Results 111 to 120 of about 48,662 (223)

Agents' Behavior and Interest Rate Model Optimization in DeFi Lending

Mathematical Finance, Volume 36, Issue 2, Page 374-396, April 2026.
ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci, Louis Bertucci, Mathis Gontier Delaunay, Olivier Guéant, Matthieu Lesbre   +4 more
wiley   +1 more source

Hamilton–Jacobi–Bellman Equation for Control Systems With Friction [PDF]

, 2020
Fabio Tedone, Michele Palladino
openalex   +3 more sources

Radial symmetry, monotonicity and Liouville theorem for Marchaud fractional parabolic equations with the nonlocal Bellman operator

Advanced Nonlinear Studies
In this article, we focus on studying space-time fractional parabolic equations with the nonlocal Bellman operator and the Marchaud fractional derivative. To address the difficulty caused by the space-time non-locality of operator ∂tα−Fs ${\partial }_{t}^
Liu Mengru, Zhang Lihong, Wang Guotao
doaj   +1 more source

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

Nonlinear Monte Carlo methods with polynomial runtime for Bellman equations of discrete time high-dimensional stochastic optimal control problems [PDF]

, 2023
Christian Beck, Arnulf Jentzen, Konrad Kleinberg, Thomas Kruse   +3 more
openalex   +1 more source

STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION

, 2023
Sibiri Narcisse Dolemweogo
openalex   +1 more source

Approximating the Stationary Bellman Equation by Hierarchical Tensor Products [PDF]

, 2023
Mathias Oster, Leon Sallandt, Reinhold Schneider   +2 more
openalex   +1 more source

Persistently optimal policies in stochastic dynamic programming with generalized discounting [PDF]

In this paper we study a Markov decision process with a non-linear discount function. Our approach is in spirit of the von Neumann-Morgenstern concept and is based on the notion of expectation.
Jaśkiewicz, Anna, Matkowski, Janusz, Nowak, Andrzej S.   +2 more
core   +1 more source

Hamilton-Jacobi-Bellman Equations for Q-Learning in Continuous Time [PDF]

, 2019
Jeongho Kim, Insoon Yang
openalex   +1 more source

Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System [PDF]

This paper gives a new method to characterize Markov Perfect Nash Equilibrium in stochastic differential games by means of a set of Generalized Euler Equations.
Juan Pablo Rincón-Zapatero, Ricardo Josa-Fombellida   +1 more
core