Results 31 to 40 of about 277 (105)
Order Routing and Market Quality: Who Benefits From Internalization?
Mathematical Finance, Volume 36, Issue 2, Page 397-421, April 2026.ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
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On the Mean‐Field Limit of Consensus‐Based Methods
Mathematical Methods in the Applied Sciences, Volume 49, Issue 5, Page 4214-4240, 30 March 2026.ABSTRACT Consensus‐based optimization (CBO) employs a swarm of particles evolving as a system of stochastic differential equations (SDEs). Recently, it has been adapted to yield a derivative free sampling method referred to as consensus‐based sampling (CBS). In this paper, we investigate the “mean‐field limit” of a class of consensus methods, including
Marvin Koß, Simon Weissmann, Jakob Zech
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Cointegrating Polynomial Regressions With Power Law Trends
Journal of Time Series Analysis, Volume 47, Issue 2, Page 331-344, March 2026.ABSTRACT The common practice in cointegrating polynomial regressions (CPRs) often confines nonlinearities in the variable of interest to stochastic trends, thereby overlooking the possibility that they may be caused by deterministic components. As an extension, we propose univariate and multivariate CPRs that incorporate power law deterministic trends.
Yicong Lin, Hanno Reuvers
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On goodness‐of‐fit testing for self‐exciting point processes
Scandinavian Journal of Statistics, Volume 53, Issue 1, Page 102-139, March 2026.Abstract Despite the wide usage of parametric point processes in theory and applications, a sound goodness‐of‐fit procedure to test whether a given parametric model is appropriate for data coming from a self‐exciting point process has been missing in the literature.
José Carlos Fontanesi Kling +1 more
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Brownian Motion With Partial Resetting Conditioned to Stay Positive
Bulletin of the London Mathematical Society, Volume 58, Issue 3, March 2026.Abstract We consider Brownian motion with partial resetting, which has recently attracted a lot of attention in physics as well as the mathematics literature. We analyze the speed of convergence of this process towards stationarity as well as its quasistationary behavior.
Martin Kolb, Achim Wübker
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Discrete analogues of second‐order Riesz transforms
Journal of the London Mathematical Society, Volume 113, Issue 3, March 2026.Abstract Discrete analogues of classical operators in harmonic analysis have been widely studied, revealing deep connections with areas such as ergodic theory and analytic number theory. This line of research is commonly known as Discrete Analogues in Harmonic Analysis (DAHA).
Rodrigo Bañuelos, Daesung Kim
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Nonparametric estimation of marked survival data in the presence of dependent censoring. [PDF]
Stat Med, 2023 Sanusi B, Cai J, Hudgens MG.
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The partly parametric and partly nonparametric additive risk model. [PDF]
Lifetime Data Anal, 2023 Hjort NL, Stoltenberg EA.
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Wild bootstrap for counting process-based statistics: a martingale theory-based approach. [PDF]
Lifetime Data AnalDietrich MT, Dobler D, de Gunst MCM.
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Epidemiological model calibration via graybox Bayesian optimization. [PDF]
Infect Dis ModelNiu P, Yoon BJ, Qian X.
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