Results 1 to 10 of about 1,524 (185)
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
Formulas For Solutions Of The Riccati’s Equation
MANAS: Journal of Engineering, 2017 In this paper we obtained the formula for the common solution of Riccati equations. Here Riccati equations was solved for common cases. Results obtained have been compared with the conventional ones and a comment has been made on them.
A. Asanov, E. Hazar, R. Asanov
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Legendre Wavelet Operational Matrix Method for Solution of Riccati Differential Equation
International Journal of Mathematics and Mathematical Sciences, 2014 A Legendre wavelet operational matrix method (LWM) is presented for the solution of nonlinear fractional-order Riccati differential equations, having variety of applications in quantum chemistry and quantum mechanics.
S. Balaji
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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
Boundary Value Problems, 2010 We used what we called extended Fan's sub-equation method and a new compound Riccati equations rational expansion method to construct the exact travelling wave solutions of the Davey-Stewartson (DS) equations. The basic idea of the proposed extended Fan'
Zedan Hassan
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Nonlinear boudary value problem in the case of parametric resonance [PDF]
Компьютерные исследования и моделирование, 2015 We construct necessary and sufficient conditions for the existence of solution of seminonlinear matrix boundary value problem for a parametric excitation system of ordinary differential equations.
Sergey Mikhaylovich Chujko +2 more
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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
On the simulation of fractional Riccati equations with physics-informed neural networks
Discover Applied SciencesThe Riccati equations are a classical type of nonlinear differential equations with important applications across mathematics, physics, and engineering.
Narendra Kumawat, Alok Bhargava
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International Journal of Robust and Nonlinear Control, Volume 36, Issue 14, Page 6856-6876, 25 September 2026.ABSTRACT Designing safe control laws for nonlinear systems is challenging, especially when ensuring stability under actuator saturation and state constraints. A key aspect is embedding controllers with a Region of Attraction (ROA), which defines initial conditions guaranteeing convergence to a stable equilibrium point (EP).
Bhaskar Biswas +3 more
wiley +1 more source
Comparison theorems for Riccati inequalities arising in the theory of PDE's with p-Laplacian
Electronic Journal of Differential Equations, 2011 In this article, we study a Riccati inequality that appears in the theory of partial differential equations with p-Laplacian. Our results allow to compare existence and nonexistence of positive solutions for Riccati type inequalities which are ...
Ondrej Dosly +2 more
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