Results 141 to 150 of about 417,873 (284)

Stochastic Weakly Convex Optimization Beyond Lipschitz Continuity

This paper considers stochastic weakly convex optimization without the standard Lipschitz continuity assumption. Based on new adaptive regularization (stepsize) strategies, we show that a wide class of stochastic algorithms, including the stochastic ...
Gao, Wenzhi, Deng, Qi
core  

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

Approximation properties by Schurer type q-Kantorovich–Stancu shifted knots operators

Journal of Inequalities and Applications
We design the Schurer type Kantorovich–Stancu operators by using shifted knots in the quantum calculus. We obtain the convergence and other related approximation properties of these operators.
Abdullah Alotaibi
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

Letter Written by Mr. Lipschitz to the Bryant College Service Club Dated January 5, 1943 [PDF]

, 1943
[Transcription begins] Jan. 5, 1943 To whom it may concern— Thank you very much for your thoughtful gesture to my son. His new address is: Candidate N. Lipschitz Company 7 2nd S. T. R. Fort Benning, Ga. Yours Truly, Mr.
Lipschitz, Mr.
core  

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

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

Representation of Forward Performance Criteria with Random Endowment via FBSDE and Its Application to Forward Optimized Certainty Equivalent

Mathematical Finance, EarlyView.
ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou   +2 more
wiley   +1 more source

Drift‐Diffusion Models with Schottky Contacts at Metal–Semiconductor Interfaces

Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.
ABSTRACT The paper deals with a drift‐diffusion model for semiconductor devices with Schottky contacts at all metal–semiconductor interfaces. The presented analytical investigations permit Boltzmann as well as Fermi–Dirac statistics for the charge‐carrier densities.
Annegret Glitzky, Matthias Liero
wiley   +1 more source

Some Fundamental Aspects about Lipschitz Continuity of Neural Networks [PDF]

Lipschitz continuity is a crucial functional property of any predictive model, that naturally governs its robustness, generalisation, as well as adversarial vulnerability.
Khromov, Grigory, Singh, Sidak Pal
core   +1 more source