Results 61 to 70 of about 3,551 (159)
Statistical inference with exchangeability and martingales. [PDF]
Philos Trans A Math Phys Eng Sci, 2023 Holmes CC, Walker SG.
europepmc +1 more source
Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
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
Anticipative information in a Brownian-Poisson market. [PDF]
Ann Oper Res, 2022 D'Auria B, Salmeron JA.
europepmc +1 more source
A composite generalization of Ville’s martingale theorem using e-processes
, 2023 Johannes Ruf +3 more
openalex +1 more source
Never, Ever Getting Started: On Prospect Theory Without Commitment
Mathematical Finance, EarlyView.ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley +1 more source
A General Class of Exponential Inequalities for Martingales and Ratios
The Annals of Probability, 1999 The author derives several new exponential inequalities for a martingale difference sequence \((d_i,F_i)\), which satisfies either \(E[|d_j|^k\mid F_{j-1}]\leq (k!/2)\sigma^2_j c^{k-2}\) or \(P(|d_j|\leq c\mid F_{j-1})= 1\), for \(k>2\), \(0< c0\), \[ P(M_n\geq x, V^2_n\text{ for some }n)\leq \exp\Biggl\{-{x^2\over 2(y+ cx)}\Biggr\}.
openaire +2 more sources
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 +2 more
wiley +1 more source
Generalization of Tail Inequalities for Random Variables in the Martingale Theory
, 2022 Maria Rosaria Formica +2 more
openalex +2 more sources
Random Carbon Tax Policy and Investment Into Emission Abatement Technologies
Mathematical Finance, EarlyView.ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri +2 more
wiley +1 more source