Results 31 to 40 of about 14,089 (117)
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Systemic Robustness: A Mean‐Field Particle System Approach
Mathematical Finance, EarlyView.ABSTRACT This paper is concerned with the problem of capital provision in a large particle system modeled by stochastic differential equations involving hitting times, which arises from considerations of systemic risk in a financial network. Motivated by Tang and Tsai, we focus on the number or proportion of surviving entities that never default to ...
Erhan Bayraktar +3 more
wiley +1 more source
Martingale Problem under Nonlinear Expectations [PDF]
, 2014 We formulate and solve the martingale problem in a nonlinear expectation space. Unlike the classical work of Stroock and Varadhan (1969) where the linear operator in the associated PDE is naturally defined from the corresponding diffusion process, the ...
Guo, Xin, Pan, Chen, Peng, Shige
core
Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions
Mathematical Finance, EarlyView.ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley +1 more source
, 2011 We consider the FENE dumbbell polymer model which is the coupling of the incompressible Navier-Stokes equations with the corresponding Fokker-Planck-Smoluchowski di ffusion equation. We show global well-posedness in the case of a 2D bounded domain.
Adriana Valentina Busuioc +17 more
core +3 more sources
Computer-Aided Civil and Infrastructure Engineering, EarlyView.Abstract The accuracy of road crack detection is susceptible to factors such as illumination variations and tiny crack sizes. Additionally, the loss function in road crack detection is prone to fluctuations during the training process, leading to instability.
WenTao Peng +4 more
wiley +1 more source
Exact Dirichlet boundary multi‐resolution hash encoding solver for structures
Computer-Aided Civil and Infrastructure Engineering, EarlyView.Abstract Designed to address computationally expensive scientific problems, physics‐informed neural networks (PINNs) have primarily focused on solving issues involving relatively simple geometric shapes. Drawing inspiration from exact Dirichlet boundary PINN and neural representation field, this study first develops a multi‐resolution hash encoding ...
Xiaoge Tian, Jiaji Wang, Xinzheng Lu
wiley +1 more source
Holomorphic field theories and higher algebra
Bulletin of the London Mathematical Society, EarlyView.Abstract Aimed at complex geometers and representation theorists, this survey explores higher dimensional analogs of the rich interplay between Riemann surfaces, Virasoro and Kac‐Moody Lie algebras, and conformal blocks. We introduce a panoply of examples from physics — field theories that are holomorphic in nature, such as holomorphic Chern‐Simons ...
Owen Gwilliam, Brian R. Williams
wiley +1 more source
A Model of Market Limit Orders By Stochastic PDE's, Parameter Estimation, and Investment Optimization [PDF]
, 2012 In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations obtained in Zheng
Sowers, Richard B., Zheng, Zhi
core
Transactions of the London Mathematical Society, Volume 12, Issue 1, December 2025.Abstract We study convergence problems for the intermediate long wave (ILW) equation, with the depth parameter δ>0$\delta > 0$, in the deep‐water limit (δ→∞$\delta \rightarrow \infty$) and the shallow‐water limit (δ→0$\delta \rightarrow 0$) from a statistical point of view.
Guopeng Li, Tadahiro Oh, Guangqu Zheng
wiley +1 more source