相关论文: Limits of Semistatic Trading Strategies

The paper develops no arbitrage results for trajectory based models by imposing general constraints on the trading portfolios. The main condition imposed, in order to avoid arbitrage opportunities, is a local continuity requirement on the…

We consider an initial-boundary value problem for a 2D time-dependent Schr\"odinger equation on a semi-infinite strip. For the Numerov-Crank-Nicolson finite-difference scheme with discrete transparent boundary conditions, the Strang-type…

We consider the stationary solutions for a class of Schroedinger equations with a symmetric double-well potential and a nonlinear perturbation. Here, in the semiclassical limit we prove that the reduction to a finite-mode approximation give…

We consider perturbations of quasi-periodic Schr\"odinger operators on the integer lattice with analytic sampling functions by decaying potentials and seek decay conditions under which various spectral properties are preserved. In the…

Consider a linear autonomous Hamiltonian system with a time periodic bound state solution. In this paper we study the structural instability of this bound state ^M relative to time almost periodic perturbations which are small, localized…

We give a survey of some results, mainly obtained by the authors and their collaborators, on spectral properties of the magnetic Schr\"odinger operators in the semiclassical limit. We focus our discussion on asymptotic behavior of the…

Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…

The purpose of the present work is to expand substantially the type of control and estimation problems that can be addressed following the paradigm of Schr\"odinger bridges, by incorporating termination (killing) of stochastic flows.…

We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in continuous time. Both order book depth and resilience are allowed to evolve randomly in time.…

We consider the pricing of derivatives in a setting with trading restrictions, but without any probabilistic assumptions on the underlying model, in discrete and continuous time. In particular, we assume that European put or call options…

We consider an initial-boundary value problem for a generalized 2D time-dependent Schrodinger equation (with variable coefficients) on a semi-infinite strip. For the Crank-Nicolson-type finite-difference scheme with approximate or discrete…

We investigate the quadratic Schr\"odinger bridge problem, a.k.a. Entropic Optimal Transport problem, and obtain weak semiconvexity and semiconcavity bounds on Schr\"odinger potentials under mild assumptions on the marginals that are…

This research attempts to model the stochastic process of trades in a limit order book market as a marked point process. We propose a semi-parametric model for the conditional distribution given the past, attempting to capture the effect of…

A variety of physically relevant bilinear Schr\"odinger equations are known to be approximately controllable in large times. There are however examples which are approximately controllable in large times, but not in small times. This…

This article is devoted to the spectral analysis of the electro-magnetic Schr\"odinger operator on the Euclidean plane. In the semiclassical limit, we derive a pseudo-differential effective operator that allows us to describe the spectrum…

We study two seminal approaches, developed by B. Simon and J. Kisy\'nski, to the well-posedness of the Schr\"odinger equation with a time-dependent Hamiltonian. In both cases the Hamiltonian is assumed to be semibounded from below and to…

In \cite{LPP:2025}, it was shown that, in arbitrary dimension, the spatial semi-discretization of a controlled stochastic parabolic operator is generically not null-controllable. Nevertheless, $\phi$-null controllability results remain…

In this paper, we study infinite dimensional stochastic systems having both unbounded control and observation operators. First of all, using a semigroup approach, we give another take of the well-posedness of such systems treated in [SIAM…

We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal…

This article is devoted to the construction of numerical methods which remain insensitive to the smallness of the semiclassical parameter for the linear Schr{\"o}dinger equation in the semiclassical limit. We specifically analyse the…