—Paris Metro Pricing (PMP) is a simple multi-class flat-rate pricing scheme already practiced by transport systems, specifically by the Paris Metro at one time. The name is coi...
Abstract-- A portfolio model to minimize the risk of falling under uncertainty is discussed. The risk of falling is represented by the value-at-risk of rate of return. Introducing ...
We consider impulsive systems with several reset maps triggered by independent renewal processes, i.e., the intervals between jumps associated with a given reset map are identicall...
In the classic multi-armed bandits problem, the goal is to have a policy for dynamically operating arms that each yield stochastic rewards with unknown means. The key metric of int...
Hawkes processes are used for modeling tick-by-tick variations of a single or of a pair of asset prices. For each asset, two counting processes (with stochastic intensities) are a...
Emmanuel Bacry, Sylvain Delattre, Marc Hoffmann, J...