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Risk aggregation and stochastic claims reserving in disability insuranceJan 15 2014Aug 26 2014We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a conditional law of large ... More

The Principal-Agent Problem With Time Inconsistent Utility FunctionsMar 18 2015In this paper we study a generalization of the continuous time Principal-Agent problem allowing for time inconsistent utility functions, for instance of mean-variance type. Using recent results on the Pontryagin maximum principle for FBSDEs we suggest ... More

Optimal control and zero-sum stochastic differential game problems of mean-field typeMar 19 2016We show existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean field type, under dynamics driven by weak solutions of stochastic differential equations ... More

Risk-Sensitive Mean-Field Type Control under Partial ObservationNov 26 2014We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.

Optimal control and zero-sum stochastic differential game problems of mean-field typeMar 19 2016Nov 30 2016We show existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean field type, under dynamics driven by weak solutions of stochastic differential equations ... More

A characterization of sub-game perfect Nash equilibria for SDEs of mean field typeMar 25 2014We study a class of dynamic decision problems of mean field type with time inconsistent cost functionals, and derive a stochastic maximum principle to characterize subgame perfect Nash equilibrium points. Subsequently, this approach is extended to a mean ... More

A maximum principle for relaxed stochastic control of linear SDE's with application to bond portfolio optimizationDec 03 2007Feb 15 2008We study relaxed stochastic control problems where the state equation is a one dimensional linear stochastic differential equation with random and unbounded coefficients. The two main results are existence of an optimal relaxed control and necessary conditions ... More

Modeling tagged pedestrian motion: a mean-field type game approachJan 26 2018Feb 22 2019This paper suggests a model for the motion of tagged pedestrians: pedestrians moving towards a specified targeted destination, which they are forced to reach. It aims to be a decision-making tool for the positioning of fire fighters, security personnel, ... More

Optimal control and zero-sum stochastic differential game problems of mean-field typeMar 19 2016Jul 22 2017We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean-field type, under dynamics ... More

Large Deviations for Heavy-Tailed Factor ModelsDec 04 2007We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms contribute to ... More

A Functional Hodrick Prescott FilterDec 17 2013We propose a functional version of the Hodrick-Prescott filter for functional data which take values in an infinite dimensional separable Hilbert space. We further characterize the associated optimal smoothing parameter when the associated linear operator ... More

Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential gamesApr 12 2019We study a general class of fully coupled backward-forward stochastic differential equations of mean-field type (MF-BFSDE). We derive existence and uniqueness results for such a system under weak monotonicity assumptions and without the non-degeneracy ... More

Mean-field risk sensitive control and zero-sum games for Markov chainsJan 23 2018We establish existence of controlled Markov chain of mean-field type with unbounded jump intensities by means of a fixed point argument using the Wasserstein distance. Using a Markov chain entropic backward SDE approach, we further suggest conditions ... More

Optimal Control and Zero-Sum Games for Markov Chains of Mean-Field TypeJun 14 2016Jun 16 2016We show existence of an optimal control and a saddle-point for the zero-sum games associated with payoff functionals of mean-field type, under a dynamics driven by a class of Markov chains of mean-field type.

A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type ControlApr 05 2014In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle (SMP) for optimal control of stochastic differential equations (SDEs) of mean-field type, in which the drift ... More

Optimal stopping of expected profit and cost yields in an investment under uncertaintyJan 19 2010We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formulated in terms of a system of Snell envelopes for the ... More

Mean-Field-Type Games in EngineeringMay 11 2016With the ever increasing amounts of data becoming available, strategic data analysis and decision-making will become more pervasive as a necessary ingredient for societal infrastructures. In many network engineering games, the performance metrics depend ... More

Viscosity Solutions of Systems of Variational Inequalities with Interconnected Bilateral ObstaclesNov 21 2012We study a general class of nonlinear second-order variational inequalities with interconnected bilateral obstacles, related to a multiple modes switching game. Under rather weak assumptions, using systems of penalized unilateral backward SDEs, we construct ... More

Stochastic Impulse Control of Non-Markovian ProcessesJun 17 2008We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian. Under fairly general conditions we establish existence of an optimal impulse control. We also prove existence of combined optimal ... More

Importance sampling for a Markovian intensity model with applications to credit riskOct 20 2016This paper considers importance sampling for estimation of rare-event probabilities in a Markovian intensity model commonly used in the context of credit risk. The main contribution is the design of efficient importance sampling algorithms using subsolutions ... More

On the functional Hodrick-Prescott Filter with non-compact operatorsDec 17 2013We study a version of the functional Hodrick-Prescott filter where the associated operator is not necessarily compact, but merely closed and densely defined with closed range. We show that the associated optimal smoothing operator preserves the structure ... More

