相关论文: Existence and Uniqueness of Recursive Utility Mode…
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market. A non-Markovian environment with unbounded parameters is considered, which is more realistic in practical financial…
Recursive stochastic algorithms have gained significant attention in the recent past due to data driven applications. Examples include stochastic gradient descent for solving large-scale optimization problems and empirical dynamic…
In this paper we survey the history of, and recent developments on, two major conjectures originating in Zilber's model-theoretic work on complex exponentiation -- Existential Closedness and Zilber-Pink. The main focus is on the modular…
In this paper we study fundamental directional properties of sets under the assumption of condition (SSP) (introduced in a previous paper). We show several transversality theorems in the singular case and an (SSP)-structure preserving…
We study the finite-horizon continuous-time dynamic yield management problem with stationary arrival rates and two customer types. We consider a class of linear threshold policies proposed by Hodge (2008), in which each less-profitable…
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…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
The solution existence of finite horizon optimal economic growth problems is studied by invoking Filippov's Existence Theorem for optimal control problems with state constraints of the Bolza type from the monograph of L. Cesari…
Recent results, establishing evidence of intractability for such restrictive utility functions as additively separable, piecewise-linear and concave, under both Fisher and Arrow-Debreu market models, have prompted the question of whether we…
We study the solvability of boundary-value problems for differential-operator equations of the second order in L p (0, 1; X), with 1 < p < +$\infty$, X being a UMD complex Banach space. The originality of this work lies in the fact that we…
Different constructions in the recursion theory use the so-called priority arguments. A general scheme was suggested by A.~Lachlan. Based on his work, we define the notion of a priority-closed class of requirements. Then, for a specific…
We give a simpler proof of the a priori estimates obtained in the paper by Duran, Sanmartino and Toschi for solutions of elliptic problems in weighted Sobolev norms when the weights belong to the Muckenhoupt class $A_p$. The argument is a…
Reciprocal processes are acausal generalizations of Markov processes introduced by Bernstein in 1932. In the literature, a significant amount of attention has been focused on developing dynamical models for reciprocal processes. In this…
It is quite well-known from Kurt Godel's (1931) ground-breaking result on the Incompleteness Theorem that rudimentary relations (i.e., those definable by bounded formulae) are primitive recursive, and that primitive recursive functions are…
We derive closed-form solutions to the optimal stopping problems related to the pricing of perpetual American standard and lookback put and call options in the extensions of the Black-Merton-Scholes model with progressively enlarged…
A breakthrough result of B\'ar\'any, Hochman and Rapaport published in 2019 established that every self-affine measure on $\mathbb{R}^2$ satisfying certain mild non-degeneracy conditions has Hausdorff dimension equal to its Lyapunov…
The aim of our paper is to formulate and solve problems concerning multitime multiple recurrence equations. We discuss in detail the generic properties and the existence and uniqueness of solutions. Among the general things, we discuss in…
The purpose of the paper is to rectify a series of errors occurred in [2], [17], [20] for a particular situation. To get a fruitful solution and to overcome the issue, we introduce a new form of set sharing namely restricted set sharing,…
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…
Let $\succsim$ be a binary relation on the set of simple lotteries over a countable outcome set $Z$. We provide necessary and sufficient conditions on $\succsim$ to guarantee the existence of a set $U$ of von Neumann--Morgenstern utility…