Results 51 to 60 of about 590 (137)

ON THE STRUCTURE OF THE SINGULAR SET OF A PIECEWISE SMOOTH MINIMAX SOLUTION OF THE HAMILTON–JACOBI–BELLMAN EQUATION

open access: yesUral Mathematical Journal, 2016
The properties of a minimax piecewise smooth solution of the Hamilton–Jacobi–Bellman equation are studied. It is known the Rankine–Hugoniot conditions are necessary and sufficient conditions for the points of nondifferentiability (singularity) of the ...
Aleksei S. Rodin
doaj   +1 more source

Economic Growth and the Rise of Large Firms

open access: yesEconometrica, Volume 94, Issue 4, Page 1375-1408, July 2026.
I document that the right tail of the firm size distribution systematically thickens with economic development. To rationalize this fact, I develop a parsimonious idea search model in which both aggregate growth and the firm size distribution are endogenously determined.
Zhang Chen
wiley   +1 more source

Three reasons to price carbon under uncertainty: Accuracy of simple rules

open access: yesQuantitative Economics, Volume 17, Issue 3, Page 858-894, July 2026.
An easy‐to‐interpret rule for the optimal risk‐adjusted social cost of carbon is derived using perturbation analysis. This rule internalizes the adverse effects of global warming on the risk of recurring climate‐related disasters, the risk of irreversible cascading climate tipping points, and the usual effect on total factor productivity.
Ton van den Bremer   +2 more
wiley   +1 more source

Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice

open access: yesThe Journal of Finance, Volume 81, Issue 3, Page 1741-1795, June 2026.
ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT   +2 more
wiley   +1 more source

Direct Numerical Simulation of Magnetohydrodynamic Slip‐Flow Past a Stretching Surface Using Physics‐Informed Neural Network

open access: yesHeat Transfer, Volume 55, Issue 3, Page 1674-1682, May 2026.
ABSTRACT Traditional numerical methods, such as finite difference methods (FDM), finite element methods (FEM), and spectral methods, often face meshing challenges and high computational cost for solving nonlinear coupled differential equations. Machine learning techniques, specifically Physics‐informed machine learning, address these obstacles by ...
Ahmad, Feroz Soomro, Husna Zafar
wiley   +1 more source

Stochastic Optimal Control of Averaged SDDE with Semi-Markov Switching and with Application in Economics

open access: yesMathematics
This paper is devoted to the study of stochastic optimal control of averaged stochastic differential delay equations (SDDEs) with semi-Markov switchings and their applications in economics.
Mariya Svishchuk, Anatoliy V. Swishchuk
doaj   +1 more source

Existence of viscosity solutions to abstract Cauchy problems via nonlinear semigroups

open access: yesBulletin of the London Mathematical Society, Volume 58, Issue 5, May 2026.
Abstract In this work, we provide conditions for nonlinear monotone semigroups on locally convex vector lattices to give rise to a generalized notion of viscosity solutions to a related nonlinear partial differential equation. The semigroup needs to satisfy a convexity estimate, so called K$K$‐convexity, with respect to another family of operators ...
Fabian Fuchs, Max Nendel
wiley   +1 more source

Agents' Behavior and Interest Rate Model Optimization in DeFi Lending

open access: yesMathematical Finance, Volume 36, Issue 2, Page 374-396, April 2026.
ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci   +4 more
wiley   +1 more source

Macroscopic Market Making Games

open access: yesMathematical Finance, Volume 36, Issue 2, Page 352-373, April 2026.
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

Dynamic Mean-Variance Model with Borrowing Constraint under the Constant Elasticity of Variance Process

open access: yesJournal of Applied Mathematics, 2013
This paper studies a continuous-time dynamic mean-variance portfolio selection problem with the constraint of a higher borrowing rate, in which stock price is governed by a constant elasticity of variance (CEV) process. Firstly, we apply Lagrange duality
Hao Chang, Xi-min Rong
doaj   +1 more source

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