相关论文: Extension theorems for linear operators on $L_\inf…

Nonlinear observer design for systems whose state space evolves on Lie groups is considered. The proposed method is similar to previously developed nonlinear observers in that it involves propagating the state estimate using a process model…

This paper studies a limit order book (LOB) model, in which the order dynamics depend on both, the current best available prices and the current volume density functions. For the joint dynamics of the best bid price, the best ask price, and…

Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…

We formulate nonequilibrium thermodynamics in which intensive variables acquire operational meaning through measurement protocols consistent with local reciprocity. Using physical equilibrium as a reference, conjugate observables are…

We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…

Lax extensions of set functors play a key role in various areas including topology, concurrent systems, and modal logic, while predicate liftings provide a generic semantics of modal operators. We take a fresh look at the connection between…

We study the problem of extension and lifting of operators belonging to certain operator ideals, as well as that of their associated polynomials and holomorphic functions. Our results provide a characterization of $\mathcal{L}_1$ and…

We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of…

In recent years, there is growing need and interest in formalizing and reasoning about the quality of software and hardware systems. As opposed to traditional verification, where one handles the question of whether a system satisfies, or…

We consider the number of linear extensions of an N-free order P. We give upper and lower bounds on this number in terms of parameters of the corresponding arc diagram. We propose a dynamic programming algorithm to calculate the number. The…

We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model uncertainty specification via adapted closed convex…

With the proliferation of algorithmic high-frequency trading in financial markets, the Limit Order Book has generated increased research interest. Research is still at an early stage and there is much we do not understand about the dynamics…

We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…

The Ruelle operator theorem has been studied extensively both in dynamical systems and iterated function systems. In this paper we study the Ruelle operator theorem for nonexpansive systems. Our theorems give some sufficient conditions for…

In this paper, we obtain an optimal $L^2$ extension theorem for continuous $L^2$-optimal Hermitian metric on bounded planer domains. As applications, we affirmatively answer a question of Deng-Ning-Wang and a question of Inayama.

We study the Proportional Response dynamic in exchange economies, where each player starts with some amount of money and a good. Every day, the players bring one unit of their good and submit bids on goods they like, each good gets…

We consider the robust utility maximization using a static holding in derivatives and a dynamic holding in the stock. There is no fixed model for the price of the stock but we consider a set of probability measures (models) which are not…

Some expansion methods have been proposed for approximately pricing options which has no exact closed formula. Benhamou et al. (2010) presents the smart expansion method that directly expands the expectation value of payoff function with…

We show that the lack of arbitrage in a model with both fixed and proportional transaction costs is equivalent to the existence of a family of absolutely continuous single-step probability measures, together with an adapted process with…

We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently…