Moment spaces, weak convergence, large deviations, canonical moments, range of the moment space, beta-distribution

The precise large deviations asymptotics for the sums of independent identical random variables when the distribution of the summand belongs to the class S * S* of heavy tailed distributions is studied. Under mild conditions, we extend the previous results from the paper Denisov et al. (2010) to...

Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the main problems is to decide if there is any type of...

We consider a model of stochastic evolution under general noisy best response protocols, allowing the probabilities of suboptimal choices to depend on their payoff consequences. Our analysis focuses on behavior in the small noise double limit: we first take the noise level in agents' decisions...

Summary The purpose of this paper is to establish a functional large deviations principle (LDP) for L -statistics under some new tail conditions. The method is based on Sanov's theorem and on basic tools of large deviations theory. Our study includes a full treatment of the case of the uniform...

This paper studies the problem of an agent who wants to prevent the state from exceeding a critical threshold. Even though the agent is presumed to know the model, the optimal policy is computed by solving a conventional robust control problem. That is, robustness is induced here by objectives...

This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these...

This paper studies selection rules i.e. the procedures committees use to choose whether to place an issue on their agenda. The main ingredient of the model is that committee members are uncertain about their final preferences at the selection stage: they only know the probability that they will...