Layer wise Scaled Gaussian Priors for Markov Chain Monte Carlo Sampled deep Bayesian neural networks. [PDF]
Jawla D, Kelleher J.
europepmc +1 more source
Some remarks on the Cauchy problem for weakly hyperbolic equations [PDF]
Tatsuo Nishitani
openalex +1 more source
The fundamental theorem of asset pricing with and without transaction costs
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley +1 more source
Lorentzian bordisms in algebraic quantum field theory. [PDF]
Bunk S, MacManus J, Schenkel A.
europepmc +1 more source
Spanning Multi‐Asset Payoffs With ReLUs
ABSTRACT We propose a distributional formulation of the spanning problem of a multi‐asset payoff by vanilla basket options. This problem is shown to have a unique solution if and only if the payoff function is even and absolutely homogeneous, and we establish a Fourier‐based formula to calculate the solution.
Sébastien Bossu+2 more
wiley +1 more source
Global Solutions of the One-Dimensional Compressible Euler Equations with Nonlocal Interactions via the Inviscid Limit. [PDF]
Carrillo JA+3 more
europepmc +1 more source
Well-posedness and qualitative behaviour of a semi-linear parabolic Cauchy problem arising from a generic model for fractional-order autocatalysis. [PDF]
Meyer JC, Needham DJ.
europepmc +1 more source
Lectures on Cauchy's Problem in Linear Partial Differential Equations
J. Hadamard, P. Morse
semanticscholar +1 more source
A Pure Dual Approach for Hedging Bermudan Options
ABSTRACT This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a “purely dual” algorithm following the spirit of Rogers in the sense that it only relies on the dual pricing formula.
Aurélien Alfonsi+2 more
wiley +1 more source