Results 111 to 120 of about 3,785 (249)

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, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

Locally Lipschitz continuous integrated semigroups [PDF]

Studia Mathematica, 2005
\textit{H. Kellerman} and \textit{M. Hieber} [J. Funct. Anal. 84, No. 1, 160--180 (1989; Zbl 0689.47014)] proved that every locally Lipschitz continuous once integrated semigroup is always exponentially Lipschitz continuous. In this paper, the author gives an example of a generator of locally Lipschitz continuous twice integrated semigroup which does ...
openaire   +1 more source

Amenability, locally finite spaces, and bi-lipschitz embeddings

, 2013
We define the isoperimetric constant for any locally finite metric space and we study the property of having isoperimetric constant equal to zero. This property, called Small Neighborhood property, clearly extends amenability to any locally finite space.
Capraro, Valerio
core   +1 more source

Nonsmooth trust region algorithms for locally Lipschitz functions on Riemannian manifolds [PDF]

, 2021
This paper presents a Riemannian trust region algorithm for unconstrained optimization problems with locally Lipschitz objective functions defined on complete Riemannian manifolds. To this end we define a function $\Phi :TM\rightarrow \mathbb {R}$ on the
Grohs, P., Hosseini, S.
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

Essentially Smooth Lipschitz Functions

, 1997
In this paper we address some of the most fundamental questions regarding the differentiability structure of locally Lipschitz functions defined on separable Banach spaces. For example, we examine the relationship between integrability,D-representability,
Moors, Warren B., Borwein, Jonathan M.
core   +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

Infinitely many solutions for an anisotropic differential inclusion on unbounded domains

Electronic Journal of Qualitative Theory of Differential Equations
The problem deals with the anisotropic $p(x)$-Laplacian operator where $p_i$ are Lipschitz continuous functions $2\leq p_i(x)
Giovany Figueiredo, Abdolrahman Razani
doaj   +1 more source

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