3 papers
q-fin.PM2026
Robo-Advising in Motion: A Model Predictive Control Approach
Tomasz R. Bielecki, Igor Cialenco
Robo-advisors (RAs) are automated portfolio management systems that complement traditional financial advisors by offering lower fees and smaller initial investment requirements. Wh…
math.PR2025
Functional Laws of Large Numbers for Marked Hawkes Processes and Compound Marked Hawkes Processes
Tomasz R. Bielecki, Jacek Jakubowski, Mariusz iewÈ©gÅowski +1
We give functional laws of large numbers for a class of marked Hawkes processes and marked compound Hawkes processes with a general mark space. Our results provide some complement…
math.PR2025
Loglinear Hawkes processes
Tomasz R. Bielecki, Jacek Jakubowski, Matthias Kirchner +1
This paper discusses a special class of nonlinear Hawkes processes, where the rate function is the exponential function. We call these processes loglinear Hawkes processes. In the…