Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric

Vlasta Kaňková; Vadim Omelčenko

Displaying similar documents to “Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric”

On risk reserve under distribution constraints

Mariusz Michta (2000)

Discussiones Mathematicae Probability and Statistics

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The purpose of this work is a study of the following insurance reserve model: $R (t) = η + \int_{0}^{t} p (s, R (s)) d s + \int_{0}^{t} σ (s, R (s)) d W_{s} - Z (t)$ , t ∈ [0,T], P(η ≥ c) ≥ 1-ϵ, ϵ ≥ 0. Under viability-type assumptions on a pair (p,σ) the estimation γ with the property: $i n f_{0 \leq t \leq T} P R (t) \geq c \geq γ$ is considered.

Stochastic convolution in separable Banach spaces and the stochastic linear Cauchy problem

Zdzisław Brzeźniak, Jan van Neerven (2000)

Studia Mathematica

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Let H be a separable real Hilbert space and let E be a separable real Banach space. We develop a general theory of stochastic convolution of ℒ(H,E)-valued functions with respect to a cylindrical Wiener process ${W_{t}^{H}}_{t \in [0, T]}$ with Cameron-Martin space H. This theory is applied to obtain necessary and sufficient conditions for the existence of a weak solution of the stochastic abstract Cauchy problem (ACP) $d X_{t} = A X_{t} d t + B d W_{t}^{H}$ (t∈ [0,T]), $X_{0} = 0$ almost surely, where A is the generator of a $C_{0}$ -semigroup ${S (t)}_{t \geq 0}$ of bounded linear...

Initial measures for the stochastic heat equation

Daniel Conus, Mathew Joseph, Davar Khoshnevisan, Shang-Yuan Shiu (2014)

Annales de l'I.H.P. Probabilités et statistiques

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We consider a family of nonlinear stochastic heat equations of the form $\partial_{t} u = ℒ u + σ (u) \dot{W}$ , where $\dot{W}$ denotes space–time white noise, $ℒ$ the generator of a symmetric Lévy process on $𝐑$ , and $σ$ is Lipschitz continuous and zero at 0. We show that this stochastic PDE has a random-field solution for every finite initial measure $u_{0}$ . Tight a priori bounds on the moments of the solution are also obtained. In the particular case that $ℒ f = c f^{''}$ for some $c g t; 0$ , we prove that if $u_{0}$ is a finite measure of compact support, then the...

On pathwise uniqueness for stochastic differential equations driven by stable Lévy processes

Nicolas Fournier (2013)

Annales de l'I.H.P. Probabilités et statistiques

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We study a one-dimensional stochastic differential equation driven by a stable Lévy process of order $α$ with drift and diffusion coefficients $b$ , $σ$ . When $α \in (1, 2)$ , we investigate pathwise uniqueness for this equation. When $α \in (0, 1)$ , we study another stochastic differential equation, which is equivalent in law, but for which pathwise uniqueness holds under much weaker conditions. We obtain various results, depending on whether $α \in (0, 1)$ or $α \in (1, 2)$ and on whether the driving stable process is symmetric or not. Our...

On reliability analysis of consecutive $k$ -out-of- $n$ systems with arbitrarily dependent components

Ebrahim Salehi (2016)

Applications of Mathematics

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In this paper, we consider the linear and circular consecutive $k$ -out-of- $n$ systems consisting of arbitrarily dependent components. Under the condition that at least $n - r + 1$ components ( $r \leq n$ ) of the system are working at time $t$ , we study the reliability properties of the residual lifetime of such systems. Also, we present some stochastic ordering properties of residual lifetime of consecutive $k$ -out-of- $n$ systems. In the following, we investigate the inactivity time of the component with lifetime...

