Lipschitz continuity of the Wasserstein projections in the convex order on the line [PDF]
, 2023 Benjamin Jourdain +2 more
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A continuous extension that preserves concavity, monotonicity and Lipschitz continuity [PDF]
, 2003 The following is proven here: let W : X × C −→ R ,w hereX is convex, be a continuous and bounded function such that for each y ∈ C, the function W (·,y ): X −→ R is concave (resp. strongly concave; resp. Lipschitzian with constant M; resp. monotone; resp.
openaire +2 more sources
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
First Order Methods beyond Convexity and Lipschitz Gradient Continuity\n with Applications to Quadratic Inverse Problems [PDF]
, 2017 Jérôme Bolte +3 more
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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
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
LIPSCHITZ CONTINUITY OF AN APPROXIMATE SOLUTION MAPPING TO EQUILIBRIUM PROBLEMS [PDF]
, 2012 X. B. Li, S. J. Li, C. R. Chen
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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
wiley +1 more source
Hölder and Lipschitz continuity of the solutions to parabolic equations of the non-divergence type [PDF]
, 2016 Seiichiro Kusuoka
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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