Results 91 to 100 of about 5,443 (259)
Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging [PDF]
ESAIM: Proceedings and Surveys, 2014 Summary: In the recent literature, martingale inequalities have been emphasized to be induced by pathwise inequalities independently of any reference probability measure on the paths space. This feature is closely related to the problem of robust hedging in financial mathematics, which was originally addressed in some specific cases by means of the ...
openaire +2 more sources
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
Equilibrium Reward for Liquidity Providers in Automated Market Makers
Mathematical Finance, EarlyView.ABSTRACT We find the equilibrium contract that an automated market maker (AMM) offers to their strategic liquidity providers (LPs) in order to maximize the order flow that gets processed by the venue. Our model is formulated as a leader–follower stochastic game, where the venue is the leader and a representative LP is the follower.
Alif Aqsha +2 more
wiley +1 more source
Lifting theorems for some clases of two parameter martingales [PDF]
, 1998 By means of nonstandard analysis we establish some lifting theorerms for two parameter stochastic processes, for two parameter martingales and for weak, strong and i-martingales.
Muñoz de Özak, Myriam
core
Rosenthal's inequality for point process martingales
, 1999 Moment inequalities for point process martingales are considered. Our main result is a point process analogue of Rosenthal's inequality for discrete-time martingales.
Wood, Andrew T.A.
core +1 more source
Random Carbon Tax Policy and Investment Into Emission Abatement Technologies
Mathematical Finance, EarlyView.ABSTRACT We analyze the problem of a profit‐maximizing electricity producer, subject to carbon taxes, who decides on investments into CO2$\rm CO_2$ abatement technologies. We assume that the carbon tax policy is random and that the investment in the abatement technology is divisible, irreversible, and subject to transaction costs.
Katia Colaneri +2 more
wiley +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
, 2022 Στην παρούσα πτυχιακή εργασία έγινε µία έρευνα σχετικά µε τα Martingales και τις εφαρμογές τους. Αρχικά, κάναμε µια επισκόπηση σε χρήσιµες έννοιες από την θεωρία Μέτρου και την θεωρία Πιθανοτήτων όπως, η σ-άλγεβρα, ο χώρος πιθανότητας και η δεσµευµένη ...
Αδάμ, Χαρίκλεια
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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
Convergence of Riesz space martingales
, 2006 We prove a martingale convergence for sub and super martingales on Riesz spaces. As a consequence we can form Krickeberg and Riesz like decompositions. The minimality of the Krickeberg decomposition yields a natural ordered lattice structure on the space
Labuschagne, Coenraad C.A. +2 more
core +1 more source