The right tail exponent of the Tracy–Widom $β$ distribution

Laure Dumaz, Bálint Virág (2013)

Annales de l'I.H.P. Probabilités et statistiques

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The Tracy–Widom $β$ distribution is the large dimensional limit of the top eigenvalue of $β$ random matrix ensembles. We use the stochastic Airy operator representation to show that as $a \to \infty$ the tail of the Tracy–Widom distribution satisfies $P ({𝑇𝑊}_{β} g t; a) = a^{- (3 / 4) β + o (1)} exp (- \frac{2}{3} β a^{3 / 2}) .$

A continuous mapping theorem for the argmin-set functional with applications to convex stochastic processes

Dietmar Ferger (2021)

Kybernetika

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For lower-semicontinuous and convex stochastic processes $Z_{n}$ and nonnegative random variables $ϵ_{n}$ we investigate the pertaining random sets $A (Z_{n}, ϵ_{n})$ of all $ϵ_{n}$ -approximating minimizers of $Z_{n}$ . It is shown that, if the finite dimensional distributions of the $Z_{n}$ converge to some $Z$ and if the $ϵ_{n}$ converge in probability to some constant $c$ , then the $A (Z_{n}, ϵ_{n})$ converge in distribution to $A (Z, c)$ in the hyperspace of Vietoris. As a simple corollary we obtain an extension of several argmin-theorems in the literature. In particular,...

Quasi-diffusion solution of a stochastic differential equation

Agnieszka Plucińska, Wojciech Szymański (2007)

Applicationes Mathematicae

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We consider the stochastic differential equation $X_{t} = X ₀ + \int_{0}^{t} (A_{s} + B_{s} X_{s}) d s + \int_{0}^{t} C_{s} d Y_{s}$ , where $A_{t}$ , $B_{t}$ , $C_{t}$ are nonrandom continuous functions of t, X₀ is an initial random variable, $Y = (Y_{t}, t \geq 0)$ is a Gaussian process and X₀, Y are independent. We give the form of the solution ( $X_{t}$ ) to (0.1) and then basing on the results of Plucińska [Teor. Veroyatnost. i Primenen. 25 (1980)] we prove that ( $X_{t}$ ) is a quasi-diffusion proces.

Stochastic dynamical systems with weak contractivity properties II. Iteration of Lipschitz mappings

Marc Peigné, Wolfgang Woess (2011)

Colloquium Mathematicae

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In this continuation of the preceding paper (Part I), we consider a sequence ${(F ₙ)}_{n \geq 0}$ of i.i.d. random Lipschitz mappings → , where is a proper metric space. We investigate existence and uniqueness of invariant measures, as well as recurrence and ergodicity of the induced stochastic dynamical system (SDS) $X ₙ^{x} = F ₙ \circ . . . \circ F ₁ (x)$ starting at x ∈ . The main results concern the case when the associated Lipschitz constants are log-centered. Principal tools are local contractivity, as considered in detail in Part I,...

Systems of Bellman Equations to Stochastic Differential Games with Discount Control

Alain Bensoussan, Jens Frehse (2008)

Bollettino dell'Unione Matematica Italiana

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We consider two dimensional diagonal elliptic systems $\Delta u+au=H(x,u,\nabla u)$ which arise from stochastic differential games with discount control. The Hamiltonians $H$ have quadratic growth in $\nabla u$ and a special structure which has notyet been covered by regularity theory. Without smallness condition on $H$ , the existence of a regular solution is established.

Exact l $_{1}$ penalty function for nonsmooth multiobjective interval-valued problems

Julie Khatri, Ashish Kumar Prasad (2024)

Kybernetika

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Our objective in this article is to explore the idea of an unconstrained problem using the exact l $_{1}$ penalty function for the nonsmooth multiobjective interval-valued problem (MIVP) having inequality and equality constraints. First of all, we figure out the KKT-type optimality conditions for the problem (MIVP). Next, we establish the equivalence between the set of weak LU-efficient solutions to the problem (MIVP) and the penalized problem (MIVP $_{ρ}$ ) with the exact l $_{1}$ penalty function. The...

Interior-point method for large-scale $l_{1}$ optimization

Lukšan, Ladislav, Matonoha, Ctirad, Vlček, Jan

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Saddle point criteria for second order $η$ -approximated vector optimization problems

Anurag Jayswal, Shalini Jha, Sarita Choudhury (2016)

Kybernetika

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The purpose of this paper is to apply second order $η$ -approximation method introduced to optimization theory by Antczak [2] to obtain a new second order $η$ -saddle point criteria for vector optimization problems involving second order invex functions. Therefore, a second order $η$ -saddle point and the second order $η$ -Lagrange function are defined for the second order $η$ -approximated vector optimization problem constructed in this approach. Then, the equivalence between an (weak) efficient solution...