Related papers: Deterministic criteria for the absence of arbitrag…
In this paper, we investigate the extinction behavior of nonnegative solutions to the Sobolev critical fast diffusion equation in bounded smooth domains with the Dirichlet zero boundary condition. Under the two-bubble energy threshold…
We study the probability of arbitrary density profiles in conserving diffusive fields which are driven by the boundaries. We demonstrate the existence of singularities in the large-deviation functional, the direct analog of the free-energy…
Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establish model-free bounds on the price of…
We characterize absence of arbitrage with simple trading strategies in a discounted market with a constant bond and several risky assets. We show that if there is a simple arbitrage, then there is a 0-admissible one or an obvious one, that…
In this paper we give a financial justification, based on non arbitrage conditions, of the $(H)$ hypothesis in default time modelling. We also show how the $(H)$ hypothesis is affected by an equivalent change of probability measure. The…
A new approach to the modeling of nonfree particle diffusion is presented. The approach uses a general setup based on geometric graphs (networks of curves), which means that particle diffusion in anything from arrays of barriers and pore…
In data analysis problems where we are not able to rely on distributional assumptions, what types of inference guarantees can still be obtained? Many popular methods, such as holdout methods, cross-validation methods, and conformal…
In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker…
The paper presents error estimates within a unified abstract framework for the analysis of FEM for boundary value problems with linear diffusion-convection-reaction equations and boundary conditions of mixed type. Since neither conformity…
We consider a general class of continuous asset price models where the drift and the volatility functions, as well as the driving Brownian motions, change at a random time $\tau$. Under minimal assumptions on the random time and on the…
We consider bargaining problems which involve two participants, with a nonempty closed, bounded convex bargaining set of points in the real plane representing all realizable bargains. We also assume that there is no definite threat or…
We consider a one-dimensional exclusion dynamics in mild contact with boundary reservoirs. In the diffusive scale, the particles' density evolves as the solution of the heat equation with non-linear Robin boundary conditions. For…
This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The results hold under very weak assumptions, namely, the diffusion…
In quantum theory, the no-information-without-disturbance and no-free-information theorems express that those observables that do not disturb the measurement of another observable and those that can be measured jointly with any other…
In this paper, we propose nonlocal diffusion models with Dirichlet boundary. These nonlocal diffusion models preserve the maximum principle and also have corresponding variational form. With these good properties, we can prove the…
We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for static hedging (\emph{hedging options}) are quoted with…
The Free Lunch Principle: Nature thrives on freebies. She chooses nothing, and no one helps Her. She must use canonical mathematical structures as there is no one to tell Her otherwise. With this I show where variational principles are…
Adding additional control to pretrained diffusion models has become an increasingly popular research area, with extensive applications in computer vision, reinforcement learning, and AI for science. Recently, several studies have proposed…
We study a nonlinear diffusion equation of the form $u_t=u_{xx}+f(u)\ (x\in [g(t),h(t)])$ with free boundary conditions $g'(t)=-u_x(t,g(t))+\alpha$ and $h'(t)=-u_x(t,g(t))-\alpha$ for some $\alpha>0$. Such problems may be used to describe…
In this paper we consider a one-dimensional diffusion equation on the interval $[0,1]$ satisfying non-Feller boundary conditions. As a consequence, the initial value Cauchy problem fails to preserve nonnegativity or boundedness.…