Related papers: Deterministic criteria for the absence of arbitrag…
Consider discrete time observations (X_{\ell\delta})_{1\leq \ell \leq n+1}$ of the process $X$ satisfying $dX_t= \sqrt{V_t} dB_t$, with $V_t$ a one-dimensional positive diffusion process independent of the Brownian motion $B$. For both the…
The processes described in the title always have reversible stationary distributions. In this paper, we give sufficient conditions for the existence of, and for the nonexistence of, nonreversible stationary distributions. In the case of an…
We analyze, theoretically and empirically, the performance of generative diffusion models based on \emph{blind denoisers}, in which the denoiser is not given the noise amplitude in either the training or sampling processes. Assuming that…
We consider a class of aggregation-diffusion equations on unbounded one dimensional domains with Lipschitz nonincreasing mobility function. We show strong $L^1$-convergence of a suitable deterministic particle approximation to weak…
We consider two species of particles performing random walks in a domain in $\mathbb{R}^d$ with reflecting boundary conditions, which annihilate on contact. In addition, there is a conservation law so that the total number of particles of…
This paper focuses on the stability of the non-arbitrage condition in discrete time market models when some unknown information $\tau$ is partially/fully incorporated into the market. Our main conclusions are twofold. On the one hand, for a…
We study equilibrium states for an open class of non-uniformly expanding local homeomorphisms defined by a mild condition such that for some iterate each point admits at least one contracting inverse branch. We prove the existence and…
We consider the initial-boundary value problem for an incompressible Oldroyd-B model with stress diffusion in two-dimensional upper half plane which describes the motion of viscoelastic polymeric fluids. From the physical point of view, the…
The most general one dimensional reaction-diffusion model with nearest-neighbor interactions solvable through the empty interval method, and without any restriction on the particle-generation from two adjacent empty sites is studied. It is…
We study the diffusive logistic equation with a free boundary in timeperiodic environment. To understand the effect of the dispersal rate $d$, the original habitat radius $h_0$, the spreading capability $\mu$, and the initial density $u_0$…
We consider a free boundary problem for the heat equation with a given non-negative external heat source. On the free boundary, we impose the zero Dirichlet condition and the fixed normal derivative so that heat escapes from the boundary.…
The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from…
We study the one-dimensional diffusion process which takes place between two reflecting boundaries and which is acted upon by a time-dependent and spatially-constant force. The assumed force possesses both the harmonically oscillating and…
This paper proposes two approaches that quantify the exact relationship among the viability, the absence of arbitrage, and/or the existence of the num\'eraire portfolio under minimal assumptions and for general continuous-time market…
We study the mechanism design problem of allocating a set of indivisible items without monetary transfers. Despite the vast literature on this very standard model, it still remains unclear how do truthful mechanisms look like. We focus on…
This article is accepted for publication in the "Annals I.H.P. Prob. & Stat.". We investigate the ballistic behavior of diffusions in random environment. We introduce conditions in the spirit of (T) and (T') of the discrete setting, cf.…
We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are…
We investigate statistical properties of several classes of periodic billiard models which are diffusive. An introductory chapter gives motivation, and then a review of statistical properties of dynamical systems is given in chapter 2. In…
This paper quantifies the interplay between the non-arbitrage notion of No-Unbounded-Profit-with-Bounded-Risk (NUPBR hereafter) and additional information generated by a random time. This study complements the one of…
For one-dimensional diffusions on the half-line, we study a specific type of conditioning to avoid zero. We introduce supermartingales defined via concave functions with respect to the scale function. A conditioning is formulated through…