Results 21 to 30 of about 74 (63)
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
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
The Mathematical History Behind the Granger–Johansen Representation Theorem
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT When can a vector time series that is integrated once (i.e., becomes stationary after taking first differences) be described in error correction form? The answer to this is provided by the Granger–Johansen representation theorem. From a mathematical point of view, the theorem can be viewed as essentially a statement concerning the geometry of ...
Johannes M. Schumacher
wiley +1 more source
Invariant Measure and Universality of the 2D Yang–Mills Langevin Dynamic
Communications on Pure and Applied Mathematics, Volume 79, Issue 8, Page 1973-2102, August 2026.ABSTRACT We prove that the Yang–Mills (YM) measure for the trivial principal bundle over the two‐dimensional torus, with any connected, compact structure group, is invariant for the associated renormalised Langevin dynamic. Our argument relies on a combination of regularity structures, lattice gauge‐fixing and Bourgain's method for invariant measures ...
Ilya Chevyrev, Hao Shen
wiley +1 more source
Robust Bernoulli Mixture Models for Credit Portfolio Risk
Mathematical Finance, Volume 36, Issue 3, Page 528-543, July 2026.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
International Journal for Numerical Methods in Engineering, Volume 127, Issue 12, 30 June 2026.ABSTRACT Limit analysis and yield design provide a well‐defined mathematical framework for upscaling the strength properties of heterogeneous materials. These techniques can be incorporated into an FFT‐based computational micromechanics framework to evaluate the strength of heterogeneous materials, based on images of their microstructure.
Elodie Donval, Matti Schneider
wiley +1 more source
On the Meaning of Localization in Non‐Local Quantum Field Theory
Annalen der Physik, Volume 538, Issue 6, June 2026.In non‐local quantum field theory nature does not necessarily allow objects or events to be localized to exact mathematical points. Instead any physical measurement has a built‐in finite resolution set by the non‐locality scale. Spacetime remains continuous and Lorentz‐covariant, but below this scale pointlike localization becomes an idealization ...
E. J. Thompson
wiley +1 more source
Covariance Estimation for Wide Data
WIREs Computational Statistics, Volume 18, Issue 2, June 2026.Covariance matrix estimation is fundamental to multivariate analysis, with applications spanning finance, genomics, climate science, and signal processing. This review synthesizes recent advances in high‐dimensional covariance estimation‐thresholding, linear and nonlinear shrinkage, graphical models, and random matrix theory‐under a unifying framework ...
Eran Raviv
wiley +1 more source
Prediction Efficiency Skill Scores for Event Detection Analysis
Space Weather, Volume 24, Issue 6, June 2026.Abstract Prediction efficiency (PE) is a skill score that compares the data‐model metric of mean square error against the variance of the observations (i.e., using the average of the observed values as the “reference model” in the general skill score formula).
Michael W. Liemohn +3 more
wiley +1 more source
Emergence of Chaotic Scattering in Ultracold Er and Dy. [PDF]
Phys Rev X, 2015 Maier T +15 more
europepmc +1 more source