Related papers: Construction of multi-default models with full via…
We consider a dissipative vector field which is represented by a nearly-integrable Hamiltonian flow to which a non symplectic force is added, so that the phase space volume is not preserved. The vector field depends upon two parameters,…
We address two mathematical aspects of the Bir\'o--N\'eda dynamical model, recently applied in the statistical analysis of several and varied complex phenomena. First, we show that a given implicit assumption ceases to be valid outside the…
We introduce a definition of pressure for almost-additive sequences of continuous functions defined over (non-compact) countable Markov shifts. The variational principle is proved. Under certain assumptions we prove the existence of Gibbs…
Monotonicity and convex analysis arise naturally in the framework of multi-marginal optimal transport theory. However, a comprehensive multi-marginal monotonicity and convex analysis theory is still missing. To this end we study extensions…
Suitable duals of multimodules are introduced and used to provide transposition contravariant right semi-adjunctions (and dualitites under reflexivity). Several additional notions on multimodules are discussed: generalized morphisms and…
In a preceding article, we have studied a generalization of the problem of finding a martingale on a manifold whose terminal value is known. This article completes the results obtained in the first article by providing uniqueness and…
We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard…
We investigate under which conditions a single simulation of joint default times at a final time horizon can be decomposed into a set of simulations of joint defaults on subsequent adjacent sub-periods leading to that final horizon. Besides…
We introduce propositional team-based logics expressively complete for (quasi) downward and (quasi) upward closed properties in a syntactically dual way, by using variants of the inclusion atom. In particular, the variants of the primitive…
We construct a class of quantum stochastic models of reservoir driven many-particle systems that are the natural counterparts of certain extensively studied classical ones, which have been shown to exhibit good hydrodynamical behaviour. Our…
Using approximations, we give several characterizations of separability of bimodules. We also discuss how separability properties can be used to transfer some representation theoretic properties from one ring to another one: contravariant…
We consider a structural model where the survival/default state is observed together with a noisy version of the firm value process. This assumption makes the model more realistic than most of the existing alternatives, but triggers…
We provide a simple natural duality for the varieties generated by the negation- and implication- free reduct of a finite MV-chain. We study these varieties through the dual equivalence thus obtained. For example, we fully characterize…
While many questions in robust finance can be posed in the martingale optimal transport framework or its weak extension, others like the subreplication price of VIX futures, the robust pricing of American options or the construction of…
We study conditions for the existence of stable and group-strategy-proof mechanisms in a many-to-one matching model with contracts if students' preferences are monotone in contract terms. We show that "equivalence", properly defined, to a…
We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then…
Based on a criterion of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…
We introduce the notion of a multidimensional hybrid preference domain on a (finite) set of alternatives that is a Cartesian product of finitely many components. We demonstrate that in a model of public goods provision, multidimensional…
Marginal models involve restrictions on the conditional and marginal association structure of a set of categorical variables. They generalize log-linear models for contingency tables, which are the fundamental tools for modelling the…
Starting from the seventies mathematicians face the question whether a non-negative local martingale is a true or a strict local martingale. In this article we answer this question from a semimartingale perspective. We connect the…