Related papers: Extension theorems for linear operators on $L_\inf…
We study the problem of pricing under a Multinomial Logit model where we incorporate network effects over the consumer's decisions. We analyse both cases, when sellers compete or collaborate. In particular, we pay special attention to the…
Economic engineering is a new field wherein economic systems are modelled in the same manner as traditional mechanical and electrical engineering systems. In this paper, we use Newton's theory of motion as the basis for the theory of…
This survey outlines a general and modular theory for proving approximation guarantees for equilibria of auctions in complex settings. This theory complements traditional economic techniques, which generally focus on exact and optimal…
This is a short survey on the connection between general extension theories and the study of realizations of elliptic operators A on smooth domains in R^n, n > 1. The theory of pseudodifferential boundary problems has turned out to be very…
In the propositional setting, the marginal problem is to find a (maximum-entropy) distribution that has some given marginals. We study this problem in a relational setting and make the following contributions. First, we compare two…
We address some criticisms by Eletsky and Ioffe on the extension of QCD sum rules to finite temperature. We argue that this extension is possible, provided the Operator Product Expansion and QCD-hadron duality remain valid at non-zero…
We examine a family of discrete second-order systems which are integrable through reduction to a linear system. These systems were previously identified using the singularity confinement criterion. Here we analyse them using the more…
Stability of linear systems with uncertain bounded time-varying delays is studied under assumption that the nominal delay values are not equal to zero. An input-output approach to stability of such systems is known to be based on the bound…
We revisit the problem of maximizing expected logarithmic utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in the seminal paper of Davis and Norman [Math. Operation…
We study common properties of retail pricing models within a general framework of calculus of variations. In particular, we observe that for any demand model, optimal de-seasoned revenue rate divided by price elasticity is time invariant.…
This study investigates enhancing option pricing by extending the Black-Scholes model to include stochastic volatility and interest rate variability within the Partial Differential Equation (PDE). The PDE is solved using the finite…
We examine the empirical performance of some parametric and nonparametric estimators of prices of options with a fixed time to maturity, focusing on variance-gamma and Heston models on one side, and on expansions in Hermite functions on the…
In the general framework of a semimartingale financial model and a utility function $U$ defined on the positive real line, we compute the first-order expansion of marginal utility-based prices with respect to a ``small'' number of random…
Maximum Principles on unbounded domains play a crucial r\^ole in several problems related to linear second-order PDEs of elliptic and parabolic type. In this paper we consider a class of sub-elliptic operators $\mathcal{L}$ in…
We revisit some topics of classical thermostatistics from the perspective of the nonextensive optimal Lagrange multipliers (OLM), a recently introduced technique for dealing with the maximization of Tsallis' information measure. It is shown…
The aim of this review is to highlight the connection between well-established physical and mathematical principles as they pertain to the theory of linear viscoelasticity. We begin by examining the physical foundations of Boltzmann and…
We investigate exponential stock models driven by tempered stable processes, which constitute a rich family of purely discontinuous L\'{e}vy processes. With a view of option pricing, we provide a systematic analysis of the existence of…
For a linear operator $T$ bounded from $L^p(Y)$ to $L^q(X)$, the Christ-Kiselev theorem gives $L^p \to L^q$ bounds for the maximal function $T^{*}$ associated to filtrations on $Y$. This result has been extended by establishing bounds for…
Monotone operators, especially in the form of subdifferential operators, are of basic importance in optimization. It is well known since Minty, Rockafellar, and Bertsekas-Eckstein that in Hilbert space, monotone operators can be understood…
This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with quote discretization and liquidity rebates. We postulate…