Defines resilience evaluation D^ρ π as the L1-limit of scaled dynamic risk measure applied to process increments, and derives its dual representation as worst-case conditional expectation of an effective drift when ρ arises from BSDEs with Lipschitz or quadratic drivers.
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Online conformal framework for adversarial CVaR control with asymptotic guarantees and regret bounds, demonstrated on portfolio management and LLM toxicity mitigation.
Musielak-Orlicz spaces enable bounding cumulants in uncertain supOU long-memory processes by state-dependent divergences on reversion and Levy measures, succeeding where Kullback-Leibler fails.
A matrix approximation technique computes Bachelier option prices and Greeks under stochastic volatility models for infinitely many strikes from finite expectations.
citing papers explorer
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Financial Resilience Evaluation: From Conditional Expectations to Dynamic Convex Risk Measures
Defines resilience evaluation D^ρ π as the L1-limit of scaled dynamic risk measure applied to process increments, and derives its dual representation as worst-case conditional expectation of an effective drift when ρ arises from BSDEs with Lipschitz or quadratic drivers.
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Adversarially Robust Control of Conditional Value-at-Risk via Rockafellar-Uryasev Conformal Inference
Online conformal framework for adversarial CVaR control with asymptotic guarantees and regret bounds, demonstrated on portfolio management and LLM toxicity mitigation.
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A Musielak-Orlicz approach for modeling uncertainties in long-memory processes
Musielak-Orlicz spaces enable bounding cumulants in uncertain supOU long-memory processes by state-dependent divergences on reversion and Levy measures, succeeding where Kullback-Leibler fails.
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Matrix Approximation of Bachelier Option Prices and Greeks under Stochastic Volatility models
A matrix approximation technique computes Bachelier option prices and Greeks under stochastic volatility models for infinitely many strikes from finite expectations.