Related papers: Market Viability and Completeness for Multinomial …

This paper focuses on martingale optimal transport problems when the martingales are assumed to have bounded quadratic variation. First, we give a result that characterizes the existence of a probability measure satisfying some convex…

We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by…

Joint models are well suited to modelling linked data from laboratories and health registers. However, there are few examples of joint models that allow for (a) multiple markers, (b) multiple survival outcomes (including terminal events,…

This paper introduces a dual problem to study a continuous-time consumption and investment problem with incomplete markets and stochastic differential utility. For Epstein-Zin utility, duality between the primal and dual problems is…

This note contains a short discussion on the sufficiency of finite optimality in martingale transport. It is shown that finitely minimal martingale measures are solutions of the martingale transport problem when the cost function is upper…

This paper proposes a Real-Time Market (RTM) platform for an aggregator and its corresponding prosumers to participate in the electricity wholesale market. The proposed energy market platform is modeled as a bilevel optimization problem…

We present a possible kind of generalization of the notion of ordered pairs of cyclic maps and coupled fixed points and its application in modelling of equilibrium in oligopoly markets. We have obtained sufficient conditions for the…

The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…

We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.

We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a…

We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…

We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing…

In this paper, we present a quantum version of some portions of Mathematical Finance, including theory of arbitrage, asset pricing, and optional decomposition in financial markets based on finite dimensional quantum probability spaces. As…

This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well-known duality frameworks from…

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…

We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…

In this paper, we study a class of finite-time control problems for discrete-time positive linear systems with time-varying state parameters. Although several interesting control problems appearing in population biology, economics, and…

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…

Combining models in appropriate ways to achieve high performance is commonly seen in machine learning fields today. Although a large amount of combinatorial models have been created, little attention is drawn to the commons in different…

We study contingent claims in a discrete-time market model where trading costs are given by convex functions and portfolios are constrained by convex sets. In addition to classical frictionless markets and markets with transaction costs or…