Results 51 to 60 of about 51,780 (181)
Robust Bernoulli Mixture Models for Credit Portfolio Risk
Mathematical Finance, EarlyView.ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
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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 +2 more
wiley +1 more source
Mathematical Finance, EarlyView.ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici +3 more
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A Novel Mixed‐Hybrid, Higher‐Order Accurate Formulation for Kirchhoff–Love Shells
Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 2, June 2026.ABSTRACT This paper presents a novel mixed‐hybrid finite element formulation for Kirchhoff–Love shells, designed to enable the use of standard C0$C^0$‐continuous higher‐order Lagrange elements. This is possible by introducing the components of the moment tensor as a primary unknown alongside the displacement vector, circumventing the need for C1$C^1 ...
Jonas Neumeyer, Thomas‐Peter Fries
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On fractional deviation operators
Le Matematiche, 1997 The so called fractional deviation operators are introduced. This class of integral transforms appears naturally from the study of iteration of fractional integrals of Riemann-Liouville type. Since B.
Carlos C. Peña
doaj
Bulletin of the American Mathematical Society, 1917 Extracted from American mathematical society. Bulletin, v. 24, no. 1, Oct. 1917. ; Cover title. ; "References": p. 47. ; Mode of access: Internet. ; Bound with this is Hildebrandt, T. H., On integrals related to & extensions of the Lebesgue integrals . 1918.
openaire +2 more sources
International Journal for Numerical Methods in Engineering, Volume 127, Issue 7, 15 April 2026.ABSTRACT In this article, we propose a novel numerical framework for the non‐isothermal Cahn–Hilliard–Navier–Stokes two‐phase flow system, which couples the incompressible Navier–Stokes equations, the Cahn–Hilliard phase‐field equation, and the heat transport equation to capture temperature‐dependent two‐phase flow dynamics.
Guang‐An Zou +4 more
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Isoperimetric inequalities on slabs with applications to cubes and Gaussian slabs
Communications on Pure and Applied Mathematics, Volume 79, Issue 4, Page 1012-1072, April 2026.Abstract We study isoperimetric inequalities on “slabs”, namely weighted Riemannian manifolds obtained as the product of the uniform measure on a finite length interval with a codimension‐one base. As our two main applications, we consider the case when the base is the flat torus R2/2Z2$\mathbb {R}^2 / 2 \mathbb {Z}^2$ and the standard Gaussian measure
Emanuel Milman
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Macroscopic Market Making Games
Mathematical Finance, Volume 36, Issue 2, Page 352-373, April 2026.ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
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Order Routing and Market Quality: Who Benefits From Internalization?
Mathematical Finance, Volume 36, Issue 2, Page 397-421, April 2026.ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
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