53 citations · 93 across the 27 of their papers we have counts for
30 papers
Optimal Betting: Beyond the Long-Term Growth
Levon Hakobyan, Sergey Lototsky
While the Kelly portfolio has many desirable properties, including optimal long-term growth rate, the resulting investment strategy is rather aggressive. In this paper, we suggest…
A Sharp Rate of Convergence in the Functional Central Limit Theorem with Gaussian Input
S. V. Lototsky
When the underlying random variables are Gaussian, the classical Central Limit Theorem (CLT) is trivial, but the functional CLT is not. The objective of the paper is to investigate…
Intrusive and Non-Intrusive Polynomial Chaos Approximations for a Two-Dimensional Steady State Navier-Stokes System with Random Forcing
S. V. Lototsky, R. Mikulevicius, B. L. Rozovsky
While convergence of polynomial chaos approximation for linear equations is relatively well understood, a lot less is known for non-linear equations. The paper investigates this co…
Aggregate Cyber-Risk Management in the IoT Age: Cautionary Statistics for (Re)Insurers and Likes
Ranjan Pal, Ziyuan Huang, Xinlong Yin +6
In this paper, we provide (i) a rigorous general theory to elicit conditions on (tail-dependent) heavy-tailed cyber-risk distributions under which a risk management firm might find…
Gaussian Fields and Stochastic Heat Equations
Sergey Lototsky, Apoorva Shah
The objective of the paper is to characterize the Gaussian free field as a stationary solution of the heat equation with additive space-time white noise. In the case of whole space…
Kelly Criterion: From a Simple Random Walk to Lévy Processes
Sergey Lototsky, Austin Pollok
The original Kelly criterion provides a strategy to maximize the long-term growth of winnings in a sequence of simple Bernoulli bets with an edge, that is, when the expected return…