Related papers: On Positive Solutions of a Delay Equation Arising …
In this paper we are interested in the long time behaviour of the positive solutions of the mutation selection model with Neumann Boundary condition: $$ \frac{\partial…
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined. This would include at least any contingent claim written on a positive stock price whose payoff at…
We develop a switched predictor-feedback law, which achieves global asymptotic stabilization of linear systems with input delay and with the plant and actuator states available only in (almost) quantized form. The control design relies on a…
We reinvestigate the dynamical behavior of a first order scalar nonlinear delay differential equation with piecewise linearity and identify several interesting features in the nature of bifurcations and chaos associated with it as a…
The sustainability conditions for the market participants with a different ownership model were also determined. It was revealed, that the nonlinear form of the equations describing the market behavior with the prevailing private capital,…
This paper is a comprehensive study of a long observed phenomenon of increase in the stability margin and so the rate of convergence of a class of linear systems due to time delay. We use Lambert W function to determine (a) in what systems…
We investigate infinite games on finite graphs where the information flow is perturbed by nondeterministic signalling delays. It is known that such perturbations make synthesis problems virtually unsolvable, in the general case. On the…
A discrete-time stochastic LQ problem with multiplicative noises and state transmission delay is studied in this paper, which does not require any definiteness constraint on the cost weighting matrices. From some abstract representations of…
In this note, we analyze an abstract evolution equation with time-dependent time delay and time-dependent delay feedback coefficient. We assume that the operator corresponding to the nondelayed part of the model generates an exponentially…
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…
We derive tractable necessary and sufficient conditions for the absence of buy-and-hold arbitrage opportunities in a perfectly liquid, one period market. We formulate the positivity of Arrow-Debreu prices as a generalized moment problem to…
Simple form scalar differential equation with delay and nonlinear negative periodic feedback is considered. The existence of several types of slowly oscillating periodic solutions is shown with the same and double periods of the feedback…
The paper deals with a class of cooperative functional differential equations (FDEs) with infinite delay, for which sufficient conditions for persistence and permanence are established. Here, the persistence refers to all solutions with…
This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default…
Efficient computability is an important property of solution concepts in matching markets. We consider the computational complexity of finding and verifying various solution concepts in trading networks-multi-sided matching markets with…
The steady-state turnover of a trading strategy is of clear interest to practitioners and portfolio managers, as is the steady-state Sharpe ratio. In this article, we show that in a convenient Gaussian process model, the steady-state…
We examine a system of N=2 coupled non-linear delay-differential equations representing financial market dynamics. In such time delay systems, coupled oscillations have been derived. We linearize the system for small time delays and study…
Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work (2004) the…
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is…
This work is concerned with the study of a scalar delay differential equation \begin{equation*} z^{\prime\prime}(t)=h^2\,V(z(t-1)-z(t))+h\,z^\prime(t) \end{equation*} motivated by a simple car-following model on an unbounded straight line.…