Results 51 to 60 of about 56,401 (152)
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
Macroscopic Market Making Games
Mathematical Finance, EarlyView.ABSTRACT Building on the macroscopic market making framework as a control problem, this paper investigates its extension to stochastic games. In the context of price competition, each agent is benchmarked against the best quote offered by the others. We begin with the linear case.
Ivan Guo, Shijia Jin
wiley +1 more source
Order Routing and Market Quality: Who Benefits From Internalization?
Mathematical Finance, EarlyView.ABSTRACT Does retail order internalization benefit (via price improvement) or harm (via reduced liquidity) retail traders? To answer this question, we compare two market designs that differ in their mode of liquidity provision: In the setting capturing retail order internalization, liquidity is provided by market makers (wholesalers) competing for the ...
Umut Çeti̇n, Albina Danilova
wiley +1 more source
Robust Bernoulli Mixture Models for Credit Portfolio Risk
Mathematical Finance, EarlyView.ABSTRACT This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing in a common risk factor. We provide simple and interpretable conditions on conditional default probabilities that imply a comparison ...
Jonathan Ansari, Eva Lütkebohmert
wiley +1 more source
Spatial depth for data in metric spaces
Scandinavian Journal of Statistics, EarlyView.Abstract We propose a novel measure of statistical depth, the metric spatial depth, for data residing in an arbitrary metric space. The measure assigns high (low) values for points located near (far away from) the bulk of the data distribution, allowing quantifying their centrality/outlyingness.
Joni Virta
wiley +1 more source
On extrapolation blowups in the
Journal of Inequalities and Applications, 2006 Yano's extrapolation theorem dated back to 1951 establishes boundedness properties of a subadditive operator acting continuously in for close to and/or taking into as and/or with norms blowing up at speed and/or , .
Fiorenza Alberto +2 more
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Lifts of continuous and Hölder alpha curves in the configuration space MN/SN$M^N/S_N$
Transactions of the London Mathematical Society, Volume 13, Issue 1, December 2026.Abstract In this paper, we study the quotient space X=MN/SN$X = M^N / S_N$ of equivalence classes of N$N$‐tuples in a metric space (M,dM)$(M, d_M)$, equipped with the metric induced by the minimal total pairing distance. Given a continuous path F:(0,1)→X$F: (0,1) \rightarrow X$, we prove that there exist continuous functions f1,⋯,fN:(0,1)→M$f_1, \dots,
Charles L. Fefferman +3 more
wiley +1 more source
Isoperimetric inequalities on slabs with applications to cubes and Gaussian slabs
Communications on Pure and Applied Mathematics, Volume 79, Issue 4, Page 1012-1072, April 2026.Abstract We study isoperimetric inequalities on “slabs”, namely weighted Riemannian manifolds obtained as the product of the uniform measure on a finite length interval with a codimension‐one base. As our two main applications, we consider the case when the base is the flat torus R2/2Z2$\mathbb {R}^2 / 2 \mathbb {Z}^2$ and the standard Gaussian measure
Emanuel Milman
wiley +1 more source
Some bounds related to the 2‐adic Littlewood conjecture
Mathematika, Volume 72, Issue 2, April 2026.Abstract For every irrational real α$\alpha$, let M(α)=supn⩾1an(α)$M(\alpha) = \sup _{n\geqslant 1} a_n(\alpha)$ denote the largest partial quotient in its continued fraction expansion (or ∞$\infty$, if unbounded). The 2‐adic Littlewood conjecture (2LC) can be stated as follows: There exists no irrational α$\alpha$ such that M(2kα)$M(2^k \alpha)$ is ...
Dinis Vitorino, Ingrid Vukusic
wiley +1 more source
Variants of a theorem of Macbeath in finite‐dimensional normed spaces
Mathematika, Volume 72, Issue 2, April 2026.Abstract A classical theorem of Macbeath states that for any integers d⩾2$d \geqslant 2$, n⩾d+1$n \geqslant d+1$, d$d$‐dimensional Euclidean balls are hardest to approximate, in terms of volume difference, by inscribed convex polytopes with n$n$ vertices.
Zsolt Lángi, Shanshan Wang
wiley +1 more source