A Finite Horizon Optimal Multiple Switching ProblemJul 18 2007We consider the problem of optimal multiple switching in finite horizon, when the state of the system, including the switching costs, is a general adapted stochastic process. The problem is formulated as an extended impulse control problem and completely ... More

Risk-Sensitive Mean-Field-Type ControlFeb 05 2017We study risk-sensitive optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law as well as the state and control processes. Moreover the risk-sensitive ... More

On the Equality of Solutions of Max-Min and Min-Max Systems of Variational Inequalities with Interconnected Bilateral ObstaclesAug 19 2014Jul 25 2016In this paper, we deal with the solutions of systems of PDEs with bilateral inter-connected obstacles of min-max and max-min types. These systems arise naturally in stochastic switching zero-sum game problems. We show that when the switching costs of ... More

Infinite Horizon Stochastic Impulse Control with Delay and Random CoefficientsApr 26 2019May 20 2019We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the notion of Snell ... More

Mean-field backward stochastic differential equations: A limit approachNov 14 2007Aug 28 2009Mathematical mean-field approaches play an important role in different fields of Physics and Chemistry, but have found in recent works also their application in Economics, Finance and Game Theory. The objective of our paper is to investigate a special ... More

Credit Scoring by Incorporating Dynamic Network InformationMay 28 2019In this paper, the credit scoring problem is studied by incorporating network information, where the advantages of such incorporation are investigated in two scenarios. Firstly, a Bayesian optimal filter is proposed to provide a prediction for lenders ... More

A Full Balance Sheet Two-modes Optimal Switching problemNov 21 2014We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the other mode or ... More

Modeling tagged pedestrian motion: a mean-field type game approachJan 26 2018Jan 29 2019This paper suggests a model for the motion of tagged pedestrians: pedestrians moving towards a specified targeted destination, which they are forced to reach. It aims to be a decision-making tool for the positioning of fire fighters, security personnel, ... More

Mean-field type modeling of nonlocal crowd aversion in pedestrian crowd dynamicsJan 31 2017Jan 26 2018We extend the class of pedestrian crowd models introduced by Lachapelle and Wolfram (2011) to allow for nonlocal crowd aversion and arbitrarily but finitely many interacting crowds. The new crowd aversion feature grants pedestrians a "personal space" ... More

The Principal-Agent Problem; A Stochastic Maximum Principle ApproachOct 23 2014Nov 26 2014We study a general class of Principal-Agent problems in continuous time under hidden action. By formulating the model as a coupled stochastic optimal control problem we are able to find a set of necessary conditions characterizing optimal contracts, using ... More

Hamilton-Jacobi equations for optimal control on multidimensional junctions with entry costsMar 20 2019We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that the value function ... More

Quenched mass transport of particles towards a targetJul 25 2017Oct 31 2018We consider the stochastic target problem of finding the collection of initial laws of a mean-field stochastic differential equation such that we can control its evolution to ensure that it reaches a prescribed set of terminal probability distributions, ... More

Mean-Field-Type Games in EngineeringMay 11 2016Nov 29 2017A mean-field-type game is a game in which the instantaneous payoffs and/or the state dynamics functions involve not only the state and the action profile but also the joint distributions of state-action pairs. This article presents some engineering applications ... More

Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulationJun 13 2014In this paper a duality relation between the Ma\~{n}\'e potential and Mather's action functional is derived in the context of convex and state-dependent Hamiltonians. The duality relation is used to obtain min-max representations of viscosity solutions ... More

Infinite Horizon Stochastic Impulse Control with Delay and Random CoefficientsApr 26 2019We study a class of infinite horizon impulse control problems with execution delay when the dynamics of the system is described by a general adapted stochastic process. The problem is solved by means of probabilistic tools relying on the notion of Snell ... More

Extension of continuous functions and weakly developable spacesSep 21 2013Oct 01 2013The aim of this paper is to investigate weakly developable spaces. For a comparison with semi-metrizable spaces, we introduce and study a class of spaces among those of weakly developable spaces, semimetrizable spaces and first countable spaces having ... More

Special values of generalized multiple Hurwitz zeta function at non-positive integersFeb 12 2019In this paper, we provide an alternative method to calculate the values of generalized multiple Hurwitz zeta function at non-positive integers by means of \emph{Raabe}'s formula and the \textit{Bernoulli} numbers.

