Related papers: Dual representations for general multiple stopping…
We present a generalized form of open boundary conditions, and an associated numerical algorithm, for simulating incompressible flows involving open or outflow boundaries. The generalized form represents a family of open boundary…
We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…
In this paper we present a duality theory for the robust utility maximisation problem in continuous time for utility functions defined on the positive real axis. Our results are inspired by -- and can be seen as the robust analogues of --…
We study problems arising in real-time auction markets, common in e-commerce and computational advertising, where bidders face the problem of calculating optimal bids. We focus upon a contract management problem where a demand aggregator is…
We consider controller-stopper problems in which the controlled processes can have jumps. The global filtration is represented by the Brownian filtration, enlarged by the filtration generated by the jump process. We assume that there exists…
The multicommodity flow problem is NP-hard already for two commodities over bipartite graphs. Nonetheless, using our recent theory of n-fold integer programming and extensions developed herein, we are able to establish the surprising…
In this work we present two particular cases of the general duality result for linear optimisation problems over signed measures with infinitely many constraints in the form of integrals of functions with respect to the decision variables…
In this paper we investigate a class of swing options with firm constraints in view of the modeling of supply agreements. We show, for a fully general payoff process, that the premium, solution to a stochastic control problem, is concave…
Multimodal recommendation focuses primarily on effectively exploiting both behavioral and multimodal information for the recommendation task. However, most existing models suffer from the following issues when fusing information from two…
Two-phase outflows refer to situations where the interface formed between two immiscible incompressible fluids passes through open portions of the domain boundary. We present in this paper several new forms of open boundary conditions for…
We study the existence theory for parabolic variational inequalities in weighted $L^2$ spaces with respect to excessive measures associated with a transition semigroup. We characterize the value function of optimal stopping problems for…
In this paper we study perpetual American call and put options in an exponential L\'evy model. We consider a negative effective discount rate which arises in a number of financial applications including stock loans and real options, where…
We consider the pricing and hedging of exotic options in a model-independent set-up using \emph{shortfall risk and quantiles}. We assume that the marginal distributions at certain times are given. This is tantamount to calibrating the model…
We investigate a dual variational formulation, in the spirit of Brenier, for several compressible fluid models: the compressible barotropic Euler system, the quantum Euler system, and the Euler-Korteweg system. We identify a unified…
We study the performance of transformers as a function of the number of repetitions of training examples with algorithmically generated datasets. On three problems of mathematics: the greatest common divisor, modular multiplication, and…
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other…
For discretisations of hyperbolic conservation laws, mimicking properties of operators or solutions at the continuous (differential equation) level discretely has resulted in several successful methods. While well-posedness for nonlinear…
The solution of the biobjective IRP is rather challenging, even for metaheuristics. We are still lacking a profound understanding of appropriate solution representations and effective neighborhood structures. Clearly, both the delivery…
In this paper some aspects on the periodic solutions of the extended Duffing-Van der Pol oscillator are discussed. Doing different rescaling of the variables and parameters of the system associated to the extended Duffing-Van der Pol…
Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor's portfolio consists of a dynamically traded stock and a static…