Results 41 to 50 of about 199 (130)

Macroscopic Market Making Games

Mathematical Finance, Volume 36, Issue 2, Page 352-373, April 2026.
ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
wiley   +1 more source

Postprocessing and higher order convergence for the mixed finite element approximations of the Stokes eigenvalue problems [PDF]

, 2005
summary:In this paper we propose a method for improving the convergence rate of the mixed finite element approximations for the Stokes eigenvalue problem.
A.B. Andreev, Xie, Hehu, Lazarov, R.D., Milena Racheva, Chen, Hongtao, Andreev, Andrey, Jia, Shanghui, R.D. Lazarov, Andreev, A.B., Racheva, M.R., Racheva, Milena, Andrey Andreev, M.R. Racheva   +12 more
core   +1 more source

"A Semi-group Expansion for Pricing Barrier Options" [PDF]

This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential ...
Takashi Kato, Akihiko Takahashi, Toshihiro Yamada   +2 more
core  

Analyse multi-échelle des interactions entre les ondes et les particules

, 2023
This thesis consists of two parts. Part I studies a special class of oscillating nonlinear differential equations in finite dimensional spaces. Under integrability conditions, a « blow-up » procedure and a WKB approximation (of super-critical type) lead ...
Farhat, Shahnaz
core   +1 more source

Asymptotic expansions of evolution equations with fast volatility

We study Kolmogorov forward equations (KFE) and Zakai equations for diffusion processes with a fast mean-reverting stochastic volatility component. In the case of the KFE, a parabolic PDE in divergence form, we perform a matched asymptotic expansion up ...
Howison, Samuel, Wang, Z, Reisinger, Christoph, Sircar, R   +3 more
core   +1 more source

LONG WAVE EXPANSIONS FOR WATER WAVES OVER RANDOM TOPOGRAPHY

, 2008
. In this paper, we study the motion of the free surface of a body of fluid over a variable bottom, in a long wave asymptotic regime. We assume that the bottom of the fluid region can be described by a stationary random process β(x, ω) whose variations ...
Philippe Guyenne, Guyenne, Oliver Díaz-Espinosa, Anne De Bouard, Catherine Sulem, Oliver D Íaz-espinosa, Walter Craig   +6 more
core   +1 more source

Dispersive shock wave interactions and two-dimensional ocean-wave soliton interactions

, 2013
Many physical phenomena are understood and modeled with nonlinear partial differential equations (PDEs). Unfortunately, nonlinear PDEs rarely have analytic solutions.
Baldwin, Douglas Eugene
core   +1 more source

Converging Flow Between Coaxial Cones

, 2009
Fluid flow governed by the Navier-Stokes equation is considered in a domain bounded by two cones with the same axis. In the first, \u27non-parallel\u27 case, the two cones have the same apex and different angles θ = α and β in spherical polar coordinates
Hills, C. P., Gilbert, A. D., Hall, O.
core   +1 more source

Multi-scale analysis of interactions between waves and particles

, 2023
Cette thèse contient deux parties. La partie I étudie une classe spécifique d'équations différentielles non linéaires oscillantes dans des espaces de dimension finie.
Farhat, Shahnaz
core  

The Topological State Derivative: An Optimal Control Perspective on Topology Optimisation. [PDF]

J Geom Anal, 2023
Baumann P, Mazari-Fouquer I, Sturm K.
europepmc   +1 more source