?
Robust Portfolio Optimization in an Illiquid Market in Discrete-Time
Mathematics. 2019. Vol. 7. No. 12. P. 1147.
Andreev N. A.
We present a robust dynamic programming approach to the general portfolio selection problem in the presence of transaction costs and trading limits. We formulate the problem as a dynamic infinite game against nature and obtain the corresponding Bellman-Isaacs equation. Under~several additional assumptions, we get an alternative form of the equation, which is more feasible for a numerical solution. The framework covers a wide range of control problems, such as the estimation of the portfolio liquidation value, or portfolio selection in an adverse market. The~results can be used in the presence of model errors, non-linear transaction costs and a price impact.
Language:
English
Дильмухаметова Алия Мидхатовна, Напалков В. В., «Doklady Mathematics» 2012 Т. 443 № 3 С. 293–295
В данной работе введены обобщенные частные производные, изучены дифференциальные уравнения в обобщенных частных производных с постоянными коэффициентами и доказан фундаментальный принцип Эйлера для таких уравнений. Устанавливлена связь с классом уравнений в обычных частных производных с переменными коэффициентами. ...
Added: September 21, 2026
Springer, Cham, 2025.
Added: September 21, 2026
Aleksei Samarin, Alexander Savelev, Aleksei Toropov et al., Journal of Imaging 2025 Vol. 11 No. 6 P. 1–20
This study presents a unified low-parameter approach to multi-class classification of microorganisms (micrococci, diplococci, streptococci, and bacilli) based on automated machine learning. The method is designed to produce interpretable taxonomic descriptors through analysis of the external geometric characteristics of microorganisms, including cell shape, colony organization, and dynamic behavior in unfixed microscopic scenes. A key advantage ...
Added: September 21, 2026
Gazman V. D., Финансы и бизнес 2026 № 2 С. 78–88
В статье рассмотрены позиции авторов в ходе дискуссии по теории и практике определения средней приведенной стоимости производства электроэнергии (Levelized Cost of Electricity, далее — LCOE) и усредненной стоимости хранения электроэнергии (Levelized Cost of Storage, далее — LCOS). Предлагается изменить сложившиеся подходы к формированию затрат при проведении сравнительного анализа между угольной генерацией и ветряной энергией и ...
Added: September 21, 2026
Warong M. M., Prostranstvennaya ekonomika 2026 Vol. 22 No. 2 P. 86–105
Achieving a global energy transition requires multidimensional policy designs, but the universal approach to international benchmarking often fails in emerging nations with diverse institutional trajectories and a heavy reliance on fossil fuels. This study systematically assesses the long-run macroeconomic performance of integrated energy policy portfolios – market-based, non-market-based, and technology support – in the expanded ...
Added: September 20, 2026
Medvedev V., Annals of Global Analysis and Geometry 2026 Vol. 70 No. 2 P. 8–23
This paper studies three-dimensional compact static manifolds with boundary and positive scalar curvature. We prove that, under a suitable bound on the Ricci curvature, the orientable quotient of the Nariai static manifold with boundary is the only such manifold with connected boundary, provided that the zero-level set of the potential is connected and does not intersect ...
Added: September 19, 2026
Aleksei Samarin, Alexander Savelev, Aleksei Toropov et al., Pattern Recognition and Image Analysis 2026 Vol. 36 No. 2 P. 323–334
In this paper, an improved approach for automatic wildlife detection in natural environments based on the integration of a neural network architecture with a two-stream attention mechanism and a novel preclassification step based on infrared data has been presented. The proposed method addresses one of the key challenges in environmental monitoring: the need for scalable ...
Added: September 19, 2026
Aleksei Samarin, Nazarenko A., Kotenko E. et al., Proceedings of the ACM on Management of Data, USA 2026 Vol. 4 No. 1 P. 1–28
Modern knowledge and large volumes of data are increasingly encoded within neural networks, making the task of simplifying their structures and reducing the number of parameters especially relevant, both to improve efficiency and to facilitate deployment in resource-constrained environments. This paper presents a novel approach to neural network compression that addresses redundancy at both the ...
Added: September 19, 2026
Aleksei Samarin, Alexander Savelev, Aleksei Toropov et al., Pattern Recognition and Image Analysis 2025 Vol. 35 No. 2 P. 148–158
This paper describes our research on creating classifiers for microbial images (micrococci microscopy images) obtained from pictures of unfixed microscopic scenes. In our work, we propose an AutoML approach based on the automatic generation and analysis of the feature space for constructing the most optimal descriptors of microorganism images for subsequent classification. This makes it ...
