Results 81 to 90 of about 1,569 (191)

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

Some Local Fractional Hilbert-Type Inequalities

Fractal and Fractional, 2023
The main purpose of this paper is to prove some new local fractional Hilbert-type inequalities. Our general results are applicable to homogeneous kernels. Furthermore, the best possible constants in terms of local fractional hypergeometric function are obtained.
openaire   +2 more sources

The fundamental theorem of asset pricing with and without transaction costs

Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

On Hilbert type inequalities with non-conjugate parameters

Applied Mathematics Letters, 2009
Different versions of the Hilbert inequality has been investigated by many mathematicians, see [\textit{A. Kufner}, \textit{L. Maligranda} and \textit{L.-E. Persson}, The Hardy inequality. About its history and some related results, Pilsen: Vydavatelský Servis (2007; Zbl 1213.42001)]. Utilizing the properties of rearrangement of a function, the authors
Kuang Jichang, Lokenath Debnath
openaire   +2 more sources

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, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Inequality of Opportunity in Wealth: Levels, Trends and Drivers in Germany

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT This paper studies inequality of opportunity (IOp) in individual net wealth in Germany from 2002 to 2019 using the Socio‐Economic Panel (SOEP). Applying the ex‐ante IOp framework, we quantify the share of wealth inequality attributable to immutable circumstances and benchmark it against IOp in gross labour earnings.
Daniel Graeber, Johannes König, Viola Hilbert   +2 more
wiley   +1 more source

Some Mann-Type Implicit Iteration Methods for Triple Hierarchical Variational Inequalities, Systems Variational Inequalities and Fixed Point Problems

Mathematics, 2019
This paper discusses a monotone variational inequality problem with a variational inequality constraint over the common solution set of a general system of variational inequalities (GSVI) and a common fixed point (CFP) of a countable family of ...
Lu-Chuan Ceng, Xiaoye Yang
doaj   +1 more source

Discrete Local Fractional Hilbert-type Inequalities [PDF]

Kragujevac Journal of Mathematics
The main objective of this paper is a study of some new discrete local fractional Hilbert-type inequalities. We apply our general results to homogeneous kernels. Also, the obtained results have the best possible constants.
PREDRAG VUKOVIĆ, WENGUI YANG
openaire   +1 more source

Repelled Point Processes With Application to Numerical Integration

Scandinavian Journal of Statistics, EarlyView.
ABSTRACT We look at Monte Carlo numerical integration from a stochastic geometry point of view. While crude Monte Carlo estimators relate to linear statistics of a homogeneous Poisson point process (PPP), linear statistics of more regularly spread point processes can yield unbiased estimators with faster‐decaying variance, and thus lower integration ...
Diala Hawat, Gabriel Mastrilli, Rémi Bardenet, Raphaël Lachièze‐Rey   +3 more
wiley   +1 more source

A general multidimensional half-discrete Hilbert-type inequality involving one derivative function of m-order

Journal of Inequalities and Applications
By means of the weight functions, the idea of introduced parameters and Hardy’s integral inequality, a multidimensional half-discrete Hilbert-type inequality with a general homogeneous kernel involving one derivative function of m-order is obtained.
Jianquan Liao, Bicheng Yang
doaj   +1 more source