Results 151 to 160 of about 10,513 (300)

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, Rüdiger Frey, Verena Köck   +2 more
wiley   +1 more source

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

A Model of Strategic Sustainable Investment

Mathematical Finance, EarlyView.
ABSTRACT We study a problem of optimal irreversible investment and emission reduction formulated as a nonzero‐sum dynamic game between an investor with environmental preferences and a firm. The game is set in continuous‐time on an infinite‐time horizon.
Tiziano De Angelis, Caio César Graciani Rodrigues, Peter Tankov   +2 more
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

On a global implicit function theorem for locally Lipschitz maps via non-smooth critical point theory

, 2018
We prove a non-smooth generalization of the global implicit function theorem. More precisely we use the non-smooth local implicit function theorem and the non-smooth critical point theory in order to prove a non-smooth global implicit function theorem ...
Rădulescu, Marius, Galewski, Marek
core  

Inference on Common Trends in a Cointegrated Nonlinear SVAR

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
wiley   +1 more source

Repelled Point Processes With Application to Numerical Integration

Scandinavian Journal of Statistics, EarlyView.
ABSTRACT We look at Monte Carlo numerical integration from a stochastic geometry point of view. While crude Monte Carlo estimators relate to linear statistics of a homogeneous Poisson point process (PPP), linear statistics of more regularly spread point processes can yield unbiased estimators with faster‐decaying variance, and thus lower integration ...
Diala Hawat, Gabriel Mastrilli, Rémi Bardenet, Raphaël Lachièze‐Rey   +3 more
wiley   +1 more source

Lipschitz maps with prescribed local Lipschitz constants

Let $\Gamma$ be a closed subset of a complete Riemannian manifold $M$ of dimension $\geq 2$, let $f: M \to N$ be a Lipschitz map to a complete Riemannian manifold $N$, and let $\psi$ be a continuous function which dominates the local Lipschitz constant ...
Ze-An, Ng, Backus, Aidan
core  

Lifts of continuous and Hölder alpha curves in the configuration space MN/SN$M^N/S_N$

Transactions of the London Mathematical Society, Volume 13, Issue 1, December 2026.
Abstract In this paper, we study the quotient space X=MN/SN$X = M^N / S_N$ of equivalence classes of N$N$‐tuples in a metric space (M,dM)$(M, d_M)$, equipped with the metric induced by the minimal total pairing distance. Given a continuous path F:(0,1)→X$F: (0,1) \rightarrow X$, we prove that there exist continuous functions f1,⋯,fN:(0,1)→M$f_1, \dots,
Charles L. Fefferman, Achilleas Vasileios Koukas, Jiayu (Jerry) Liu, Tadael Hailemelekot Mequanent   +3 more
wiley   +1 more source

Superharmonic functions on Lipschitz domain [PDF]

Studia Mathematica, 1971
Silverstein, M. L., Wheeden, R. L.
openaire   +2 more sources