3 papers
math.OC2019
Long-run risk sensitive dyadic impulse control
Marcin Pitera, Łukasz Stettner
In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing lite…
q-fin.RM2019
Fair Estimation of Capital Risk Allocation
Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera +1
In this paper we develop a novel methodology for estimation of risk capital allocation. The methodology is rooted in the theory of risk measures. We work within a general, but trac…
math.PR2017
A note on conditional covariance matrices for elliptical distributions
Piotr Jaworski, Marcin Pitera
In this short note we provide an analytical formula for the conditional covariance matrices of the elliptically distributed random vectors, when the conditioning is based on the va…