Results 71 to 80 of about 1,619 (228)
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
On the Queue Length Distribution in BMAP Systems
Journal of Communications Software and Systems, 2006 Batch Markovian Arrival Process – BMAP – is a teletraffic model which combines high ability to imitate complexstatistical behaviour of network traces with relative simplicity in analysis and simulation.
Andrzej Chydzinski
doaj
Performance approximations of Markov Modulated Poisson Process arrival queue with Markovian Service using matrix geometric approach [PDF]
Yugoslav Journal of Operations ResearchQueue analysis of correlated work of the arrival and the service process are not available much in literature. This research paper applies matrix geometric approach to study the MMPP/MSP/1 queuing model under the quasi-birth death(QBD) process. Customers
Ramanathan Raghavendran +1 more
doaj +1 more source
Never, Ever Getting Started: On Prospect Theory Without Commitment
Mathematical Finance, EarlyView.ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley +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
Analysis of single server repairable queueing system with many kinds of service, single working vacation and standby server [PDF]
Yugoslav Journal of Operations ResearchWe consider a single server queueing model in which the customers arrive according to a Markovian Arrival Process (MAP). We modeled this queueing system with many kinds of service where the customers can choose any kind from the server.
Baby Saroja K., Suvitha V.
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
Non-identifiability of the two state Markovian Arrival process [PDF]
In this paper we consider the problem of identifiability of the two-state Markovian Arrival process (MAP2). In particular, we show that the MAP2 is not identifiable and conditions are given under which two different sets of parameters, induce identical ...
Michael P. Wiper +2 more
core
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
On identifiability of MAP processes [PDF]
Two types of transitions can be found in the Markovian Arrival process or MAP: with and without arrivals. In transient transitions the chain jumps from one state to another with no arrival; in effective transitions, a single arrival occurs.
Michael P. Wiper +2 more
core