We investigate the existence of an absolutely continuous martingale measure. For continuous processes we show that the absence of arbitrage for general admissible integrands implies the existence of an absolutely continuous (not necessarily equivalent) local martingale measure. We also rephrase Radon-Nikodym theorems for predictable processes. 1.Introduction. In our paper Delbaen and Schacherma...

This work proposes an optimization formulation to determine a set of empirical importance weights to achieve a change of probability measure. The objective is to estimate statistics from a target distribution using random samples generated from a (different) proposal distribution. This work considers the specific case in which the proposal distribution from which the random samples are generate...

We present linear-time estimators for three popular covariate shift correction and propensity scoring algorithms: logistic regression(LR), kernel mean matching(KMM) [19], and maximum entropy mean matching(MEMM)[20]. This allows applications in situations where both treatment and control groups are large. We also show that the last two algorithms differ only in their choice of regularizer (l2 of...

Abstract— A linear space-time block code (STBC) is a vector space spanned by its defining weight matrices over the real number field. We define a Quadratic Form (QF), called the Hurwitz-Radon QF (HRQF), on this vector space and give a QF interpretation of the ML decoding complexity of a STBC. It is shown that the ML decoding complexity is only a function of the weight matrices defining the code...

I analyze the optimal intertemporal portfolio problem of an investor who worries about model misspecification and insists on robust decision rules when facing a mean-reverting risk premium. The desire for robustness lowers the total equity share, but increases the proportion of the intertemporal hedging demand. I present a methodology for calculation of detection-error probabilities, which is b...