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08/04/2022
Estimation of growth in fund models
Fund models are statistical descriptions of markets where all asset retu...
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03/09/2022
A composite generalization of Ville's martingale theorem
We provide a composite version of Ville's theorem that an event has zero...
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02/01/2021
How can one test if a binary sequence is exchangeable? Fork-convex hulls, supermartingales, and Snell envelopes
Suppose we observe an infinite series of coin flips X_1,X_2,…, and wish ...
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09/07/2020
Admissible anytime-valid sequential inference must rely on nonnegative martingales
Wald's anytime-valid p-values and Robbins' confidence sequences enable s...
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04/19/2020
Hedging with Neural Networks
We study neural networks as nonparametric estimation tools for the hedgi...
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11/13/2019