3 papers
q-fin.RM2024
Systemic values-at-risk and their sample-average approximations
Wissam AlAli, Çağın Ararat
This paper investigates the convergence properties of sample-average approximations (SAA) for set-valued systemic risk measures. We assume that the systemic risk measure is defined…
math.PR2023
Path-Regularity and Martingale Properties of Set-Valued Stochastic Integrals
Çağın Ararat, Jin Ma
In this paper we study the path-regularity and martingale properties of the set-valued stochastic integrals defined in our previous work Ararat et al. (2023). Such integrals have s…
math.OC2023
Convergence analysis of a norm minimization-based convex vector optimization algorithm
Çağın Ararat, Firdevs Ulus, Muhammad Umer
In this work, we propose an outer approximation algorithm for solving bounded convex vector optimization problems (CVOPs). The scalarization model solved iteratively within the alg…