相关论文: On a Boltzmann type price formation model
To ensure that large language model (LLM) responses are helpful and non-toxic, a reward model trained on human preference data is usually used. LLM responses with high rewards are then selected through best-of-$n$ (BoN) sampling or the LLM…
This article is concerned with a system of semilinear parabolic equations with two free boundaries describing the spreading fronts of the invasive species in a mutualistic ecological model. The local existence and uniqueness of a classical…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…
A new lattice Boltzmann model for reactive ideal gas mixtures is presented. The model is an extension to reactive flows of the recently proposed multi-component lattice Boltzmann model for compressible ideal gas mixtures with Stefan-Maxwell…
We propose a model for the liquid-liquid phase transition observed in osmotic pressure measurements of certain charged lamellae-forming amphiphiles. The model free energy combines mean-field electrostatic and phenomenological…
In a seminal paper Ginzburg and Adler analyzed the bounce-back boundary conditions for the lattice Boltzmann scheme and showed that it could be made exact to second order for the Poiseuille flow if some expressions depending upon the…
This paper studies the long-term behaviour of a continuous time Markov chain formed by two non-negative integer valued components that evolve subject to a competitive interaction. In the absence of interaction the Markov chain is just a…
We establish several closed pricing formula for various path-independent payoffs, under an exponential L\'evy model driven by the Variance Gamma process. These formulas take the form of quickly convergent series and are obtained via tools…
We propose a machine learning method to solve a mean-field game price formation model with common noise. This involves determining the price of a commodity traded among rational agents subject to a market clearing condition imposed by…
We study a mathematical model motivated by the support/resistance line method in technical analysis where the underlying stock price transitions between three states of nature in a path-dependent manner. For optimal stopping problems with…
Refining a discrete model of Cheuk and Vorst we obtain a closed formula for the price of a European lookback option at any time between emission and maturity. We derive an asymptotic expansion of the price as the number of periods tends to…
We present a free energy lattice Boltzmann model capable of simulating fluid systems with an arbitrary number of immiscible components in principle. Our method is strictly reduction consistent, ensuring that absent fluid components do not…
The problem of European-style option pricing in time-changed L\'{e}vy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits. As the…
In this paper we obtain natural boundary conditions for a large class of variational problems with free boundary values. In comparison with the already existing examples, our framework displays complete freedom concerning the topology of…
A novel lattice Boltzmann (LB) model for multiphase flows is developed that complies with the thermodynamic foundations of kinetic theory. By directly devising the collision term for LB equation at the discrete level, a self-tuning equation…
The lattice Boltzmann (LB) method is used to study the kinetics of domain growth of a binary fluid in a number of geometries modeling porous media. Unlike the traditional methods which solve the Cahn-Hilliard equation, the LB method…
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [25]. To this scope, we extend the…
We study steady Boltzmann equation in half-space, which arises in the Knudsen boundary layer problem, with diffusive reflection boundary conditions. Under certain admissible conditions and the source term decaying exponentially, we…
Inflationary solutions are constructed in a specific five-dimensional model with boundaries motivated by heterotic M-theory. We concentrate on the case where the vacuum energy is provided by potentials on those boundaries. It is pointed out…
We study convexity and monotonicity properties of option prices in a model with jumps using the fact that these prices satisfy certain parabolic integro-differential equations. Conditions are provided under which preservation of convexity…