Related papers: Measure-valued processes for energy markets
Monitoring of industrial processes is a critical capability in industry and in government to ensure reliability of production cycles, quick emergency response, and national security. Process monitoring allows users to gauge the progress of…
Up to now, the nonparametric analysis of multidimensional continuous-time Markov processes has focussed strongly on specific model choices, mostly related to symmetry of the semigroup. While this approach allows to study the performance of…
Diffusion models offer stable training and state-of-the-art performance for deep generative modeling tasks. Here, we consider their use in the context of multivariate subsurface modeling and probabilistic inversion. We first demonstrate…
We consider a market with a term structure of credit risky bonds in the single-name case. We aim at minimal assumptions extending existing results in this direction: first, the random field of forward rates is driven by a general…
We adopt the interpretability offered by a parametric, Hawkes-process-inspired conditional probability mass function for the marks and apply variational inference techniques to derive a general and scalable inferential framework for marked…
We present a fully nonparametric method to estimate the value function, via simulation, in the context of expected infinite-horizon discounted rewards for Markov chains. Estimating such value functions plays an important role in approximate…
A non-isothermal phase field model that captures both displacive and diffusive phase transformations in a unified framework is presented. The model is developed in a formal thermodynamic setting, which provides guidance on admissible…
We investigate a linear diffusion equation incorporating historical effects, characterised by a finite non-negative Borel measure on \((0, \mathfrak T]\). This approach accommodates both distributed memory and discrete delays within a…
We introduce the concept of stochastic measure-valued solutions to the complete Euler system describing the motion of a compressible inviscid fluid subject to stochastic forcing, where the nonlinear terms are described by defect measures.…
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Levy factors is considered. The setting includes rating migrations driven by a Markov…
The added value of machine learning for weather and climate applications is measurable through performance metrics, but explaining it remains challenging, particularly for large deep learning models. Inspired by climate model hierarchies,…
The problem of demand inversion - a crucial step in the estimation of random utility discrete-choice models - is equivalent to the determination of stable outcomes in two-sided matching models. This equivalence applies to random utility…
Existence of solutions to the Heath-Jarrow-Morton equation of the bond market with linear volatility and general L\'evy random factor is studied. Conditions for existence and non-existence of solutions in the class of bounded fields are…
We propose a novel measure valued process which models the behaviour of chemical reaction networks in spatially heterogeneous systems. It models reaction dynamics between different molecular species and continuous movement of molecules in…
As an extension of the theory of Dyson's Brownian motion models for the standard Gaussian random-matrix ensembles, we report a systematic study of hermitian matrix-valued processes and their eigenvalue processes associated with the chiral…
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…
We present a dynamic model for forward curves within the Heath-Jarrow-Morton framework under the Musiela parametrization. The forward curves take values in a function space H, and their dynamics follows a stochastic partial differential…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…
The paper studies the Heath-Jarrow-Morton-Musiela equation of the bond market. The equation is analyzed in weighted spaces of functions defined on $[0,+\infty)$. Sufficient conditions for local and global existence are obtained . For…