Results 71 to 80 of about 7,361 (242)
Convergence of Riesz space martingales [PDF]
, 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
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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
Martingales on manifolds and geometric Ito calculus [PDF]
This work studies properties of stochastic processes taking values in a differential manifold M with a linear connection Γ, or in a Riemannian manifold with a metric connection.
Darling, R. W. R.
core
Continuous exponential martingales and BMO
, 1994 In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful properties of continuous exponential martingales that play an essential role in various questions concerning the absolute ...
Kazamaki, Norihiko
core +1 more source
Thermodynamic bounds and symmetries in first-passage problems of fluctuating currents
New Journal of PhysicsWe develop a method for deriving thermodynamic bounds for first-passage problems of currents with two boundaries in Markov chains. Using this method, we derive a thermodynamic bound on the rate of dissipation in terms of the splitting probability and the
Adarsh Raghu, Izaak Neri
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
Characterization Theorems for Generalized Functionals of Discrete-Time Normal Martingale
Journal of Function Spaces, 2015 We aim at characterizing generalized functionals of discrete-time normal martingales. Let M=(Mn)n∈N be a discrete-time normal martingale that has the chaotic representation property.
Caishi Wang, Jinshu Chen
doaj +1 more source
Martingales, the efficient market hypothesis, and spurious stylized facts [PDF]
The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent Hs=1/2, when the increments are ...
Gunaratne, Gemunu h. +2 more
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Integral representation of quantum martingales
, 2005 A stochastic integral representation in terms of generalized integral kernel operator is proved for a wide class of quantum martingales which includes regular martingales and the martingales determined by the second quantization of integral operators ...
Sinha, Kalyan B., Ji, Un Cig
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Modern Stochastics: Theory and Applications, 2014 In the paper we establish strong uniqueness of solution of a system of stochastic differential equations with random non-Lipschitz coefficients that involve both the square integrable continuous vector martingales and centered and non-centered Poisson ...
G. Kulinich, S. Kushnirenko
doaj +1 more source