Added: September 19, 2026
Aleksei Samarin, Alexander Savelev, Aleksei Toropov et al., Pattern Recognition and Image Analysis 2026 Vol. 36 No. 2 P. 302–312
The lack of annotated microscopic datasets remains a major obstacle to training robust deep learning models for microbial classification. In this paper, a novel data augmentation pipeline that uses visual–linguistic large-scale models to generate synthetic microscopic images of six different bacterial and nonbacterial classes has been proposed. Synthetic samples have gradually been added to the ...
Added: September 19, 2026
Springer, Cham, 2026.
computer vision ...
Added: September 19, 2026
Springer, Cham, 2026.
Added: September 19, 2026
FRUCT Oy, 2024.
Added: September 19, 2026
FRUCT Oy, 2024.
Added: September 19, 2026
FRUCT Oy, 2025.
Added: September 19, 2026
FRUCT Oy, 2026.
Added: September 19, 2026
Kuzyutin D., Smirnova N., Veselkov A., Bulletin of the South Ural State University, Series: Mathematical Modelling, Programming and Computer Software 2026 Vol. 19 No. 3 P. 40–49
We consider spatial dynamic fishery management problem taking into account the resource migration process between an open-access fishing area and no-take marine protected area. The introduced extension of a standard single-criterion fish war game implies that each player aims to maximize simultaneously two performance criteria which present an economic benefit and an environmental conservation goal ...
Added: September 18, 2026
Poddiakov A., / Series Social Science Research Network "Social Science Research Network". 2026. No. 7437658.
Clarity of knowledge and reasoning is necessary in many cases. Yet vagueness in scientific thinking related to surprise, curiosity, "ability to engage with not-knowing" (de Freitas) and abductive reasoning is also a crucially important source of scientific creativity which supplements combinatorial logic when dealing with the already known. Starting from studies by C. S. Peirce ...
Added: September 15, 2026
Glutsyuk A., / Series arXiv "math". 2026.
B.Josephson (Nobel Prize, 1973) predicted a tunnelling effect for a system of two superconductors separated by a narrow dielectric (such a system is called Josephson junction): existence of a supercurrent through it and equations governing it. The overdamped Josephson junction is modeled by the family of differential equations on the 2-torus, dθdτ=1ω(cosθ+B+Acosτ), which is known as ...
Added: September 8, 2026
Pochinka O., Shmukler V., / Series math.RT "arXiv:1808.06395 [math.RT]". 2026.
Anosov flows have a long and rich history, firstly motivated by the
study of geodesic flows in negative curvature surface by Anosov and Sinai.
Not every closed manifold admits an Anosov flow for well-known reasons:
the fundamental group of a 3-manifold M admitting an Anosov flow must
have exponential growth, and M must be universally covered by R3. Nevertheless,
there ...
Added: August 31, 2026
Belomestny D., Gasnikov A., Gladin E. et al., Russian Mathematical Surveys 2026 Vol. 81 No. 4(490) P. 3–90
Reinforcement learning (RL) is increasingly grounded in tools from probability, optimization, and operator theory. This survey organizes the mathematical structures that underpin the design and analysis of modern algorithms in RL. We begin from Markov decision processes (MDPs) and the Bellman operators, emphasizing contraction mappings, monotonicity, and fixed-point theory that yield convergence guarantees and rates ...
Added: August 3, 2026
Zhuravleva T., Afanasev K., Engelmann J. et al., / Series "SSRN Working Paper Series". 2026.
Extortionary ("harassment") bribery can persist even when widely condemned, consistent with a coordination problem sustained by beliefs about what others do and what others consider acceptable. We study whether a minimal institutional featurethe presence of a third-party monitor empowered to punish-shifts (i) normative expectations about extortion and compliance and (ii) empirical expectations about their prevalence. ...
Added: July 22, 2026
Loubenets E. R., / Series arxiv.org "quant-ph". 2026. No. 2607.18050.
In many quantum applications it is important to know whether or not a Bell nonlocal two-qudit state exhibits its nonlocality under correlation scenarios with some given numbers S1,S2≥1 of generalized quantum measurements at two sites. In the present article, we find analytically a new general locality condition sufficient for a nonseparable Werner state with a ...
Added: July 21, 2026
Bolbachan V., / Series math "arxiv.org". 2024.
Chow polylogarithms are some special functions arising in explicit description of the Beilinson regulator map. The most interesting functional equation for this function reflects its vanishing on the boundary in the Bloch's cycle complex. We show that this functional equation formally follows from more simple ones, namely skew-symmetry, functoriality and multiplicativity.
To prove this, we study ...
Added: July 16, 2026