Results 91 to 100 of about 2,057 (240)

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, Philippe Bergault, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

Efficient MCMC and posterior consistency for Bayesian inverse problems [PDF]

Many mathematical models used in science and technology often contain parameters that are not known a priori. In order to match a model to a physical phenomenon, the parameters have to be adapted on the basis of the available data.
Vollmer, Sebastian
core  

Random Carbon Tax Policy and Investment Into Emission Abatement Technologies

Mathematical Finance, EarlyView.
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

Physics-constrained convolutional neural networks for inverse problems in spatiotemporal partial differential equations

Data-Centric Engineering
We propose a physics-constrained convolutional neural network (PC-CNN) to solve two types of inverse problems in partial differential equations (PDEs), which are nonlinear and vary both in space and time.
Daniel Kelshaw, Luca Magri
doaj   +1 more source

A General Method for the Solution of Inverse Problems in Transport Phenomena

Chemical Engineering Transactions, 2015
The typical inverse problems in transport phenomena are given by partial differential equations with unknown boundary conditions, which are to be estimated from measurements corresponding to solutions of the PDEs or of their gradients.
M. Vocciante, A. Reverberi, V. Dovi
doaj   +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

Theoretical and numerical results for some inverse problems for PDEs [PDF]

, 2021
We consider geometric inverse problems concerning the one-dimensional Burgers equation and some related nonlinear systems (involving heat effects and variable density).
Fernández Cara, Enrique, Doubova, Anna, Apraiz, Jone, Yamamoto, Masahiro   +3 more
core  

Reconstruction of instantaneous flow fields from transient velocity snapshots using physics-informed neural networks (Applications to pulsatile blood flow behind a stenosis)

Journal of Biomechanical Science and Engineering
Physics-informed neural networks (PINNs) offer a promising framework by embedding partial differential equations (PDEs) into the loss function together with measurement data, making them well-suited for inverse problems.
Kakeru UEDA, Hiro WAKIMURA, Satoshi II
doaj   +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

Solving inverse problems for PDEs in terms of Lax-Milgram functional and a generalized collage method [PDF]

In this paper, we develop a general collage coding framework for inverse problems in partial differential equations (PDEs) with boundary conditions. Although a general PDEs inverse problem can be very complicated, via the Generalized Collage Theorem in ...
Davide La Torre, Ed Vrscay, Herb Kunze
core