Results 91 to 100 of about 13,920,869 (234)

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, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

Well-posedness of KdV type equations

Electronic Journal of Differential Equations, 2012
In this work, we study the initial value problems associated to some linear perturbations of KdV equations. Our focus is in the well-posedness issues for initial data given in the L^2-based Sobolev spaces.
Xavier Carvajal, Mahendra Panthee
doaj  

Well-posedness in the Generalized Sense for Variational Inclusion and Disclusion Problems and Well Posedness for Optimization Problems with Constraint

, 2011
[[abstract]]In this paper, we study the well-posedness in the generalized sense for variational inclusion problems and variational disclusion problems, the well-posedness for optimization problems with variational inclusion problems, variational ...
Lin Lai-Jiu; Chih-Sheng Chuang
core  

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

Relative Arbitrage Opportunities With Interactions Among N Investors

Mathematical Finance, EarlyView.
ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley   +1 more source

Representation of Forward Performance Criteria with Random Endowment via FBSDE and Its Application to Forward Optimized Certainty Equivalent

Mathematical Finance, EarlyView.
ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou   +2 more
wiley   +1 more source

Stochastic Galerkin and Monte Carlo Methods for Parabolic Problems: Numerical Performance of Variational Matrix‐Free Approximations

Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.
ABSTRACT Stochastic Galerkin methods offer unexplored potential for the numerical simulation of parabolic problems with random variables, in particular if they are combined with variational discretizations of the space and time variables. Due to the high dimensionality, the solution of the arising algebraic systems do not become feasible without ...
Moataz Dawor, Nils Margenberg, Markus Bause   +2 more
wiley   +1 more source

Metric Characterizations of α-Well-Posedness for a System of Mixed Quasivariational-Like Inequalities in Banach Spaces

Journal of Applied Mathematics, 2012
The purpose of this paper is to investigate the problems of the well-posedness for a system of mixed quasivariational-like inequalities in Banach spaces.
L. C. Ceng, Y. C. Lin
doaj   +1 more source

Performance of a Mixed Least‐Squares Finite Element Formulation With Application in Poroelasticity

Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.
ABSTRACT A mixed least‐squares finite element method (LSFEM), previously proposed for the theory of porous media (TPM), is further investigated in this work. Finite deformation of a fully saturated, incompressible solid–fluid binary system is studied using the LSFEM.
Manu Hegde, Alexander Schwarz, Joachim Bluhm, Jörg Schröder   +3 more
wiley   +1 more source

Well-posedness of the microwave heating problem

Discrete and Continuous Models and Applied Computational Science
A number of initial boundary-value problems of classical mathematical physics is generally represented in the linear operator equation and its well-posedness and causality in a Hilbert space setting was established. If a problem has a unique solution and
Baljinnyam Tsangia
doaj   +1 more source