Results 111 to 120 of about 496,079 (237)
On constraint qualifications with generalized convexity and optimality conditions [PDF]
This paper deals with a multiobjective programming problem involving both equality constraints in infinite dimensional spaces. It is shown that some constraint qualifications together with a condition of interior points are sufficient conditions for the ...
Do Van Luu, Manh-Hung Nguyen
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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 +3 more
wiley +1 more source
LIPSCHITZ REGULARITY FOR ORTHOTROPIC FUNCTIONALS WITH NONSTANDARD GROWTH CONDITIONS
, 2020 International audienceWe consider a model convex functional with orthotropic structure and super-quadratic nonstan-dard growth conditions. We prove that bounded local minimizers are locally Lipschitz, with no restrictions on the ratio between the highest
Bousquet, Pierre, Brasco, Lorenzo
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Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Global flows for stochastic differential equations without global Lipschitz conditions
, 2007 We consider stochastic differential equations driven by Wiener processes. The vector fields are supposed to satisfy only local Lipschitz conditions. The Lipschitz constants of the drift vector field, valid on balls of radius R, are supposed to grow not ...
Fang, Shizan +2 more
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Existence for Nonautonomous Fractional Integrodifferential Equations with Nonlocal Conditions
Abstract and Applied Analysis, 2013 We study the existence of mild solution of a class of nonlinear nonautonomous fractional integrodifferential equations with nonlocal conditions in a separable Banach space .
Fang Li
doaj +1 more source
Never, Ever Getting Started: On Prospect Theory Without Commitment
Mathematical Finance, EarlyView.ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley +1 more source
Electronic Journal of Differential Equations, 2014 In this article, we study a periodic second-order differential inclusions with locally Lipschitz potentials. By means of the least action principle and the minimax principle of nonsmooth type, we prove the existence of two nontrivial periodic ...
Lizhen Chen, Qinghua Zhang, Gang Li
doaj
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
wiley +1 more source
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 +2 more
wiley +1 more source