Mean-Field Games for MarriageApr 13 2014This article examines mean-field games for marriage. The results support the argument that optimizing the long-term well-being through effort and social feeling state distribution (mean-field) will help to stabilize marriage. However, if the cost of effort ... More

Programming Cloud Resource Orchestration Framework: Operations and Research ChallengesApr 10 2012Jun 18 2012The emergence of cloud computing over the past five years is potentially one of the breakthrough advances in the history of computing. It delivers hardware and software resources as virtualization-enabled services and in which administrators are free ... More

A Stochastic Closure for Two-Moment Bulk Microphysics of Warm Clouds: Part II, ValidationMay 09 2016Jun 07 2016The representation of clouds and associated processes of rain and snow formation remains one of the major uncertainties in climate and weather prediction models. In a companion paper (Part I), we systematically derived a two moment bulk cloud microphysics ... More

Rigidity at infinity for even-dimensional asymptotically complex hyperbolic spacesJun 13 2001Any Kaehler metric on the ball which is strongly asymptotic to complex hyperbolic space and whose scalar curvature is no less than the one of the complex hyperbolic space must be isometrically biholomorphic to it. This result has been known for some time ... More

A Stochastic Closure for Two-Moment Bulk Microphysics of Warm Clouds: Part I, DerivationsDec 27 2015Jun 07 2016We propose a mathematical methodology to derive a stochastic parameterization of bulk warm cloud micro-physics properties. Unlike previous bulk parameterizations, the stochastic parameterization does not assume any particular droplet size distribution, ... More

An Inviscid Regularization for the Surface Quasi-Geostrophic EquationFeb 03 2007Inspired by recent developments in Berdina-like models for turbulence, we propose an inviscid regularization for the surface quasi-geostrophic (SQG) equations. We are particularly interested in the celebrated question of blowup in finite time of the solution ... More

Coastal Tropical Convection in a Stochastic Modeling FrameworkAug 23 2017Nov 06 2017Recent research has suggested that the overall dependence of convection near coasts on large-scale atmospheric conditions is weaker than over the open ocean or inland areas. This is due to the fact that in coastal regions convection is often supported ... More

DARec: Deep Domain Adaptation for Cross-Domain Recommendation via Transferring Rating PatternsMay 26 2019Cross-domain recommendation has long been one of the major topics in recommender systems. Recently, various deep models have been proposed to transfer the learned knowledge across domains, but most of them focus on extracting abstract transferable features ... More

Adversarial Collaborative Auto-encoder for Top-N RecommendationAug 16 2018During the past decade, model-based recommendation methods have evolved from latent factor models to neural network-based models. Most of these techniques mainly focus on improving the overall performance, such as the root mean square error for rating ... More

An efficient numerical algorithm for the L2 optimal transport problem with applications to image processingSep 30 2010Mar 01 2011We present a numerical method to solve the optimal transport problem with a quadratic cost when the source and target measures are periodic probability densities. This method is based on a numerical resolution of the corresponding Monge-Amp\`ere equation. ... More

CrowdRev: A platform for Crowd-based Screening of Literature ReviewsMay 31 2018In this paper and demo we present a crowd and crowd+AI based system, called CrowdRev, supporting the screening phase of literature reviews and achieving the same quality as author classification at a fraction of the cost, and near-instantly. CrowdRev ... More

GrCAN: Gradient Boost Convolutional Autoencoder with Neural Decision ForestJun 21 2018Jun 24 2018Random forest and deep neural network are two schools of effective classification methods in machine learning. While the random forest is robust irrespective of the data domain, the deep neural network has advantages in handling high dimensional data. ... More

Software Expert Discovery via Knowledge Domain Embeddings in a Collaborative NetworkOct 26 2018Community Question Answering (CQA) websites can be claimed as the most major venues for knowledge sharing, and the most effective way of exchanging knowledge at present. Considering that massive amount of users are participating online and generating ... More

Crowdsourcing Paper Screening in Systematic Literature ReviewsSep 15 2017Literature reviews allow scientists to stand on the shoulders of giants, showing promising directions, summarizing progress, and pointing out existing challenges in research. At the same time conducting a systematic literature review is a laborious and ... More

Data Curation APIsDec 10 2016Understanding and analyzing big data is firmly recognized as a powerful and strategic priority. For deeper interpretation of and better intelligence with big data, it is important to transform raw data (unstructured, semi-structured and structured data ... More

A Survey on Expert Recommendation in Community Question AnsweringJul 15 2018Community question answering (CQA) represents the type of Web applications where people can exchange knowledge via asking and answering questions. One significant challenge of most real-world CQA systems is the lack of effective matching between questions ... More

Combining Crowd and Machines for Multi-predicate Item ScreeningApr 01 2019This paper discusses how crowd and machine classifiers can be efficiently combined to screen items that satisfy a set of predicates. We show that this is a recurring problem in many domains, present machine-human (hybrid) algorithms that screen items ... More

