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Guaranteed Deterministic Approach to Superhedging: Lipschitz Properties of Solutions of the Bellman–Isaacs Equations
P. 267–288.
Smirnov S. N.
For the discrete-time superreplication problem, a guaranteed deterministic formulation is proposed: the problem is to ensure the cheapest coverage of the contingent claim on an American option under all admissible scenarios. These scenarios are set by a priori defined compacts depending on the price history; the price increment at each moment of time must lie in the corresponding compact. The market is considered without trading constraints and transaction costs. The problem statement is game-theoretic in nature and leads directly to the Bellman–Isaacs equations of a special form under the assumption of no trading constraints. In the present study, we estimate the modulus of continuity of uniformly continuous solutions, including the Lipschitz case.
In book
Birkhauser/Springer, 2019.
Kamenskii A. B., Новое прошлое 2025 № 3 С. 203–211
The idea of the second quarter of the 18th Century as the Timelessness Period, the Era of Palace Coups, dominance of foreigners, etc. is a myth firmly rooted in the public consciousness and historiography, the formation of which is associated with the formation of national consciousness. Research in recent years convincingly shows that this was ...
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Kapustin B., Полис. Политические исследования 2024 № 3 С. 50–73
A question about the relationship between revolution and progress is the centerpiece of this essay. A specific solution to this question is expressed by a well-known metaphor invented by Marx – “revolutions are the locomotives of history”. The rendering of this metaphor in the language of theory uncovers certain ambiguities and tensions inherent in it, ...
Added: August 12, 2024
Ралько В. В., Yankovskiy R., В кн.: Современное корпоративное право: времен связующая нить : сборник статей.: Статут, 2024. Гл. 6 С. 133–158.
Конвертируемый заем – один из самых распространенных инструментов в сфере венчурных инвестиций. Он позволяет обеспечить баланс между интересами инновационных компаний и их инвесторов. До 2021 г. структурирование таких договоров было осложнено нехваткой некоторых правовых механизмов; однако после того, как договор был нормативно закреплен в российском праве, он стал применяться чаще. Эта статья посвящена вопросам экономической и ...
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Arkhipov A. V., Procedia Computer Science 2022 Vol. 214 P. 1073–1076
The global financial system is constantly changing, rapidly reacting on the external changes. These changes include evolving macroeconomic policy tools, creation of new regulations in financial markets (affecting both banking institutions, financial markets’ benchmarks, etc.), imposition of legal restrictions of dealing with certain types of financial institutors on the basis of decisions of particular governments, ...
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Maslennikova S., Вестник Воронежского государственного университета. Серия: Право 2023 № 4(55) С. 50–61
Amendments to the Constitution of the Russian Federation in 2020 on the recognition of the Russian Federation as the successor of the USSR actualized the need to understand the succession of the state. This article analyzes various legal grounds and consequences of the recognition of the succession of the state and the people in relation ...
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Karpenko I., Philosophy and Society 2023 Vol. 34 No. 3 P. 438–451
The article considers new approaches to four of Zeno’s paradoxes: the Arrow, Achilles and the Tortoise, the Dichotomy, and the Stadium. The paradoxes are analyzed in the light of current research in the field of elementary particle physics and some promising directions in the development of the quantum gravity. Physical theories, provided with the necessary ...
Added: October 6, 2023
Galkin O., Galkina S., Тронов А. А., Журнал Средневолжского математического общества 2023 Т. 25 № 2 С. 22–36
By construction, power Takagi functions $S_p$ are similar to Takagi's continuous nowhere differentiable function described in 1903. These real-valued functions $S_p(x)$ have one real parameter $p>0$. They are defined on the real axis $\mathbb R$ by the series $S_p(x) = \sum_{n=0}^\infty (S_0(2^nx)/2^n)^p$, where $S_0(x)$ is the distance from real number $x$ to the nearest integer number. We show that ...
Added: September 8, 2023
Afanasiev V., Ladjal B., Автоматизация. Современные технологии 2022 Т. 76 № 07 С. 308–314
The implementation of synthesized controls for a nonlinear plant represented by a mathematical model with state dependent parameters encounters the problem of finding solutions to the Riccati equation parameterized by the current
the state of the object. To solve this problem, the article proposes a method of suboptimal controls with quasi-stationary values of parameters, called the ...
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Schedrina I., Вопросы философии 2022 № 8 С. 107–114
In modern ecologically oriented interdisciplinary research, there is an increased interest in narrative methodology, which allows us to take a new look at seemingly well-established ideas about the relationship between nature and man. Narratives about how a person destroys the world around him, and how dangerous his active intervention in biogeocenoses (where the person himself ...
