Results 41 to 50 of about 485,864 (198)

A stochastic Gronwall inequality in random time horizon and its application to BSDE

Journal of Inequalities and Applications, 2020
In this paper, we introduce and prove a stochastic Gronwall inequality in an (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochastic differential equation (BSDE for short) with random terminal time under ...
Hun O, Mun-Chol Kim, Chol-Kyu Pak
doaj   +1 more source

New finite-time stability result for a class of Itô-Doob stochastic fractional order systems

Alexandria Engineering Journal, 2023
In this article, we study the Finite-Time Stability (FTS) of Linear Stochastic Fractional Differential Equations of Itô-Doob Type with Delay (LSFDEIDTwD) for a derivative order ρ∈(0,1).
Hassen Arfaoui, A. Ben Makhlouf, Lassaad Mchiri, Mohamed Rhaima   +3 more
doaj   +1 more source

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, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

Linear Control of Fractional-Order Financial Chaotic Systems with Input Saturation

Discrete Dynamics in Nature and Society, 2014
In this paper, control of fractional-order financial chaotic systems with saturated control input is investigated by means of state-feedback control method.
Junhai Luo, Guanjun Li, Heng Liu
doaj   +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

Gronwall inequalities on time scales [PDF]

Mathematical Inequalities & Applications, 2006
The authors use several different methods to extend Gronwall’s inequality to more general cases on a time scale. Two applications are also given. Mathematics subject classification (2000): 26D15.
Fu-Hsiang Wong, Cheh-Chih Yeh, Chen-Huang Hong   +2 more
openaire   +1 more source

Caputo gH-differentiability for Gronwalls inequality: insight, new results and application

Journal of Inequalities and Applications
This paper investigates Gronwall’s inequality within the framework of interval-valued functions under Caputo gH-differentiability. Employing interval-valued Caputo fractional derivatives and associated interval-valued Riemann–Liouville integrals, we ...
Fatima Khan, Anum Zehra, Muhammad Farman, Kottakkaran Sooppy Nisar, Aceng Sambas, Mohamed Hafez   +5 more
doaj   +1 more source

On an integral inequality in N-independent variables

International Journal of Mathematics and Mathematical Sciences, 1984
We present a new non-linear integral inequality of the Gronwall-Bellman-Bihari type in n-independent variables with application to pointwise estimates of solutions of a certain class of non-linear hyperbolic partial differential equation.
Olusola Akinyele
doaj   +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

Drift‐Diffusion Models with Schottky Contacts at Metal–Semiconductor Interfaces

Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.
ABSTRACT The paper deals with a drift‐diffusion model for semiconductor devices with Schottky contacts at all metal–semiconductor interfaces. The presented analytical investigations permit Boltzmann as well as Fermi–Dirac statistics for the charge‐carrier densities.
Annegret Glitzky, Matthias Liero
wiley   +1 more source