Results 71 to 80 of about 2,598,889 (217)
MathematicsThis paper addresses the problem of optimal H2-filtering for a class of continuous-time linear McKean–Vlasov stochastic differential equations under sampled measurements.
Vasile Dragan, Samir Aberkane
doaj +1 more source
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
Convergence Analysis for Splitting of the Abstract Differential Riccati Equation [PDF]
SIAM Journal on Numerical Analysis, 2014 We consider a splitting-based approximation of the abstract differential Riccati equation in the setting of Hilbert--Schmidt operators. The Riccati equation arises in many different areas and is important within the field of optimal control. In this paper we conduct a temporal error analysis and prove that the splitting method converges with the same ...
Eskil Hansen, Tony Stillfjord
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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
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
Solutions for certain classes of the Riccati differential equation
Journal of Physics A: Mathematical and Theoretical, 2007 We derive some analytic closed-form solutions for a class of Riccati equation y'(x)-λ_0(x)y(x)\pm y^2(x)=\pm s_0(x), where λ_0(x), s_0(x) are C^{\infty}-functions. We show that if δ_n=λ_n s_{n-1}-λ_{n-1}s_n=0, where λ_{n}= λ_{n-1}^\prime+s_{n-1}+λ_0λ_{n-1} and s_{n}=s_{n-1}^\prime+s_0λ_{k-1}, n=1,2,..., then The Riccati equation has a solution given by
Ciftci, HAKAN +2 more
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Convergence of Heavy‐Tailed Hawkes Processes and the Microstructure of Rough Volatility
Mathematical Finance, EarlyView.ABSTRACT We establish the weak convergence of the intensity of a nearly‐unstable Hawkes process with heavy‐tailed kernel. Our result is used to derive a scaling limit for a financial market model where orders to buy or sell an asset arrive according to a Hawkes process with power‐law kernel.
Ulrich Horst, Wei Xu, Rouyi Zhang
wiley +1 more source
Riccati differential equation with continued fractions
, 2016 Polynomials, trigonometric and hyperbolic functions, logarithms, square roots, Riccati differential equation, continued fractions, Taylor or Fourier seriesExplore the solutions of the Riccati differential equation with continued fractions, which provide ...
Lauschke, Andreas
core +1 more source
Kalman Filter Learning, Bounded Rationality and Informational Consistency
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We develop a behavioural New Keynesian model with rational (RE) and boundedly rational (BR) agents. The latter are anticipated utility learners and use simple heuristic rules to forecast aggregate variables exogenous to their micro‐environment.
Szabolcs Deák +3 more
wiley +1 more source
Riccati differential equation with continued fractions
, 2011 Polynomials, trigonometric and hyperbolic functions, logarithms, square roots, Riccati differential equation, continued fractions, Taylor or Fourier seriesExplore the solutions of the Riccati differential equation with continued fractions, which provide ...
Lauschke, Andreas
core +1 more source