Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
Discontinuity Characterization and Low-Complexity Smoothing in RF-PA Polynomial Piecewise Modeling. [PDF]
Sensors (Basel)Pedrosa C +5 more
europepmc +1 more source
Mathematical Finance, EarlyView.ABSTRACT We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark‐to‐market valuation adjustment for interbank claims, leading to a forward‐backward approach to the equilibrium dynamics whereby future default ...
Zachary Feinstein, Andreas Søjmark
wiley +1 more source
Numerical simulation of a nonlinear hepatitis B virus mathematical model using the Dickson collocation technique. [PDF]
Sci RepEl-Shenawy A, El-Gamel M, Abouelsaid M.
europepmc +1 more source
Can species adapt to drought using multiple strategies? Lessons from the California poppy
New Phytologist, EarlyView.Summary Plants can escape drought by completing life cycles early, tolerate drought by increasing physiological limits, or avoid drought stress by obtaining or using water more efficiently. It remains unclear whether strategies vary within species across their distributional ranges due to trade‐offs, and whether species can exhibit plasticity in ...
Stuart T. Schwab +7 more
wiley +1 more source
Patterning Fidelity Enhancement and Aberration Mitigation in EUV Lithography Through Source-Mask Optimization. [PDF]
Micromachines (Basel)Wang Q, Wu Q, Li Y, Liu X, Li Y.
europepmc +1 more source
The Natural Components of a Regular Linear System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT The analysis of a finite‐dimensional regular linear system may be simplified by separating the system into its natural components. The natural components are smaller linear systems on separate subspaces whose dimensions sum to the dimension of the original linear system.
Brendan K. Beare, Phil Howlett
wiley +1 more source
Regularization of electromagnetic scattering problems via the Abel integral transform. [PDF]
Philos Trans A Math Phys Eng SciVinogradova E, Smith P.
europepmc +1 more source
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Reconstruction of Misalignment Aberrations for Cylindrical Surfaces with Complex Parameters in Pseudo Lateral Shearing Interferometry. [PDF]
Sensors (Basel)Ren Y +8 more
europepmc +1 more source