Temporal Provenance Model (TPM): Model and Query LanguageNov 21 2012Provenance refers to the documentation of an object's lifecycle. This documentation (often represented as a graph) should include all the information necessary to reproduce a certain piece of data or the process that led to it. In a dynamic world, as ... More

Quality Control in Crowdsourcing: A Survey of Quality Attributes, Assessment Techniques and Assurance ActionsJan 08 2018Crowdsourcing enables one to leverage on the intelligence and wisdom of potentially large groups of individuals toward solving problems. Common problems approached with crowdsourcing are labeling images, translating or transcribing text, providing opinions ... More

Big Data Analytics Using Cloud and CrowdApr 16 2016The increasing application of social and human-enabled systems in people's daily life from one side and from the other side the fast growth of mobile and smart phones technologies have resulted in generating tremendous amount of data, also referred to ... More

Unveiling Contextual Similarity of Things via Mining Human-Thing Interactions in the Internet of ThingsDec 24 2015Dec 29 2015With recent advances in radio-frequency identification (RFID), wireless sensor networks, and Web services, physical things are becoming an integral part of the emerging ubiquitous Web. Finding correlations of ubiquitous things is a crucial prerequisite ... More

Extending SPARQL to Support Entity Grouping and Path QueriesNov 21 2012The ability to efficiently find relevant subgraphs and paths in a large graph to a given query is important in many applications including scientific data analysis, social networks, and business intelligence. Currently, there is little support and no ... More

Mesoscale phenomena in solutions of 3-methylpyridine, heavy water, and an antagonistic saltAug 22 2013We have investigated controversial issues regarding the mesoscale behavior of 3-methylpyridine (3MP), heavy water, and sodium tetraphenylborate (NaBPh4) solutions by combining results obtained from dynamic light scattering (DLS) and small-angle neutron ... More

Big Data and Cross-Document Coreference Resolution: Current State and Future OpportunitiesNov 14 2013Information Extraction (IE) is the task of automatically extracting structured information from unstructured/semi-structured machine-readable documents. Among various IE tasks, extracting actionable intelligence from ever-increasing amount of data depends ... More

Detecting, Representing and Querying Collusion in Online Rating SystemsNov 02 2012Online rating systems are subject to malicious behaviors mainly by posting unfair rating scores. Users may try to individually or collaboratively promote or demote a product. Collaborating unfair rating 'collusion' is more damaging than individual unfair ... More

Expert Recommendation via Tensor Factorization with Regularizing Hierarchical Topical RelationshipsAug 03 2018Aug 07 2018Knowledge acquisition and exchange are generally crucial yet costly for both businesses and individuals, especially when the knowledge concerns various areas. Question Answering Communities offer an opportunity for sharing knowledge at a low cost, where ... More

Unveiling Contextual Similarity of Things via Mining Human-Thing Interactions in the Internet of ThingsDec 24 2015Jul 18 2017With recent advances in radio-frequency identification (RFID), wireless sensor networks, and Web services, physical things are becoming an integral part of the emerging ubiquitous Web. Finding correlations of ubiquitous things is a crucial prerequisite ... More

Programming Bots by Synthesizing Natural Language Expressions into API InvocationsNov 15 2017At present, bots are still in their preliminary stages of development. Many are relatively simple, or developed ad-hoc for a very specific use-case. For this reason, they are typically programmed manually, or utilize machine-learning classifiers to interpret ... More

Opinion Fraud Detection via Neural Autoencoder Decision ForestMay 09 2018Online reviews play an important role in influencing buyers' daily purchase decisions. However, fake and meaningless reviews, which cannot reflect users' genuine purchase experience and opinions, widely exist on the Web and pose great challenges for users ... More

An Analytic Approach to People Evaluation in Crowdsourcing SystemsNov 14 2012Worker selection is a significant and challenging issue in crowdsourcing systems. Such selection is usually based on an assessment of the reputation of the individual workers participating in such systems. However, assessing the credibility and adequacy ... More

Up in the Air: When Homes Meet the Web of ThingsDec 19 2015Dec 29 2015The emerging Web of Things (WoT) will comprise billions of Web-enabled objects (or "things") where such objects can sense, communicate, compute and potentially actuate. WoT is essentially the embodiment of the evolution from systems linking digital documents ... More

Up in the Air: When Homes Meet the Web of ThingsDec 19 2015Jul 18 2017The emerging Internet of Things (IoT) will comprise billions of Web-enabled objects (or "things") where such objects can sense, communicate, compute and potentially actuate. WoT is essentially the embodiment of the evolution from systems linking digital ... More