Related papers: Deterministic criteria for the absence of arbitrag…
We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have the following price dynamics: (i) continuous diffusions; (ii)…
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank account process with a constant interest rate. This…
We prove a generalized version of the no-broadcasting theorem, applicable to essentially \emph{any} nonclassical finite-dimensional probabilistic model satisfying a no-signaling criterion, including ones with ``super-quantum'' correlations.…
This short paper concerns a diffusive logistic equation with the heterogeneous environment and a free boundary, which is formulated to study the spread of an invasive species, where the free boundary represents the expanding front. A…
The hypothesis that there do not exist free lunches with vanishing risk (FLVRs) in the real market underpins the popular risk-neutral pricing and hedging methodology in quantitative finance. The paper documents the fact that this hypothesis…
We discuss a reaction-diffusion model in one dimension subjected to an external driving force. Each lattice site may be occupied by at most one particle. The particles hop with asymmetric rates (the sum of which is one) to the right or left…
The sharpened No-Free-Lunch-theorem (NFL-theorem) states that the performance of all optimization algorithms averaged over any finite set F of functions is equal if and only if F is closed under permutation (c.u.p.) and each target function…
In high dimensional analysis, effects of explanatory variables on responses sometimes rely on certain exposure variables, such as time or environmental factors. In this paper, to characterize the importance of each predictor, we utilize its…
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…
As a generalization of deterministic, nonlinear conservative dynamical systems, a notion of {\em canonical conservative dynamics} with respect to a positive, differentiable stationary density $\rho(x)$ is introduced: $\dot{x}=j(x)$ in which…
We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricing therein. No-arbitrage conditions, either in this abstract…
Decentralized exchanges using automated market makers create arbitrage opportunities with centralized exchanges, where gas fees and transaction ordering are critical. Existing models largely overlook competition among arbitrageurs, despite…
In this paper, we study the dynamics of a two-species competition model with two different free boundaries in heterogeneous time-periodic environment, where the two species adopt a combination of random movement and advection upward or…
Repulsion between individuals within a finite radius is encountered in numerous applications, including cell exclusion, i.e. avoidance of overlapping cells, bird flocks, or microscopic pedestrian models. We define such individual based…
Although an intimate relation between entropy and diffusion has been advocated for many years and even seems to have been verified in theory and experiments, a quantitatively reliable study, and any derivation of an algebraic relation…
In this work we adopt a combination of probabilistic approach and analytic methods to study the fundamental solutions to variations of the Wright-Fisher equation in one dimension. To be specific, we consider a diffusion equation on…
In this paper we review recently developed methods for nonparametric Bayesian inference for one-dimensional diffusion models. We discuss different possible prior distributions, computational issues, and asymptotic results.
We consider a one-dimensional free boundary problem governed by a nonlinear diffusion - convection equation with a Neumann condition at fixed face $x=0$, which is variable in time and a like Stefan convective condition on the free boundary.…
We present two limit theorems, a mean ergodic and a central limit theorem, for a specific class of one-dimensional diffusion processes that depend on a small-scale parameter $\varepsilon$ and converge weakly to a homogenized diffusion…
We consider a single species reaction diffusion system on a two dimensional lattice where the particles $A$ are biased to move towards their nearest neighbours and annihilate as they meet; $A + A \to \emptyset$. Allowing the bias to take…