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We establish a monotonicity property in the space variable for the solutions of an initial boundary value problem concerned with the parabolic partial differential equation connected with super-Brownian motion.
We use results from time-frequency analysis and Gabor analysis to construct new classes of sigma-model solitons over the Moyal plane and over noncommutative tori, taken as source spaces, with a target space made of two points. A natural…
A principal curve serves as a powerful tool for uncovering underlying structures of data through 1-dimensional smooth and continuous representations. On the basis of optimal transport theories, this paper introduces a novel principal curve…
We present a stability and convergence analysis of the space-time continuous finite element method for the Hamiltonian formulation of the wave equation. More precisely, we prove a continuous dependence of the discrete solution on the data…
The expectation is an example of a descriptive statistic that is monotone with respect to stochastic dominance, and additive for sums of independent random variables. We provide a complete characterization of such statistics, and explore a…
In this paper, under an abstract setting we establish the spreading properties and the existence, non-existence and global attractivity of spatially heterogeneous steady states for a large class of monotone evolution systems without the…
We investigate the covariant Hamiltonian symplectic structure of General Relativity for spatially bounded regions of spacetime with a fixed time-flow vector. For existence of a well-defined Hamiltonian variational principle taking into…
In this paper, we study the stability and convergence of some general quadratic semimartingales. Motivated by financial applications, we study simultaneously the semimartingale and its opposite. Their characterization and integrability…
We study the causal dynamics of an embedded null horizon foliated by marginally outer trapped surfaces (MOTS) for a locally rotationally symmetric background spacetime subjected to linear perturbations. We introduce a simple procedure which…
In this note we consider continuous-time systems x'(t) = A(t) x(t) + B(t) u(t), y(t) = C(t) x(t) + D(t) u(t), as well as discrete-time systems x(t+1) = A(t) x(t) + B(t) u(t), y(t) = C(t) x(t) + D(t) u(t) whose coefficient matrices A, B, C…
We study contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical frictionless markets and markets with transaction costs or…
In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then…
In the Bogomol'nyi limit of the Calogero-Sutherland collective-field model we find static-soliton solutions. The solutions of the equations of motion are moving solitons, having no static limit for $\l>1$. They describe holes and lumps,…
We further develop the approach to many-body systems based on finding conditions of existence of meromorphic solutions to certain linear partial differential and difference equations which serve as auxiliary linear problems for nonlinear…
Based on a criterium 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…
The nonlinear Schrodinger equation supports solitons -- self-interacting, localized states that behave as nearly independent objects. We exhibit solitons with self-induced nonreciprocal dynamics in a discrete nonlinear Schrodinger equation.…
We prove existence and uniqueness of strong solutions for a class of semilinear stochastic evolution equations driven by general Hilbert space-valued semimartingales, with drift equal to the sum of a linear maximal monotone operator in…
Discount is the difference between the face value of a bond and its present value. I propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath--Jarrow--Morton framework for forward rates. I…
In this paper, we consider a continuous-time Markov decision process (CTMDP) in Borel spaces, where the certainty equivalent with respect to the exponential utility of the total undiscounted cost is to be minimized. The cost rate is…
We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together with measurable selection arguments to establish both the…