Results 51 to 60 of about 1,550,172 (171)

Market Making With Fads, Informed, and Uninformed Traders

Mathematical Finance, EarlyView.
ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci, Adrien Mathieu, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

A higher order frozen Jacobian iterative method for solving Hamilton-Jacobi equations

, 2016
It is well-known that the solution of Hamilton-Jacobi equation may have singularity i.e., the solution is non-smooth or nearly non-smooth. We construct a frozen Jacobian multi-step iterative method for solving Hamilton-Jacobi equation under the ...
Younas, Arshad M. M., Ahmad, Shamshad, Ahmad, Shahid, Alaidarous, Eman, Alzahrani, Ebraheem O., Ahmad, Fayyaz   +5 more
core   +2 more sources

Polynomial Extrapolation Techniques for Accelerating Picard Iterations With Multigrid Solvers for Nonlinear Problems in Isogeometric Analysis

Numerical Linear Algebra with Applications, Volume 33, Issue 5, October 2026.
ABSTRACT Vector extrapolation techniques can be highly effective when used to accelerate the convergence of fixed‐point iterative methods, such as the Picard method. In this study, we investigate the numerical solution of nonlinear problems. Specifically, we address the nonlinear eigenvalue Bratu problem and the Monge–Ampère equation using a multigrid ...
Abdellatif Mouhssine, Ahmed Ratnani, Hassane Sadok   +2 more
wiley   +1 more source

Random Carbon Tax Policy and Investment Into Emission Abatement Technologies

Mathematical Finance, Volume 36, Issue 4, Page 804-825, October 2026.
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, Rüdiger Frey, Verena Köck   +2 more
wiley   +1 more source

Hamilton-Jacobi equation in calculus of variations and applications to Huygens principle

, 2022
reservedLa tesi tratta nello specifico dell'utilizzo nel calcolo delle variazioni dell'equazione di Hamilton-Jacobi. Nel primo capitolo introduciamo gli oggetti fondamentali del calcolo delle variazioni, del formalismo Lagrangiano ed Hamiltoniano.
RIGATO, ENZO
core  

On controlled Hamilton and Hamilton–Jacobi differential equations of higher-order

Scientific Reports, 2022
In this paper, we investigate the nonlinear dynamics associated with controlled Lagrangians involving higher-order derivatives. More precisely, we establish the controlled higher-order Hamilton ordinary differential equations (ODEs) and Hamilton–Jacobi ...
Savin Treanţă, Kamsing Nonlaopon, Muhammad Bilal Khan   +2 more
doaj   +1 more source

A Model of Strategic Sustainable Investment

Mathematical Finance, Volume 36, Issue 4, Page 771-803, October 2026.
ABSTRACT We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero‐sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous‐time on an infinite‐time horizon.
Tiziano De Angelis, Caio César Graciani Rodrigues, Peter Tankov   +2 more
wiley   +1 more source

Nonsquare Spectral Factorization for Nonlinear Control Systems [PDF]

, 2005
This paper considers nonsquare spectral factorization of nonlinear input affine state space systems in continuous time. More specifically, we obtain a parametrization of nonsquare spectral factors in terms of invariant Lagrangian submanifolds and ...
Schaft, Arjan J. van der, Petersen, Mark A., Schaft, Arjan J. van der,, Schaft, Arjan J. van der; id_orcid, Petersen, Mark A.,   +4 more
core   +2 more sources

Nonlinear Optimal Control for Stochastic Dynamical Systems

Mathematics
This paper presents a comprehensive framework addressing optimal nonlinear analysis and feedback control synthesis for nonlinear stochastic dynamical systems.
Manuel Lanchares, Wassim M. Haddad
doaj   +1 more source

Wormholes and effective potentials

ACI Avances en Ciencias e Ingenierías, 2011
The fundamental properties of the Ellis wormholes are reviewed. Using the Hamilton-Jacobi formalism, we have derived the effective potentials and the orbit equation for a particle around a wormhole in both Ellis and Morris-Thorne geometries.
Carlos A. Marín
doaj   +1 more source