Related papers: On Positive Solutions of a Delay Equation Arising …
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…
In a recent paper D. D. Hai showed that the equation $ -\Delta_{p} u = \lambda f(u) \mbox{in} \Omega$, under Dirichlet boundary condition, where $\Omega \subset {\bf R^N}$ is a bounded domain with smooth boundary $\partial\Omega$,…
We study the optimal dividend problem in the dual model where dividend payments can only be made at the jump times of an independent Poisson process. In this context, Avanzi et al. [5] solved the case with i.i.d. hyperexponential jumps;…
In a money exchange process involving a seller and a buyer, we develop a straightforward model encompassing conservative, non-conservative, and systems with or without debt. Our model integrates the Fermi function to capture the behavior of…
A class of periodic differential $n$-dimensional systems with patch structure with (possibly infinite) delay and nonlinear impulses is considered. These systems incorporate very general nonlinearities and impulses whose signs may vary.…
We consider two identical oscillators with weak, time delayed coupling. We start with a general system of delay differential equations then reduce it to a phase model. With the assumption of large time delay, the resulting phase model has…
We develop a predictor-feedback control design for a class of linear systems with state-dependent switching. The main ingredient of our design is a novel construction of an exact predictor state. Such a construction is possible as for a…
The existence of a positive solution to a class of Choquard equations with potential going at a positive limit at infinity possibly from above or oscillating is proved. Our results include the physical case and do not require any symmetry…
In this paper, we consider the asymptotic stability for a system of linear delay differential equations. By analysing of the characteristic equation in detail, we have established the necessary and sufficient condition for the asymptotic…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
Stability analysis is performed for a linear differential equation with two delays. Geometric arguments show that when the two delays are rationally dependent, then the region of stability increases. When the ratio has the form 1/n, this…
We study the analyticity of bounded solutions of systems of analytic state-dependent delay differential equations. We obtain the analyticity of solutions by transforming the system of state-dependent delay equations into an abstract…
We consider financial networks, where banks are connected by contracts such as debts or credit default swaps. We study the clearing problem in these systems: we want to know which banks end up in a default, and what portion of their…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
We provide sufficient criteria for the oscillation of all solutions of neutral delay differential equations of the form \[ \left[x(t) - \sum_{i=1}^{N_r}R_i(t)x(t - r_i(t)) \right]' + \sum_{i=1}^{N_p}P_i(t)x(t - \tau_i(t)) -…
We develop a dynamic model of cascading failures in a financial network whereby cross-holdings are viewed as feedback, external assets investments as inputs and failure penalties as static nonlinearities. We provide sufficient milder and…
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio depends on market characteristics, which…
We develop an input delay-compensating feedback law for linear switched systems with time-dependent switching. Because the future values of the switching signal, which are needed for constructing an exact predictor-feedback law, may be…