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- Hanqing Jin, Xun Yu Zhou, +4 authors Terry Lyons
- 2008

This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky’s (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the conventional expected utility maximization model, such a behavioral model could be easily misformulated (a.k.a.… (More)

2 The goal of this paper is to construct canonical L evy area processes for Banach space valued Brownian motions via dyadic approximations. The signiicance of the existence of canonical L evy area processes is that a (stochastic) integration theory can be established for such Brownian motions (in Banach spaces). Existence of ows for stochastic diierential… (More)

- Terry Lyons
- 1999

We provide sharp exponential moment bounds for (Stratonovich) iterated stochastic integrals under conditioning by certain small balls, including balls in certain HH older-like norms of exponent greater than 1=3. The proof uses a control of the variation of the L evy area, under conditioning. The results are applied to the computation of the Onsager-Machlup… (More)

- TERRY LYONS
- 2016

This paper reports and discusses the principal findings of an Australian study exploring the decisions of high achieving Year 10 students about taking physics and chemistry courses (Lyons, 2003). The study used a Fmultiple worlds_ framework to explore the diverse background characteristics that previous quantitative research had shown were implicated in… (More)

We derive explicit tail-estimates for the Jacobian of the solution flow for stochastic differential equations driven by Gaussian rough paths. In particular, we deduce that the Jacobian has finite moments of all order for a wide class of Gaussian process including fractional Brownian motion with Hurst parameter H > 1/4. We remark on the relevance of such… (More)

- Navonil Mustafee, Terry Lyons, Paul Rees, Lee Davies, Mark Ramsey, Michael D. Williams
- Proceedings Title: Proceedings of the 2012 Winter…
- 2012

Simulation has been applied for the management of bed capacities in hospitals. However, the majority of these studies have ignored the application of this technique in specalized and integrated care units, where-in different wards, e.g., general ward, Intensive Therapy Unit (ITU), High Dependency Unit (HDU), are organized to provide patients differing… (More)

- TERRY LYONS
- 2011

We derive explicit tail-estimates for the Jacobian of the solution flow for stochastic differential equations driven by Gaussian rough paths. In particular, we deduce that the Jacobian has finite moments of all order for a wide class of Gaussian process including fractional Brownian motion with Hurst parameter H > 1/4. We remark on the relevance of such… (More)

- Andrew J. Patton, Tarun Ramadorai, +6 authors Neil Shephard
- 2012

We analyze the reliability of voluntary disclosures of
nancial information, focusing on widelyemployed publicly available hedge fund databases. Tracking changes to statements of historical performance recorded at di¤erent points in time between 2007 and 2011, we
nd that historical returns are routinely revised. These revisions are not merely random or… (More)

- Weixin Yang, Lianwen Jin, Hao Ni, Terry Lyons
- ICPR
- 2016

- Terry Lyons, Hao Ni, Harald Oberhauser
- BigDataScience '14
- 2014

We propose a set of features to study the effects of data streams on complex systems. This feature set is called the the signature representation of a stream. It has its origin in pure mathematics and relies on a relationship between non-commutative polynomials and paths. This representation had already signifcant impact on algebraic topology, control… (More)