Results 81 to 90 of about 1,759 (215)

Asymptotics of Time‐Varying Processes in Continuous‐Time Using Locally Stationary Approximations

Journal of Time Series Analysis, EarlyView.
ABSTRACT We introduce a general theory on stationary approximations for locally stationary continuous‐time processes. Based on the stationary approximation, we use θ$$ \theta $$‐weak dependence to establish laws of large numbers and central limit type results under different observation schemes.
Robert Stelzer, Bennet Ströh
wiley   +1 more source

Exponential Bounds for the Density of the Law of the Solution of an SDE with Locally Lipschitz Coefficients

Mathematics
Under the uniform Hörmander hypothesis, we study the smoothness and exponential bounds of the density of the law of the solution of a stochastic differential equation (SDE) with locally Lipschitz drift that satisfies a monotonicity condition.
Cristina Anton
doaj   +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

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

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

A Lipschitz condition along a transversal foliation implies local uniqueness for ODEs

Electronic Journal of Qualitative Theory of Differential Equations, 2018
We prove the following result: if a continuous vector field $F$ is Lipschitz when restricted to the hypersurfaces determined by a suitable foliation and a transversal condition is satisfied at the initial condition, then $F$ determines a locally unique ...
José Ángel Cid, F. Adrián Tojo
doaj   +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

Superposition operator problems of Hölder-Lipschitz spaces

Demonstratio Mathematica
Let ff be a function defined on the real line, and Tf{T}_{f} be the corresponding superposition operator which maps hh to Tf(h){T}_{f}\left(h), i.e., Tf(h)=f∘h{T}_{f}\left(h)=f\circ h. In this article, the sufficient and necessary conditions such that Tf{
Niu Yeli, Wang Heping
doaj   +1 more source

On Inverse and Implicit Function Theorem for Sobolev Mappings

Axioms
We extend Clarke’s local inversion theorem for Sobolev mappings. We use this result to find a general implicit function theorem for continuous locally Lipschitz mapping in the first variable and satisfying just a topological condition in the second ...
Mihai Cristea
doaj   +1 more source