Results 71 to 80 of about 26,127 (206)
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
Occasionally Observed Piecewise-Deterministic Markov Processes
Communications on Applied Mathematics and Computation37 pages, 11 figures, submitted to Communications on Applied Mathematics and ...
Marissa Gee, Alexander Vladimirsky
openaire +2 more sources
In silico modelling of CD8 T cell immune response links genetic regulation to population dynamics
ImmunoInformaticsThe CD8 T cell immune response operates at multiple temporal and spatial scales, including all the early complex biochemical and biomechanical processes, up to long term cell population behavior.In order to model this response, we devised a multiscale ...
Thi Nhu Thao Nguyen +5 more
doaj +1 more source
, 2010 We aim at characterizing viability, invariance and some reachability properties of controlled piecewise deterministic Markov processes (PDMPs). Using analytical methods from the theory of viscosity solutions, we establish criteria for viability and ...
Goreac, D.
core +4 more sources
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
, 2015 We aim at characterizing the asymptotic behavior of value functions in the control of piece-wise deterministic Markov processes (PDMP) of switch type under nonexpansive assumptions.
Goreac, Dan
core +4 more sources
Mathematical Finance, EarlyView.ABSTRACT This study develops a novel multivariate stochastic framework for assessing systemic risks, such as climate and nature‐related shocks, within production or financial networks. By embedding a linear stochastic fluid network, interpretable as a generalized vector Ornstein–Uhlenbeck process, into the production network of interdependent ...
Giovanni Amici +3 more
wiley +1 more source
Viscosity solutions of two classes of coupled Hamilton-Jacobi-Bellman equations
Journal of Inequalities and Applications, 2001 This paper studies viscosity solutions of two sets of linearly coupled Hamilton-Jacobi-Bellman (HJB) equations (one for finite horizon and the other one for infinite horizon) which arise in the optimal control of nonlinear piecewise deterministic ...
Başar Tamer, Xiao Mingqing
doaj
Intrinsic noise in systems with switching environments
, 2016 We study individual-based dynamics in finite populations, subject to randomly switching environmental conditions. These are inspired by models in which genes transition between on and off states, regulating underlying protein dynamics. Similarly switches
Galla, Tobias +3 more
core +1 more source
Journal of Time Series Analysis, Volume 47, Issue 3, Page 727-748, May 2026.ABSTRACT We consider the problem of sequential (online) estimation of a single change point in a piecewise linear regression model under a Gaussian setup. We demonstrate that certain CUSUM‐type statistics attain the minimax optimal rates for localizing the change point.
Annika Hüselitz, Housen Li, Axel Munk
wiley +1 more source