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Structural results impose sufficient conditions on the model parameters of a Markov decision process (MDP) so that the optimal policy is an increasing function of the underlying state. The classical assumptions for MDP structural results…
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No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models restrict the behavior of the market price of…
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We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at the required limit price, the unmatched…
The WDVV equations of associativity in 2-d topological field theory are completely integrable third order Monge-Amp\`ere equations which admit bi-Hamiltonian structure. The time variable plays a distinguished role in the discussion of…
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European call options, varying the maturing time and the strike price…
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We provide in a unified way quantitative forms of strong convergence results for numerous iterative procedures which satisfy a general type of Fejer monotonicity where the convergence uses the compactness of the underlying set. These…
We study invariance and monotonicity properties of Kunita-type stochastic differential equations in $\RR^d$ with delay. Our first result provides sufficient conditions for the invariance of closed subsets of $\RR^d$. Then we present a…
We consider a Nicholson's equation with multiple pairs of time-varying delays and nonlinear terms given by mixed monotone functions. Sufficient conditions for the permanence, local stability and global attractivity of its positive…
The aim of this survey is to present the main important techniques and tools from variational analysis used for first and second order dynamical systems of implicit type for solving monotone inclusions and non-smooth optimization problems.…
In this paper, we are concerned with the weighted elliptic system \begin{equation*} \begin{cases} -\Delta u=|x|^{\beta} v^{\vartheta},\\ -\Delta v=|x|^{\alpha} |u|^{p-1}u, \end{cases}\quad \mbox{in}\;\ \Omega, \end{equation*}where $\Omega$…
As a consequence of the financial crises, risk management became more important and real-world dynamics of interest-rate models moved into the focus of interest. Since risk-neutral dynamics are classically important to compute prices of…
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the…
In this work we deal with the stochastic homogenization of the initial boundary value problems of monotone type. The models of monotone type under consideration describe the deformation behaviour of inelastic materials with a microstructure…