Results 21 to 30 of about 200 (110)
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
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
Mathematical Finance, EarlyView.ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley +1 more source
On the Exact Limiting Distribution of a Volatility Target Index
Mathematical Finance, EarlyView.ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
wiley +1 more source
Market Making With Fads, Informed, and Uninformed Traders
Mathematical Finance, EarlyView.ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci +2 more
wiley +1 more source
Dam Management in the Era of Climate Change
Mathematical Finance, EarlyView.ABSTRACT Climate change has a dramatic impact, particularly by concentrating rainfall into a few short periods, interspersed with long dry spells. In this context, the role of dams is crucial. We consider the optimal control of a dam, where the water level must neither exceed a designated safety threshold nor fall below a minimum level to ensure ...
Cristina Di Girolami +3 more
wiley +1 more source
Frequency‐dependent contraction rates for the Bayesian method to the inverse source problem
Transactions of the London Mathematical Society, Volume 13, Issue 1, December 2026.Abstract This paper addresses an inverse source problem for acoustic waves in a range of frequencies. Our study has two main goals. First, although the problem is severely ill‐posed with a logarithmic stability estimate, we demonstrate, through careful analysis of the forward map's singular values, that increasing the frequency range enhances stability,
Pu‐Zhao Kow, Jenn‐Nan Wang
wiley +1 more source
Stochastic Gradient Descent in High Dimensions for Multi‐Spiked Tensor PCA
Communications on Pure and Applied Mathematics, Volume 79, Issue 10, Page 2291-2369, October 2026.ABSTRACT We study the high‐dimensional dynamics of online stochastic gradient descent (SGD) for the multi‐spiked tensor model. This multi‐index model arises from the tensor principal component analysis (PCA) problem with multiple spikes, where the goal is to estimate the unknown signal vectors within the N$N$‐dimensional unit sphere through maximum ...
Gérard Ben Arous +2 more
wiley +1 more source
Survival Analysis of Fatigue Lifetime in Aged Elastomers Using Weibull and Cox Regression Models
Fatigue &Fracture of Engineering Materials &Structures, Volume 49, Issue 9, Page 3854-3873, September 2026.ABSTRACT Fatigue tests conducted on elastomers inherently exhibit significant variability. Aging may induce stiffening and embrittlement, leading to premature failures outside the specimen gauge length and resulting in right‐censored data. Combined with the limited number of specimens, this leads to large uncertainties in fatigue lifetime estimation ...
M. Caillat +4 more
wiley +1 more source
Invariant Measure and Universality of the 2D Yang–Mills Langevin Dynamic
Communications on Pure and Applied Mathematics, Volume 79, Issue 8, Page 1973-2102, August 2026.ABSTRACT We prove that the Yang–Mills (YM) measure for the trivial principal bundle over the two‐dimensional torus, with any connected, compact structure group, is invariant for the associated renormalised Langevin dynamic. Our argument relies on a combination of regularity structures, lattice gauge‐fixing and Bourgain's method for invariant measures ...
Ilya Chevyrev, Hao Shen
wiley +1 more source