Results 61 to 70 of about 1,550,223 (212)
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
Mathematical Finance, EarlyView.ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley +1 more source
Advances in Mechanical Engineering, 2019 A novel framework of rapid exponential stability and optimal feedback control is investigated and analyzed for a class of nonlinear systems through a variant of continuous Lyapunov functions and Hamilton–Jacobi–Bellman equation.
Yan Li, Yuanchun Li
doaj +1 more source
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 +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. +5 more
core +2 more sources
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 +2 more
wiley +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 +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 +2 more
doaj +1 more source
Dam Management in the Era of Climate Change
Mathematical Finance, Volume 36, Issue 4, Page 870-895, October 2026.ABSTRACT Climate change has a dramatic impact, particularly by concentrating rainfall into a few short periods, interspersed with long dry spells. In this context, the role of dams is crucial. We consider the optimal control of a dam, where the water level must neither exceed a designated safety threshold nor fall below a minimum level to ensure ...
Cristina Di Girolami +3 more
wiley +1 more source