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Analysis of a continuous-time model of structural balance
Adaptation and Self-Organizing Systems(nlin.AO) Exactly Solvable and Integrable Systems (nlin.SI)
2010/11/10
It is not uncommon for certain social networks to divide into two opposing camps in response to stress. This happens, for example, in networks of political parties during winner-takes-all elections, i...
Risk Aversion and Portfolio Selection in a Continuous-Time Model
Risk Aversion Portfolio Selection Continuous-Time Model
2010/12/17
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownia...
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion
Discrete Data the Underlying Continuous-Time Model a Diffusion
2014/3/13
Can discretely sampled financial data help us decide which continuous-time models are sensible? Diffusion processes are characterized by the continuity of their sample paths. This cannot be verified f...