In the framework of continuous-time market models with specified pricing density, optimal
payoffs under increasing law-invariant preferences are known to be anti-monotonic with the …

Performance of some suboptimal detectors can be enhanced by adding independent noise
to their inputs via the stochastic resonance (SR) effect. In this paper, the effects of SR are …

The restricted Neyman-Pearson (NP) approach is studied for composite hypothesis-testing
problems in the presence of uncertainty in the prior probability distribution under the …

Multiple testing problems (MTPs) are a staple of modern statistical analysis. The
fundamental objective of MTPs is to reject as many false null hypotheses as possible (that is …

Multiple testing problems are a staple of modern statistical analysis. The fundamental
objective of multiple testing procedures is to reject as many false null hypotheses as …

We study the portfolio optimization problem of maximizing the outperformance probability
over a random benchmark through dynamic trading with a fixed initial capital. Under a …

We consider the following problem on testing r simple hypotheses: in the set K^α of tests
with weighed sum of errors of the i th kind, 1≤i≤k, at most α, it is required to single out a …

In this paper, we study the hedging problem based on the CVaR in incomplete markets. As
the superhedging is quite expensive in terms of initial capital, we construct a self-financing …

We consider the problem of testing two composite hypotheses in the minimax setting. To find
maximin tests, we propose a new dual optimization problem which has a solution under a …

This paper discusses the connection between mathematical finance and statistical
modelling which turns out to be more than a formal mathematical correspondence. We like …