Related papers: On the Existence of Consistent Price Systems
The quasi steady-state (QSS) model tries to reach a good compromise between accuracy and efficiency in long-term stability analysis. However, the QSS model is unable to provide correct approximations and stability assessment for the…
Hutchins' Pure Subtype Systems (PSS) offer a unified framework for types and terms, promising significant advancements in language design for features like dependent types and higher-order subtyping. However, the theory has been hampered by…
We provide new sufficient conditions under which Ryser's conjecture holds.
In this paper will be introduced large, probably complete family of complex base systems, which are 'proper' - for each point of the space there is a representation which is unique for all but some zero measure set. The condition defining…
Cyber-Physical Systems (CPS) pose new challenges to verification and validation that go beyond the proof of functional correctness based on high-level models. Particular challenges are, in particular for formal methods, its heterogeneity…
In this paper, a fractional derivative with short-term memory properties is defined, which can be viewed as an extension of Caputo fractional derivative. Then, some properties of the short memory fractional derivative are discussed. Also, a…
This paper addresses a key challenge in CDO modeling: achieving a perfect fit to market prices across all tranches using a single, consistent model. The existence of such a perfect-fit model implies the absence of arbitrage among CDO…
We consider a special case of the three dimensional Vlasov-Poisson system where the particles are restricted to a plane, a situation that is used in astrophysics to model extremely flattened galaxies. We prove the existence of steady states…
Complex, interconnected Cyber-physical Systems (CPS) are increasingly common in applications including smart grids and transportation. Ensuring safety of interconnected systems whose dynamics are coupled is challenging because the effects…
The presence of a sparse "truth" has been a constant assumption in the theoretical analysis of sparse PCA and is often implicit in its methodological development. This naturally raises questions about the properties of sparse PCA methods…
We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible…
We consider a general queueing system with price-sensitive customers in which the service provider seeks to balance two objectives, maximizing the average revenue rate and minimizing the average queue length. Customers arrive according to a…
We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^arleanu-Pedersen [6]. The key innovation is allowing for multiple assets. We show…
In this paper, we propose conformal inference based approach for statistical verification of CPS models. Cyber-physical systems (CPS) such as autonomous vehicles, avionic systems, and medical devices operate in highly uncertain…
We discuss some properties of conditional expectation operators, and use these facts to prove an interesting counterexample regarding sufficient statistics. In particular, we show that there exists sufficient random variables X and Y, such…
Candidate homogeneous, isotropic superfluid or superconducting states of paired fermion species with different chemical potentials, can lead to quasiparticle excitation energies that vanish at either zero, one, or two spheres in momentum…
A new approach to superstability and finite time extinction of strongly continuous semigroups is presented, unifying known results and providing new criteria for these conditions to hold analogous to the well-known Pazy condition for…
We find sufficient conditions on a compactly supported function $g$, $\supp g = [a,b]$ which guarantee that the Gabor system $$\mathcal{G}(g;\alpha,\beta)=\{e^{2\pi i \beta m x}g(x-\alpha n)\}_{m,n\in\mathbb{Z}}$$ is a frame for all $\alpha…
Constant price impact functions, much used in financial literature, are shown to give rise to paradoxical outcomes since they do not allow for proper predictability removal: for instance the exploitation of a single large trade whose size…
We introduce a new consistency-based approach for defining and solving nonnegative/positive matrix and tensor completion problems. The novelty of the framework is that instead of artificially making the problem well-posed in the form of an…