Results 91 to 100 of about 456 (211)

Optimal Portfolio Choice With Cross‐Impact Propagators

Mathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Defining Utility as a Measure of Preference Under Uncertainty in Phase I-II Oncology Dose Finding Trials. [PDF]

Stat Med
Hall A, Wilson D, Barber S, Brown SR.
europepmc   +1 more source

A scientist's take on scientific evidence in the courtroom. [PDF]

Proc Natl Acad Sci U S A, 2023
Albright TD.
europepmc   +1 more source

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

A study of some M[x]/G/1 type queues with random breakdowns and bernouilli schedule server vacations based on a single vacation policy

, 2008
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Queueing systems arise in modelling of many practical applications related to computer sciences, telecommunication networks, manufacturing and production ...
Maraghi, Farzana Abdulla
core  

Equilibrium Reward for Liquidity Providers in Automated Market Makers

Mathematical Finance, EarlyView.
ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha, Philippe Bergault, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

On some queueing systems with server vacations, extended vacations, breakdowns, delayed repairs and stand-bys

, 2012
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This research investigates a batch arrival queueing system with a Bernoulli scheduled vacation and random system breakdowns.
Khalaf, Rehab
core  

Random Carbon Tax Policy and Investment Into Emission Abatement Technologies

Mathematical Finance, EarlyView.
ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri, Rüdiger Frey, Verena Köck   +2 more
wiley   +1 more source

Nothing new under the sun: The NIST primer on "Probability and Likelihood Ratios" gives a misleading negative portrayal of the likelihood-ratio framework. [PDF]

Forensic Sci Int Synerg
Morrison GS.
europepmc   +1 more source

Relative Arbitrage Opportunities With Interactions Among N Investors

Mathematical Finance, EarlyView.
ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley   +1 more source