Results 71 to 80 of about 1,143,398 (157)
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending
Mathematical Finance, EarlyView.ABSTRACT Contrasting sharply with traditional money, bond, and bond futures markets, where interest rates emerge organically from participant interactions, DeFi lending platforms employ rule‐based interest rates that are algorithmically set. Thus, the selection of an effective interest rate model (IRM) is paramount for the success of a lending protocol.
Charles Bertucci +4 more
wiley +1 more source
Efficiency in Pure‐Exchange Economies With Risk‐Averse Monetary Utilities
Mathematical Finance, EarlyView.ABSTRACT We study Pareto efficiency in a pure‐exchange economy where agents' preferences are represented by risk‐averse monetary utilities. These coincide with law‐invariant monetary utilities, and they can be shown to correspond to the class of monotone, (quasi‐)concave, Schur concave, and translation‐invariant utility functionals. This covers a large
Mario Ghossoub, Michael B. Zhu
wiley +1 more source
A Cross‐Border Market Model with Limited Transmission Capacities
Mathematical Finance, EarlyView.ABSTRACT We develop a cross‐border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market participants from different countries are limited. Our market model can be described by a regime‐switching process alternating between active and inactive regimes, in ...
Dörte Kreher, Cassandra Milbradt
wiley +1 more source
Macroscopic Market Making Games
Mathematical Finance, EarlyView.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
wiley +1 more source
On goodness‐of‐fit testing for self‐exciting point processes
Scandinavian Journal of Statistics, EarlyView.Abstract Despite the wide usage of parametric point processes in theory and applications, a sound goodness‐of‐fit procedure to test whether a given parametric model is appropriate for data coming from a self‐exciting point process has been missing in the literature.
José Carlos Fontanesi Kling +1 more
wiley +1 more source
On the analyticity of the semigroup generated by the Stokes operator with Neumann-type boundary conditions on Lipschitz subdomains of Riemannian manifolds [PDF]
, 2008 Marius Mitrea, Sylvie Monniaux
openalex +1 more source
Variable selection via thresholding
Scandinavian Journal of Statistics, EarlyView.Abstract Variable selection comprises an important step in many modern statistical inference procedures. In the regression setting, when estimators cannot shrink irrelevant signals to zero, covariates without relationships to the response often manifest small but nonzero regression coefficients.
Ka Long Keith Ho, Hien Duy Nguyen
wiley +1 more source
On the Fourier transform of measures in Besov spaces
Bulletin of the London Mathematical Society, EarlyView.Abstract We prove quantitative estimates for the decay of the Fourier transform of the Riesz potential of measures that are in homogeneous Besov spaces of the negative exponent: ∥Iαμ̂∥Lp,∞⩽C∥μ∥Mb12supt>0td−β2∥pt*μ∥∞12,$$\begin{align*} \Vert \widehat{I_{\alpha }\mu }\Vert _{L^{p, \infty }} \leqslant C \Vert \mu \Vert _{M_b}^{\frac{1}{2}}{\left(\sup _{t ...
Riju Basak +2 more
wiley +1 more source
Multiplicity results for logarithmic double phase problems via Morse theory
Bulletin of the London Mathematical Society, EarlyView.Abstract In this paper, we study elliptic equations of the form −divL(u)=f(x,u)inΩ,u=0on∂Ω,$$\begin{align*} -\operatorname{div}\mathcal {L}(u)=f(x,u)\quad \text{in }\Omega, \quad u=0 \quad \text{on } \partial \Omega, \end{align*}$$where divL$\operatorname{div}\mathcal {L}$ is the logarithmic double phase operator given by div|∇u|p−2∇u+μ(x)|∇u|q(e+|∇u ...
Vicenţiu D. Rădulescu +2 more
wiley +1 more source
A note on the quasi‐local algebra of expander graphs
Bulletin of the London Mathematical Society, EarlyView.Abstract We show that the quasi‐local algebra of a coarse disjoint union of expander graphs does not contain a Cartan subalgebra isomorphic to ℓ∞$\ell _\infty$. Ozawa has recently shown that these algebras are distinct from the uniform Roe algebras of expander graphs, and our result describes a further difference.
Bruno M. Braga +2 more
wiley +1 more source