相关论文: Extension theorems for linear operators on $L_\inf…
Explicit representations of densities for linear parabolic partial differential equations are useful in order to design computation schemes of high accuracy for a considerable class of diffusion models. Approximations of lower order based…
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…
We study a novel pricing operator for complete, local martingale models. The new pricing operator guarantees put-call parity to hold for model prices and the value of a forward contract to match the buy-and-hold strategy, even if the…
In continuous-time portfolio selection for non-concave utility functions, the martingale duality approach is widely adopted in complete markets, while the dynamic programming approach may sometimes lead to singular solutions of the…
A recent line of research has established a novel desideratum for designing approximately-revenue-optimal multi-item mechanisms, namely the buy-many constraint. Under this constraint, prices for different allocations made by the mechanism…
We consider $\ell^r$ extensions of Calderon-Zygmund operators on weighted spaces $L^p(w)$ with $w$ an $A_p$ weight and $1 < p < \infty$. We give quantitative estimates of these operators' norm in terms of a given weight's $A_p$…
Utilizing our recent proximal-average based results on the constructive extension of monotone operators, we provide a novel approach to the celebrated Kirszbraun-Valentine Theorem and to the extension of firmly nonexpansive mappings.
We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for static hedging (\emph{hedging options}) are quoted with…
Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitment (UC) problem in electricity markets, where costly…
We develop a unified theory of augmented Lagrangians for nonconvex optimization problems that encompasses both duality theory and convergence analysis of primal-dual augmented Lagrangian methods in the infinite dimensional setting. Our goal…
The method of the large mass expansion (LME) is investigated for selfenergy and vertex functions in two-loop order. It has the technical advantage that in many cases the expansion coefficients can be expressed analytically. As long as only…
This paper presents an axiomatic scheme for interest rate models in discrete time. We take a pricing kernel approach, which builds in the arbitrage-free property and provides a link to equilibrium economics. We require that the pricing…
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset of risk-neutral pricing measures such that not only…
We study monotone extension problems in the general framework of dual systems, without assuming separation. The paper develops a compact target-set formulation that includes multivalued operators as a special case and allows the initial set…
Recently, the volatility associated with marginal prices has increased due to large scale integration of renewable generation. Price volatility is undesirable from a consumer perspective. To address this issue, we present a framework for…
This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements:…
We introduce "logically contractive mappings" nonexpansive self-maps that contract along a subsequence of iterates and prove a fixed-point theorem that extends Banach's principle. We obtain event-indexed convergence rates and, under bounded…
We study higher-order elliptic operators on one-dimensional ramified structures (networks). We introduce a general variational framework for fourth-order operators that allows us to study features of both hyperbolic and parabolic equations…
In this note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselves to the num\'eraire-based model and work with utility…
We determine, for the first time, the scaling dimensions of a family of fixed-charge operators stemming from the critical $O(N)$ model in 4-$\epsilon$ dimensions to the leading and next to leading order terms in the charge expansion but to…