Results 81 to 90 of about 543 (203)

Towards unified AI-driven fracture mechanics: the extended deep energy method (XDEM). [PDF]

Nat Commun
Wang Y, Lin Y, Goswami S, Zhao L, Zhang H, Bai J, Anitescu C, Sadegh Eshaghi M, Zhuang X, Rabczuk T, Liu Y.   +10 more
europepmc   +1 more source

Relative Arbitrage Opportunities With Interactions Among N Investors

Mathematical Finance, EarlyView.
ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley   +1 more source

Mamba neural operator: Who wins? transformers vs. state-space models for PDEs. [PDF]

J Comput Phys
Cheng CW, Huang J, Zhang Y, Yang G, Schönlieb CB, Aviles-Rivero AI.   +5 more
europepmc   +1 more source

Information‐Theoretic Approach to Financial Market Modeling

Mathematical Finance, EarlyView.
ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley   +1 more source

Rigorous construction and classification of solitary-waves and exact soliton configurations in the nonlinear coupled Maccari system. [PDF]

Sci Rep
Hussain A, Khalel NJ, Oğul B, Al-Sinan BR, Thaqfan AA, Aly ES, Ibrahim TF.   +6 more
europepmc   +1 more source

Representation of Forward Performance Criteria with Random Endowment via FBSDE and Its Application to Forward Optimized Certainty Equivalent

Mathematical Finance, EarlyView.
ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou   +2 more
wiley   +1 more source

An analytical exploration of dark and bright solitary wave solutions of time-fractional (3+1) -dimensional generalized Painlevé-type equation. [PDF]

Sci Rep
Khan M, Ali R, Alsulami IM, Alsulami A.
europepmc   +1 more source

On Short‐Term Behavior of Implied Volatility for Index Options

Mathematical Finance, EarlyView.
ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley   +1 more source

Convergence Analysis of Iterative Deep Learning Algorithms for Fully Nonlinear BSPDEs in Non-Markovian Utility Maximization. [PDF]

J Sci Comput
Ma J, Wu H, Zheng HH.
europepmc   +1 more source

Convergence of Heavy‐Tailed Hawkes Processes and the Microstructure of Rough Volatility

Mathematical Finance, EarlyView.
ABSTRACT We establish the weak convergence of the intensity of a nearly‐unstable Hawkes process with heavy‐tailed kernel. Our result is used to derive a scaling limit for a financial market model where orders to buy or sell an asset arrive according to a Hawkes process with power‐law kernel.
Ulrich Horst, Wei Xu, Rouyi Zhang
wiley   +1 more source