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The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the…
A general primal-dual splitting algorithm for solving systems of structured coupled monotone inclusions in Hilbert spaces is introduced and its asymptotic behavior is analyzed. Each inclusion in the primal system features compositions with…
We consider an HJM model setting for Markov-chain modulated forward rates. The underlying Markov chain is assumed to induce regime switches on the forward curve dynamics. Our primary focus is on the interest rate and energy futures markets.…
We employ a port-Hamiltonian approach to model nonlinear rigid multibody systems subject to both position and velocity constraints. Our formulation accommodates Cartesian and redundant coordinates, respectively, and captures kinematic as…
We develop a "metrically selfdual" variational calculus for $c$-monotone vector fields between general manifolds $X$ and $Y$, where $c$ is a coupling on $X\times Y$. Remarkably, many of the key properties of classical monotone operators…
We define a product of algebraic probability spaces equipped with two states. This product is called a conditionally monotone product. This product is a new example of independence in non-commutative probability theory and unifies the…
In this article, the notion of bi-monotonic independence is introduced as an extension of monotonic independence to the two-faced framework for a family of pairs of algebras in a non-commutative space. The associated cumulants are defined…
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian stochastic factor drives both of them. Moreover, we model…
Brief review of the methods for solving the multicomponent nonlinear Schrodinger (MNLS) equations and analysis of their Hamiltonian structures is given. Main attention is paid to the MNLS related to the C.II- and D.III-types symmetric…
In this paper, we explore cooperative and competitive coupled obstacle systems, which, up to now, are new type obstacle systems and formed by coupling two equations belonging to classical obstacle problem. On one hand, applying the…
A new test of a wide class of interest rate models is proposed and applied to a recently developed quantum field theoretic model and the industry standard Heath-Jarrow-Morton model. This test is independent of the volatility function unlike…
We study infinite-horizon robust Markov decision processes (MDPs) on continuous state spaces with structured rectangular ambiguity set. The proposed ambiguity set falls within the convex hull of unknown generating kernels. We utilize the…
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and…
We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of It\^{o}'s lemma for the calculation of a…
Solitonic objects play a central role in gauge and string theory (as, e.g., monopoles, black holes, D-branes, etc.). Certain string backgrounds produce a noncommutative deformation of the low-energy effective field theory, which allows for…
We consider nonlinear elliptic systems satisfying componentwise coercivity condition. The nonlinear terms have controlled growths with respect to the solution and its gradient, while the behaviour in the independent variable is governed by…
We obtain sharp bounds for the monotonic rearrangement operator from "dyadic-type" classes to "continuous". In particular, for the $\mathrm{BMO}$ space and Muckenhoupt classes. The idea is to connect the problem with a simple geometric…
The notion of a firmly nonexpansive mapping is central in fixed point theory because of attractive convergence properties for iterates and the correspondence with maximal monotone operators due to Minty. In this paper, we systematically…
This article studies the solutions of time-dependent differential inclusions which is motivated by their utility in the modeling of certain physical systems. The differential inclusion is described by a time-dependent set-valued mapping…
This paper investigates first-order variable metric backward forward dynamical systems associated with monotone inclusion and convex minimization problems in real Hilbert space. The operators are chosen so that the backward-forward…