Proves Poisson property for transformed excursion point processes under state-dependent inverse-subordinator time changes of regenerative processes and derives multiscale joint occupation-time limit theorems including generalized arcsine and Darling-Kac laws under regular variation.
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Causal PDE-Control Models combine causal drivers with PDE control and filtering to deliver interpretable dynamic portfolio rules that outperform benchmarks in Sharpe ratio and turnover on U.S. equity data.
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State-dependent inverse-subordinator time changes of regenerative processes: Excursion structure and multiscale occupation-time limits
Proves Poisson property for transformed excursion point processes under state-dependent inverse-subordinator time changes of regenerative processes and derives multiscale joint occupation-time limit theorems including generalized arcsine and Darling-Kac laws under regular variation.
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Causal PDE-Control Models for Dynamic Portfolio Optimization with Latent Drivers
Causal PDE-Control Models combine causal drivers with PDE control and filtering to deliver interpretable dynamic portfolio rules that outperform benchmarks in Sharpe ratio and turnover on U.S. equity data.