Results 51 to 60 of about 2,868 (137)
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
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
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
On the solution stability of parabolic optimal control problems. [PDF]
Comput Optim Appl, 2023 Corella AD, Jork N, Veliov VM.
europepmc +1 more source
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
Exception Sets of Intrinsic and Piecewise Lipschitz Functions. [PDF]
J Geom Anal, 2022 Leobacher G, Steinicke A.
europepmc +1 more source
S2‐PepAnalyst: A Web Tool for Predicting Plant Small Signalling Peptides
Plant Biotechnology Journal, EarlyView.ABSTRACT Small signalling peptides (SSPs) serve as crucial mediators of cell‐to‐cell communication in plants, orchestrating diverse physiological processes from development to stress responses. While recent advances in sequencing technologies have improved genome annotation, the identification of novel SSPs remains challenging due to their small size ...
Kelly L. Vomo‐Donfack +5 more
wiley +1 more source
Sensitivity analysis for generalized estimating equation with non‐ignorable missing data
Scandinavian Journal of Statistics, EarlyView.Abstract Many incomplete‐data statistical inference procedures are developed under the missing at random (MAR) assumption. However, the MAR assumption has been criticized as being overly strong for real‐data problems, and is unverifiable by using observed data. To handle data that are missing not at random (MNAR), sensitivity analysis has been proposed
Hui Gong, Kin Wai Chan
wiley +1 more source
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 +3 more
wiley +1 more source