Results 81 to 90 of about 10,720,791 (210)

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

Representation of Forward Performance Criteria with Random Endowment via FBSDE and Its Application to Forward Optimized Certainty Equivalent

Mathematical Finance, EarlyView.
ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou   +2 more
wiley   +1 more source

Computational and Numerical Investigation of the Batch Markovian Arrival Process Subject to Renewal Generated Geometric Catastrophes. [PDF]

Int J Appl Comput Math, 2021
Kumar N, Gupta UC, Singh G.
europepmc   +1 more source

On Short‐Term Behavior of Implied Volatility for Index Options

Mathematical Finance, EarlyView.
ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley   +1 more source

Analysis of a Queueing Model with Batch Markovian Arrival Process and General Distribution for Group Clearance. [PDF]

Methodol Comput Appl Probab, 2021
Chakravarthy SR, Shruti, Rumyantsev A.
europepmc   +1 more source

Preference‐Based Representations for Collective Agency

Topics in Cognitive Science, EarlyView.
Abstract Computational accounts of learning and decision‐making in cognitive systems, and models thereof, such as reinforcement learning, typically assume that the behavior of individual agents is determined by an externally designated reward signal such that the agent's goal is the maximization of its expected accumulated reward under the state ...
Nadav Amir, Marieke van Vugt, Maia Fraser   +2 more
wiley   +1 more source

Multi-server queueing system with reserve servers

Журнал Белорусского государственного университета: Математика, информатика, 2019
In this paper, we investigate a multi-server queueing system with an unlimited buffer, which can be used in the design of energy consumption schemes and as a mathematical model of unreliable real stochastic systems.
Valentina I. Klimenok
doaj   +1 more source

UniNS: A Neuro‐Symbolic Framework for Structure‐Regularized Causal Modeling of Catalytic Nanorobot Swarms in Confined Tumor Microenvironments

Applied Research, Volume 5, Issue 5, October 2026.
UniNS is a hybrid neuro‐symbolic framework that simulates nanoscale swarms in tumor microenvironments by coupling mesoscopic hydrodynamics with structure‐regularized causal discovery. It reduces biochemical prediction errors by 27.3% and dynamically prevents spurious correlations, offering a scalable, thermodynamically consistent testbed for precision ...
Xinyuan Chen, Nurdatillah Hasim, Norliana Muslim, Mohd Nizam Husen   +3 more
wiley   +1 more source

Efficient Implementations of the EM-Algorithm for Transient Markovian Arrival Processes [PDF]

, 2016
There are real life applications (e.g., requests of http sessions in web browsing) with a finite number of events and correlated inter-arrival times. Terminating point processes can be used to model such behavior. Transient Markov arrival processes (TMAPs) are computationally appealing terminating point processes which are terminating versions of ...
Mindaugas Brazenas, Gábor Horváth 0002, Miklós Telek   +2 more
openaire   +1 more source

Analytical Framework for System‐Level Fragility Surfaces of Reinforced Concrete Bridges Under Mainshock‐Aftershock Sequences

Earthquake Engineering &Structural Dynamics, Volume 55, Issue 13, Page 3264-3284, 25 October 2026.
ABSTRACT Conventional single intensity measure (IM) fragility approaches with simplified component dependency assumptions overlook the progressive damage accumulation and evolving inter‐component correlations that govern system behavior under mainshock‐aftershock (MSAS) loading.
Muhammad Rashid, Mayuko Nishio
wiley   +1 more source