Nos premiers séminaires (2019), un film de Laurent Dubreuil sur une idée de Laurent Ferri. Tourné à Paris, Ithaca et Leeds, ce documentaire rend compte des visée,…

Abstract:
We prove a central limit theorem for a class of additive processes that arise naturally in the
theory of finite horizon Markov decision problems. The main theorem generalizes a…

Natural hazards such as floods, heatwaves and windstorms can cause havoc for the people affected and typically result in huge financial losses. Drug-induced liver injury is a major public health and…

The classical optimal dividend problem of de Finetti is about how an insurance company should dynamically pay out dividends such that the resulting payoff to shareholders is maximized. The catch here…

In a complete markets economy with heterogeneous consumers whether consumers vanish or survive is determined entirely by discount factors and beliefs. All else equal, the (complete) market selects…

For roughly six decades since the seminal paper of Robbins and Monro (1951), Stochastic Approximation has dominated the landscape of algorithms for solving root finding and optimization problems with…