Results 131 to 140 of about 4,616 (278)
Specifications in Stochastic Process Algebra for a Robot Control Problem
, 1995 We present a novel approach to specification of dynamic systems. This approach, a stochastic extension of process algebra, facilitates quantitative, or performance, analysis, in addition to qualitative analysis.
Jane Hillston +3 more
core
The fundamental theorem of asset pricing with and without transaction costs
Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley +1 more source
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
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
Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach
Mathematical Finance, EarlyView.ABSTRACT Stochastic versions of recursive integrated climate‐economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number of state variables and stochastic shocks increases, solving these models via deterministic grid‐based dynamic programming (e.g., value‐function iteration/projection ...
Aleksandar Arandjelović +4 more
wiley +1 more source
Mathematical Finance, EarlyView.ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley +1 more source
Metroeconomica, EarlyView.ABSTRACT We propose a demand‐led heterogeneous firm macroeconomic model to study the impact of an exchange rate devaluation on output and financial stability. We simulate the model and find that, in the presence of foreign debt, a devaluation can have contractionary effects.
Lucca Gustafson Rodrigues +2 more
wiley +1 more source
Compositional solution of stochastic process algebra models.
, 2002 This dissertation is about the solution of Markovian stochastic process algebra (SPA) models and the avoidance of the state-space explosion problem. We try to answer the question whether the compositionality of SPA models can be exploited to overcome the largeness problems appearing when evaluating such models.
openaire +2 more sources
Performance analysis of Stochastic Process Algebra models using Stochastic Simulation
We present a translation of a generic stochastic process algebra model into a form suitable for stochastic simulation. By systematically generating rate equations from a process description, we can use tools developed for chemical and biochemical ...
Thomas N, Bradley JT, Gilmore ST
core
Kinetic parameter prediction using neural networks identifies limitations to C4 photosynthesis
New Phytologist, EarlyView.Schematic overview of the generation of artificial training data and training of neural networks in C4TUNE. Summary Kinetic models of photosynthesis enable time‐resolved predictions of traits related to this key process and provide the means to identify factors limiting photosynthesis.
Philipp Wendering +4 more
wiley +1 more source