Results 71 to 80 of about 1,369 (204)
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
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
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
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Convergence Conditions for the Secant Method
Cubo, 2010 We provide new sufficient convergence conditions for the convergence of the Secant method to a locally unique solution of a nonlinear equation in a Banach space.
Ioannis K Argyros +1 more
doaj
A version of Zhong's coercivity result for a general class of nonsmooth functionals
Abstract and Applied Analysis, 2002 A version of Zhong's coercivity result (1997) is established for nonsmooth functionals expressed as a sum Φ+Ψ, where Φ is locally Lipschitz and Ψ is convex, lower semicontinuous, and proper.
D. Motreanu, V. V. Motreanu, D. Paşca
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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
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An existence result for hemivariational inequalities
Electronic Journal of Differential Equations, 2004 We present a general method for obtaining solutions for an abstract class of hemivariational inequalities. This result extends many results to the nonsmooth case. Our proof is based on a nonsmooth version of the Mountain Pass Theorem with Palais-Smale or
Zsuzsanna Dalyay, Csaba Varga
doaj
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 +2 more
wiley +1 more source
Boundary Value ProblemsIn this paper, we consider a mathematical programming problem with equilibrium constraints (MPEC), where its functions are not necessarily smooth, continuous, or locally Lipschitz.
Prachi Sachan +2 more
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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 +3 more
wiley +1 more source