Geometric Rough Paths on Manifolds
John Armstrong, Damiano Brigo, Thomas Cass +1
We provide a theory of manifold-valued rough paths of bounded 3 > p-variation, which we do not assume to be geometric. Rough paths are defined in charts, and coordinate-free (but c…
Itô Stochastic differentials
John Armstrong, Andrei Ionescu
We give an infinitesimal meaning to the symbol for a continuous semimartingale at an instant in time . We define a vector space structure on the space of differential…
The ineffectiveness of coherent risk measures
John Armstrong, Damiano Brigo
We show that coherent risk measures are ineffective in curbing the behaviour of investors with limited liability or excessive tail-risk seeking behaviour if the market admits stati…