Zobrazeno 1 - 10
of 642
pro vyhledávání: '"45d05"'
This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our framework can accommodate running MV objectives with general (non-expo
Externí odkaz:
http://arxiv.org/abs/2412.18498
Autor:
Pace, Tristan, Zitkovic, Gordan
We consider a sequence of Hawkes processes whose excitation measures may depend on the generation, and study its scaling limits in the near-unstable limiting regime. The limiting random measures, characterized via a nonlinear convolutional equation,
Externí odkaz:
http://arxiv.org/abs/2412.15999
Autor:
Xu, Wei
This paper is devoted to establishing the full scaling limit theorems for multivariate Hawkes processes. Under some mild conditions on the exciting kernels, we develop a new way to prove that after a suitable time-spatial scaling, the asymptotically
Externí odkaz:
http://arxiv.org/abs/2412.14459
Many paintings from the 19th century have exhibited signs of fading and discoloration, often linked to cadmium yellow, a pigment widely used by artists during that time. In this work, we develop a mathematical model of the cadmium sulfide photocataly
Externí odkaz:
http://arxiv.org/abs/2411.06997
This paper introduces algebraic structures for Volterra integral operators with separable kernels, in the style of differential algebra for derivations and Rota-Baxter algebra for operators with kernels dependent solely on a dummy variable. We demons
Externí odkaz:
http://arxiv.org/abs/2411.02633
Autor:
Briozzo, Adriana C.
We consider a one-dimensional free boundary problem governed by a nonlinear diffusion - convection equation with a Neumann condition at fixed face $x=0$, which is variable in time and a like Stefan convective condition on the free boundary. Through s
Externí odkaz:
http://arxiv.org/abs/2410.03564
Autor:
Ando', Alessia, Vermiglio, Rossana
Exponential Runge-Kutta methods for semilinear ordinary differential equations can be extended to abstract differential equations, defined on Banach spaces. Thanks to the sun-star theory, both delay differential equations and renewal equations can be
Externí odkaz:
http://arxiv.org/abs/2410.00498
Autor:
Mata, Dante, Renaud, Jean-François
We consider de Finetti's stochastic control problem for a spectrally negative L\'evy process in an Omega model. In such a model, the (controlled) process is allowed to spend time under the critical level but is then subject to a level-dependent inten
Externí odkaz:
http://arxiv.org/abs/2409.13849
In this work, we investigate the generalized bathtub model, a nonlocal transport equation for describing network trip flows served by privately operated vehicles inside a road network. First, we establish the well-posedness of the mathematical model
Externí odkaz:
http://arxiv.org/abs/2409.00619
Autor:
Candon, Michael, Balajewicz, Maciej, Delgado-Gutierrez, Arturo, Marzocca, Pier, Dowell, Earl H.
Nonlinear aeroelastic reduced-order models (ROMs) based on machine learning or artificial intelligence algorithms can be complex and computationally demanding to train, meaning that for practical aeroelastic applications, the conservative nature of l
Externí odkaz:
http://arxiv.org/abs/2408.16941