Related papers: Extension theorems for linear operators on $L_\inf…
In the derivation of the Standard Model from the axioms of Noncommutative Geometry, the scalar sector is given by a finite Dirac operator which has to satisfy the so-called \emph{first-order condition}. However, the general solution to this…
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic…
We extend the super-replication theorems of [27] in a dynamic setting, both in the num\'eraire-based as well as in the num\'eraire-free setting. For this purpose, we generalize the notion of admissible strategies. In particular, we obtain a…
We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…
In this article, after recalling and discussing the conventional extremality, local extremality, stationarity and approximate stationarity properties of collections of sets and the corresponding (extended) extremal principle, we focus on…
We study the validity of the comparison and maximum principles, and their relation with principal eigenvalues, for a class of degenerate nonlinear operators that are extremal among operators with one dimensional fractional diffusion.
We extend the fundamental theorem of asset pricing to a model where the risky stock is subject to proportional transaction costs in the form of bid-ask spreads and the bank account has different interest rates for borrowing and lending. We…
When the limiting compensator of a sequence of martingales is continuous, we obtain a weak convergence theorem for the martingales; the limiting process can be written as a Brownian motion evaluated at the compensator and we find sufficient…
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartingale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The properties of the former carry over largely…
In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we…
In the signal processing and statistics literature, the minimum description length (MDL) principle is a popular tool for choosing model complexity. Successful examples include signal denoising and variable selection in linear regression,…
Extensions (entropies) play a central role in the theory of hyperbolic conservation laws by providing intrinsic selection criteria for weak solutions. For a given hyperbolic system u_t+f(u)_x=0, a standard approach is to analyze directly…
We consider a seller offering a large network of $N$ products over a time horizon of $T$ periods. The seller does not know the parameters of the products' linear demand model, and can dynamically adjust product prices to learn the demand…
Identifying the dynamic precompensator that renders a nonlinear control system feedback linearizable is a challenging problem. Researchers have explored the problem -- dynamic feedback linearization -- and produced existence conditions and…
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full…
One may formulate the dependent product types of Martin-L\"of type theory either in terms of abstraction and application operators like those for the lambda-calculus; or in terms of introduction and elimination rules like those for the…
For a $d$-dimensional stochastic process $(S_n)_{n=0}^N$ we obtain criteria for the existence of an equivalent martingale measure, whose density $z$, up to a normalizing constant, is bounded from below by a given random variable $f$. We…
In this work we provide alternative formulations of the concepts of lambda theory and extensional theory without introducing the notion of substitution and the sets of all, free and bound variables occurring in a term. We also clarify the…
We reconsider the problem of optimal trading in the presence of linear and quadratic costs, for arbitrary linear costs but in the limit where quadratic costs are small. Using matched asymptotic expansion techniques, we find that the trading…