Results 71 to 80 of about 4,846 (246)

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

Bounds for novel extended beta and hypergeometric functions and related results

Journal of Inequalities and Applications
We introduce a new unified extension of the integral form of Euler’s beta function with a MacDonald function in the integrand and establish functional upper bounds for it.
Rakesh K. Parmar, Tibor K. Pogány
doaj   +1 more source

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

A Model of Strategic Sustainable Investment

Mathematical Finance, EarlyView.
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

SciRE-Solver: Accelerating Diffusion Models Sampling by Score-integrand Solver with Recursive Difference

, 2023
Diffusion models (DMs) have made significant progress in the fields of image, audio, and video generation. One downside of DMs is their slow iterative process.
Chen, Wei, Li, Shigui, Zeng, Delu
core  

On the New Description of Exceptional Sets in Asymptotic Estimates for the Entire Functions and the Laplace–Stieltjes Integrals

Axioms
We obtain a new extended description of the exceptional set in the asymptotic Borel-type relation in terms of the maximum of the integrand function for the Laplace–Stieltjes integrals.
Oleh Skaskiv, Andriy Bandura, Tetyana Salo, Dmytro Zikrach   +3 more
doaj   +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

Applications of Hilbert transform theory to numerical quadrature

, 1969
Some finite integrals are difficult to evaluate numerically because the integrand has a high peak or contains a rapidly oscillating function as a factor.
J. N. Lyness, W. E. Smith
core   +1 more source

A Hybrid Analytical-Numerical Approach to the Evaluation of the Flux Linkage of Misaligned Coils Above a Stratified Earth

IEEE Access
This work presents a hybrid analytical-numerical procedure that allows the efficient computation of the flux linkage of two misaligned circular coils placed above a stratified ground, which may include non-magnetic as well as magnetic materials.
Mauro Parise, Jonas Ekman, Giulio Antonini   +2 more
doaj   +1 more source