Cover Image

Kullback-Leibler Barycentre of Stochastic Processes

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Jaimungal, Sebastian, Pesenti, Silvana M.
Format:	Preprint
Published:	2024
Subjects:	Mathematical Finance Probability Risk Management Machine Learning
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Risk Budgeting Allocation for Dynamic Risk Measures
by: Pesenti, Silvana M., et al.
Published: (2023)

Outperforming a Benchmark with $α$-Bregman Wasserstein divergence
by: Pesenti, Silvana M., et al.
Published: (2026)

Risk-Averse Markov Decision Processes through a Distributional Lens
by: Cheng, Ziteng, et al.
Published: (2022)

Optimal Transport Divergences induced by Scoring Functions
by: Pesenti, Silvana M., et al.
Published: (2023)

Robust Elicitable Functionals
by: Miao, Kathleen E., et al.
Published: (2024)

Constructing elicitable risk measures
by: Ince, Akif, et al.
Published: (2025)

Optimal payoff under Bregman-Wasserstein divergence constraints
by: Pesenti, Silvana M., et al.
Published: (2024)

The randomly distorted Choquet integrals with respect to a G-randomly distorted capacity and risk measures
by: Aldalbahi, Ohood, et al.
Published: (2025)

Lambda Expected Shortfall
by: Bellini, Fabio, et al.
Published: (2025)

Cash-subadditive risk measures without quasi-convexity
by: Han, Xia, et al.
Published: (2021)

Ranking Metrics: Extending Acceptability and Performance Indexes
by: Hitaj, Asmerilda, et al.
Published: (2026)

Robust quasi-convex risk measures and applications
by: Centrone, Francesca, et al.
Published: (2026)

Particle Systems with Local Interactions via Hitting Times and Cascades on Graphs
by: Guo, Yucheng, et al.
Published: (2025)

Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
by: Feinstein, Zachary, et al.
Published: (2022)

Stochastic Dominance Constrained Optimization with S-shaped Utilities: Poor-Performance-Region Algorithm and Neural Network
by: Hu, Zeyun, et al.
Published: (2025)

Model Combination in Risk Sharing under Ambiguity
by: Kroell, Emma, et al.
Published: (2025)

Optimal Robust Reinsurance with Multiple Insurers
by: Kroell, Emma, et al.
Published: (2023)

Optimal nonparametric estimation of the expected shortfall risk
by: Bartl, Daniel, et al.
Published: (2024)

Convolution Bounds on Quantile Aggregation
by: Blanchet, Jose, et al.
Published: (2020)

Robust Hedging of path-dependent options using a min-max algorithm
by: Banerjee, Purba, et al.
Published: (2025)

Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims
by: Jang, Jiwook, et al.
Published: (2025)

Generalized Orlicz premia
by: Aygün, Mücahit, et al.
Published: (2025)

Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling
by: Buehler, Hans, et al.
Published: (2025)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
by: Zhang, Panpan, et al.
Published: (2023)

Three-level qualitative classification of financial risks under varying conditions through first passage times
by: Bouthelier-Madre, Carlos, et al.
Published: (2025)

Enhancing a Risk Model by Adding Transient Statistical Factors
by: Tzikas, Alexandros E., et al.
Published: (2026)

Differential Quantile-Based Sensitivity in Discontinuous Models
by: Pesenti, Silvana M., et al.
Published: (2023)

Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach
by: Gnabeyeu, Emmanuel, et al.
Published: (2024)

Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets
by: Ren, Xin Yue, et al.
Published: (2024)

LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework
by: Liu, Hanchao, et al.
Published: (2023)

Provisions and Economic Capital for Credit Losses
by: Bastide, Dorinel, et al.
Published: (2024)

Modeling dependency between operational risk losses and macroeconomic variables using Hidden Markov Models
by: Selvaratnam, Nikeethan, et al.
Published: (2026)

The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims
by: Bénézet, Cyril, et al.
Published: (2023)

Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
by: Kaakai, Sarah, et al.
Published: (2022)

Robust Reinforcement Learning with Dynamic Distortion Risk Measures
by: Coache, Anthony, et al.
Published: (2024)

The role of debt valuation factors in systemic risk assessment
by: Fortuna, Kamil, et al.
Published: (2024)

Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty
by: De Vecchi, Corrado, et al.
Published: (2024)

Uncertainty in the financial market and application to forecastabnormal financial fluctuations
by: Peng, Shige, et al.
Published: (2024)

Set risk measures
by: Righi, Marcelo, et al.
Published: (2024)

Risk, utility and sensitivity to large losses
by: Herdegen, Martin, et al.
Published: (2024)