相关论文: A duality approach to a price formation MFG model

We study the mean field games equations, consisting of the coupled Kolmogorov-Fokker-Planck and Hamilton-Jacobi-Bellman equations. The equations are complemented by initial and terminal conditions. It is shown that with some specific choice…

The geometric approach to financial markets with proportional transaction cost prescribes to imbed a specific model (of stock market, of currency market etc.), usually given in a parametric form, into a natural framework defined by the two…

This article studies linear-quadratic Stackelberg games between two dominating players (or equivalently, leaders) and a large group of followers, each of whom interacts under a mean field game (MFG) framework. Unlike the conventional…

We consider a class of mean field games in which the agents interact through both their states and controls, and we focus on situations in which a generic agent tries to adjust her speed (control) to an average speed (the average is made in…

The proposed coordinate/field duality [Phys. Rev. Lett. 78 (1997) 163] is applied to the gauge and matter sectors of gauge theories. In the non-Abelian case, due to indices originated from the internal space, the dual coordinates appear to…

We show how the well-known classical field equations as Einstein and Yang-Mills ones, which arise as the conformal invariance conditions of certain two-dimensional theories, expanded up to the second order in the formal parameter, can be…

We investigate duality properties of N-form fields, provide a symmetric way of coupling them to electric/magnetic sources, and check that these charges obey the appropriate quantization requirements. First, we contrast the D=4k case, in…

We propose a mean field (MF) theory for a homogeneously driven granular gas of inelastic particles with Coulomb friction. The model contains three parameters, a normal restitution coefficient $r_n$, a maximum tangential restitution…

We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…

Game-theoretic probability uses the structure of gambles to define a concept like probability, but which is more flexible and robust. We show that results in game-theoretic probability can be thought of as minimax theorems for specific…

We solve the nonequilibrium dynamical mean-field theory (DMFT) using matrix product states (MPS). This allows us to treat much larger bath sizes and by that reach substantially longer times (factor $\sim$ 2 -- 3) than with exact…

We investigate the metric dependence of the partition function of the self-dual p-form gauge field on an arbitrary Riemannian manifold. Using geometric quantization of the space of middle-dimensional forms, we derive a projectively flat…

The interplay among the possible variation of gauge coupling and the inflationary dynamics is investigated in a simplified toy model. Depending upon various parameters (scalar mass, curvature scale at the end of inflation and at the onset…

We review the recently constructed `double field theory' which introduces in addition to the conventional coordinates associated to momentum modes coordinates associated to winding modes. Thereby, T-duality becomes a global symmetry of the…

The surface charges associated with $p$-form gauge fields in the Bondi patch of $D$-dimensional Minkowski spacetime are computed. We show that, under the Hodge duality between the field strengths of the dual formulations, electric-like…

Starting from lagrangian field theory and the variational principle, we show that duality in equations of motion can also be obtained by introducing explicit spacetime dependence of the lagrangian. Poincare invariance is achieved precisely…

We investigate the effects of the presence of conserved charges on the momentum-space entanglement of Quantum Field Theories (QFTs). We show that if a given model has superselection sectors, then it allows for different notions of momentum…

A boundary value problem is commonly associated with constraints imposed on a system at its boundary. We advance here an alternative point of view treating the system as interacting "boundary" and "interior" subsystems. This view is…

In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in the terms of rapidly converging double-series and apply these…

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.…