Results 31 to 40 of about 17,851 (143)
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
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SDFs from Unoriented Point Clouds using Neural Variational Heat Distances
Computer Graphics Forum, EarlyView.We propose a novel variational approach for computing neural Signed Distance Fields (SDF) from unoriented point clouds. We first compute a small time step of heat flow (middle) and then use its gradient directions to solve for a neural SDF (right). Abstract We propose a novel variational approach for computing neural Signed Distance Fields (SDF) from ...
Samuel Weidemaier +5 more
wiley +1 more source
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
, 2007 We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires compensation for this risk in the form of a pre-specified ...
A. Friedman +17 more
core +4 more sources
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
Macroscopic Market Making Games
Mathematical Finance, EarlyView.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
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
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Ghost effect from Boltzmann theory
Communications on Pure and Applied Mathematics, Volume 79, Issue 3, Page 558-675, March 2026.Abstract Taking place naturally in a gas subject to a given wall temperature distribution, the “ghost effect” exhibits a rare kinetic effect beyond the prediction of classical fluid theory and Fourier law in such a classical problem in physics. As the Knudsen number ε$\varepsilon$ goes to zero, the finite variation of temperature in the bulk is ...
Raffaele Esposito +3 more
wiley +1 more source
A Generalization Error Bound of Physics‐Informed Neural Networks for Ecological Diffusion Models
Stat, Volume 15, Issue 1, March 2026.ABSTRACT Ecological diffusion equations (EDEs) are partial differential equations (PDEs) that model spatiotemporal dynamics, often applied to wildlife diseases. Derived from ecological mechanisms, EDEs are useful for forecasting, inference, and decision‐making, such as guiding surveillance strategies for wildlife diseases.
Juan Francisco Mandujano Reyes +4 more
wiley +1 more source
On the well-posedness of a class of McKean Feynman-Kac equations
, 2019 We analyze the well-posedness of a so called McKean Feynman-Kac Equation (MFKE), which is a McKean type equation with a Feynman-Kac perturbation. We provide in particular weak and strong existence conditions as well as pathwise uniqueness conditions ...
Lieber, Jonas +2 more
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Mean curvature flows and isotopy problems [PDF]
, 2012 In this note, we discuss the mean curvature flow of graphs of maps between Riemannian manifolds. Special emphasis will be placed on estimates of the flow as a non-linear parabolic system of differential equations.
Wang, Mu-Tao
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