Results 61 to 70 of about 7,361 (242)

The fundamental theorem of asset pricing with and without transaction costs

Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

Recurrence of the plane Elephant random walk

Comptes Rendus. Mathématique
We give a short proof of the recurrence of the two-dimensional elephant random walk in the diffusive regime. This was recently established by Qin (2023), but our proof mainly uses very rough comparison with the standard plane random walk.
Curien, Nicolas, Laulin, Lucile
doaj   +1 more source

Lineability within Peano Curves, Martingales, and Integral Theory

Journal of Function Spaces, 2018
This paper is devoted to give several improvements of some known facts in lineability approach. In particular, we prove that (i) the set of continuous mappings from the unit interval onto the unit square contains a closed, c-semigroupable convex subset, (
Artur Bartoszewicz, Marek Bienias, Szymon Głąb   +2 more
doaj   +1 more source

Optimal Portfolio Choice With Cross‐Impact Propagators

Mathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Asymptotic estimation for statistical models of continuous-time discrete martingales

Lietuvos Matematikos Rinkinys
The paper deals with statistical experiments of the continuous-time discrete local martingales, including models of all types of point processes. The process of local density of the discrete local martingales is expressed by a stochastic exponent of the
Vaidotas Kanišauskas, Karolina Kanišauskienė   +1 more
doaj   +3 more sources

ASYMPTOTIC PROPERTIES OF SELF-SIMILAR TRAFFIC MODELS BASED ON DISCRETE-TIME AND CONTINUOUS-TIME MARTINGALES

Information and Telecommunication Sciences, 2013
Asymptotic properties of self-similar traffic models based on discrete-time and continuous-time martingales are considered. We discovered that their performance indicators are asymptotically equal at to indicators for model based on Brownian motion.
Andriy Pilipenko, Leonid Uryvskyi, Bogdan Trach   +2 more
doaj   +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

Concepts of Statistical Causality and Strong and Weak Properties of Predictable Representation

Mathematics
The paper considers the statistical concept of causality in continuous time, which is based on Granger’s definition of causality. We give necessary and sufficient conditions, in terms of statistical causality, for the preservation of the strong property ...
Dragana Valjarević
doaj   +1 more source

Interpolation of Martingales

The Annals of Probability, 1977
We show that every discrete-time martingale can be interpolated to give a continuous, continuous-time martingale, and provide a necessary and sufficient condition for the existence of an interpolated martingale with no flat spots.
openaire   +3 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