Related papers: Deterministic criteria for the absence of arbitrag…
A mathematical model for the discrete nonlinear fragmentation (collision-induced breakage) equation with diffusion is studied. The existence of global weak solutions is established in arbitrary spatial dimensions without assuming a strictly…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
Differential equations need boundary conditions (BC's) for their solution. It is commonly acknowledged that differential equations and BC's are representative of independent physical processes, and no correlations between them is required.…
It is shown that absence of arbitrage opportunity in financial markets is a particular case of existence of uncertainty in decision system. Absence of arbitrage opportunity is considered in the sense of the Arrow-Debreu model of financial…
In this work we study, on a finite and periodic lattice, a class of one-dimensional (bimolecular and single-species) reaction-diffusion models which cannot be mapped onto free-fermion models. We extend the conventional empty-interval…
The one-dimensional reaction diffusion process AA->A and A0A->AAA is exactly solvable through the empty interval method if the diffusion rate equals the coagulation rate. Independently of the particle production rate, the model is always in…
We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an intensity-based framework. We assume the default intensity is not exactly known but lies between an upper and lower bound. By means of the…
This paper studies quantum systems with a finite number of degrees of freedom in the context of non-extensive thermodynamics. A trial density matrix, obtained by heuristic methods, is proved to be the equilibrium density matrix. If the…
It is shown that the critical properties of a recently studied model for non-equilibrium wetting are robust if one extends the dynamic rules by single-particle diffusion on terraces of the wetting layer. Examining the behavior at the…
In cond-mat/0103603 Diffusion algebras have been introduced in the context of one-dimensional stochastic processes with exclusion in statistical mechanics. While this reference is focused on the needs of the physicist reader and thus states…
We study convex risk measures describing the upper and lower bounds of a good deal bound, which is a subinterval of a no-arbitrage pricing bound. We call such a convex risk measure a good deal valuation and give a set of equivalent…
In a recent paper a systematic study on shearing expansion-free spherically symmetric distributions was presented. As a particular case of such systems, the Skripkin model was mentioned, which corresponds to a nondissipative perfect fluid…
This paper explores the classification of parameter spaces for reaction-diffusion systems of two chemical species on stationary domains. The dynamics of the system are explored both in the absence and presence of diffusion. The parameter…
We consider a spatially homogeneous advection-diffusion equation in which the diffusion tensor and drift velocity are time-independent, but otherwise general. We derive asymptotic expressions, valid at large distances from a steady point…
Standard regression approaches assume that some finite number of the response distribution characteristics, such as location and scale, change as a (parametric or nonparametric) function of predictors. However, it is not always appropriate…
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent…
In this paper, we investigate a Fisher-KPP nonlocal diffusion model incorporating the effect of advection and free boundaries, aiming to explore the propagation dynamics of the nonlocal diffusion-advection model. Considering the effects of…
We consider the evolution of interfaces in binary mixtures permeating strongly heterogeneous systems such as porous media. To this end, we first review available thermodynamic formulations for binary mixtures based on \emph{general…
Motivated by stochastic convection-diffusion problems we derive a posteriori error estimates for non-stationary non-linear convection-diffusion equations acting as a deterministic paradigm. The problem considered here neither fits into the…
When the unconditioned process is a diffusion submitted to a space-dependent killing rate $k(\vec x)$, various conditioning constraints can be imposed for a finite time horizon $T$. We first analyze the conditioned process when one imposes…