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Karpenko I., Вопросы философии 2022 № 10 С. 132–142
The article discusses the new approaches to the four Zeno’s Paradoxes: “The Arrow”, “The Achilles”, “The Dichotomy” and “The Moving Rows”. Paradoxes are analyzed in relation to the current research in the field of elementary particle
Physics and promising areas of the quantum theory of gravity development. Provided with the necessary philosophical interpretation Physics concepts are ...
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Rozhdestvenskaya E., , in: Family Business Case Studies Across the World.Succession and Governance in a Disruptive Era.: Cheltenham: Edward Elgar Publishing, 2022. Ch. 15 P. 129–137.
The chapter is based on a series of interviews with members of a business family on the verge of making a business succession decision. The context of the family business, the characteristics of potential successors, their motivations and chances for leadership and business management are described. The case is accompanied by a teaching note with ...
Added: February 1, 2022
Rozhdestvenskaya E., Cheltenham: Edward Elgar Publishing, 2022.
This book presents a unique collection of case studies from across the globe to create a comprehensive understanding of how family firms can respond to future disruptions. Each case contains learning notes with objectives, discussion questions and suggested readings to facilitate learner understanding and engagement with the topic. Cases on topics such as global succession ...
Added: January 31, 2022
S.Yu. Galkina, A.A. Tronov, O.E. Galkin, / Series math "arxiv.org". 2021. No. arXiv:2112.08420.
By construction, functions of Takagi power class are similar to Takagi's continuous nowhere differentiable function. These functions have one real parameter $p>0$. They are defined on the real axis by the series $S_p(x) = \sum_{n=0}^\infty (T_0(2^nx)/2^n)^p$, where $T_0(x)$ is the distance from real point $x$ to the nearest integer. We study such properties of functions ...
Added: December 15, 2021
Rodionova A., Цифровой ученый: лаборатория философа 2019 Т. 2 № 1 С. 88–99
This paper presents an approach to examining text in the digital environment, focusing on both the features of a conceptual perception of text and its essential properties, associated with its specific organization in the digital environment. The author relies on a linguistic definition of text as a written message, objectified in the form of a ...
Added: November 24, 2021
Kozyreva P. M., Smirnov A. I., Социологические исследования 2021 № 11 С. 49–60
The article analyzes the evolution of Russians’ views about the possibility of mutual understanding and cooperation between young people and the older generations, as well as the factors influencing their formation. The empirical base of the study consists of data from the “Russia Longitudinal Monitoring Survey – Higher School of Economics” (RLMS-HSE). It is shown ...
Added: November 24, 2021
Попова А. В., Яцук Н. П., Юридическая мысль 2018 № 2 (106) С. 55–62
The topic of deadlocks in corporations is quite broad, so the authors analyze the advantages of such a mechanism for resolving deadlocks as a corporate contract. On the basis of comparative legal analysis of doctrinal provisions of corporate law, judicial practice, Russian and foreign scientific literature, the conclusion is made about the possibility of using ...
Added: December 22, 2020
Smirnov S. N., Computational Mathematics and Modelling 2020 Vol. 31 No. 3 P. 384–401
We consider a guaranteed deterministic formulation for the super-replication problem in discrete time: find a guaranteed coverage of a contingent claim on an option under all possible scenarios. These scenarios are specified by a priori compacta that depend on historical prices: the price increments at each instant should be in the corresponding compacta. We assume ...
Added: November 6, 2020
Smirnov S. N., Journal of Mathematical Sciences 2020 Vol. 248 No. 1 P. 105–115
A guaranteed deterministic problem setting of super-replication with discrete time is considered: the aim of hedging of a contingent claim is to ensure coverage of the possible payout under an option contract for all admissible scenarios. These scenarios are given by means of compacts given a priori, which depend on the prehistory of prices: the ...
Added: November 6, 2020
Shevchenko I., Третейский суд 2019 № 3/4 С. 209–219
The Author discourses on the correspondence between the arbitration proceedings and bankruptcy proceedings on 3 examples: 1) the bankruptcy procedure is introduced when the arbitration proceedings are not complete; 2) the bankruptcy procedure is introduced during the proceedings on issuance of a writ of execution; 3) the application to the cancelation of an arbitration decision ...
Added: February 22, 2020
Smirnov S. N., Mathematics 2019 Vol. 7 No. 12 P. 1246
This paper considers super-replication in a guaranteed deterministic problem setting with discrete time. The aim of hedging a contingent claim is to ensure the coverage of possible payoffs under the option contract for all admissible scenarios. These scenarios are given by means of a priori given compacts that depend on the history of prices. The ...
Added: December 26, 2019