Results 91 to 100 of about 4,936,635 (261)

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

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 generalized Borel sets [PDF]

Journal of the Australian Mathematical Society, 1978
AbstractA certain natural extension B of the Borel σ-algebra is studied in generalized weakly θ-refinable spaces. It is shown that a set belongs to B whenever it belongs to B locally. From this it is derived that if ℵωα is more complicated than aunion of less than ℵα weakly θ-refinable subspaces.
openaire   +2 more sources

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

Ideali di Borel e numeri di Betti

, 2009
Due distinti ideali di Borel con la stessa funzione di Hilbert hanno anche gli stessi numero di Betti se e solo se ad ogni grado contengono in numero uguale termini non divisi da determinate variabili (Eliahou e Kervaire).
CIOFFI, FRANCESCA
core  

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

On the Exact Limiting Distribution of a Volatility Target Index

Mathematical Finance, EarlyView.
ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
wiley   +1 more source

Borel parametrizations

, 1979
Let X and Y be uncountable Polish spaces and B a Borel subset oi X × Y X\, \times \,Y such that for each x, B x {B_x} is uncountable.
R. Daniel Mauldin
core   +1 more source

Unified Stein‐Type Characterizations of Bivariate Count Distributions With Applications

Scandinavian Journal of Statistics, EarlyView.
ABSTRACT The derivation and application of Stein identities have received considerable research interest, especially for continuous distributions and univariate discrete distributions. In this article, we derive a unified Stein‐type characterization for three bivariate count models, namely the bivariate Poisson, type‐I bivariate binomial, and bivariate
Shaochen Wang, Christian H. Weiß
wiley   +1 more source

A Bicomplex Proportional Fractional (ϑ,φ)-Weighted Cauchy–Riemann Operator Using Riemann–Liouville Derivatives with Respect to an Hyperbolic-Valued Function

Fractal and Fractional
Based on the Riemann–Liouville derivatives with respect to functions taking values in the set of hyperbolic numbers, we consider a new bicomplex proportional fractional (ϑ,φ)-weighted Cauchy–Riemann operator, involving orthogonal bicomplex functions as ...
José Oscar González-Cervantes, Juan Bory-Reyes, Juan Adrián Ramírez-Belman   +2 more
doaj   +1 more source