This paper analyzes a parabolic operator ℒ that generalizes several well-known operators commonly used in financial mathematics. We establish the existence and uniqueness of the Feller semigroup associated with ℒ and derive its explicit analytical representation. The theoretical framework...

We study the classical bargaining problem and its two canonical solutions, (Nash and Kalai-Smorodinsky), from a novel point of view: we ask for stability of the solution if both players are able distort the underlying bargaining process by reference to a third party (e.g. a court). By exploring...

We study the classical bargaining problem and its two canonical solutions, (Nash and Kalai-Smorodinsky), from a novel point of view: we ask for stability of the solution if both players are able distort the underlying bargaining process by reference to a third party (e.g. a court). By exploring...

A coupled forward–backward stochastic differential system (FBSDS) is formulated in spaces of fields for the incompressible Navier–Stokes equation in the whole space. It is shown to have a unique local solution, and further if either the Reynolds number is small or the dimension of the...

Let $(mathcal{E}_t, tgeq0)$ be a geometric Brownian motion. In this paper, we compute the law of a generalization of Dufresne’s translated perpetuity (following the terminology of Salminen-Yor) : $$ int_0^{+infty} frac{mathcal{E}_s^2}{(mathcal{E}_s^2+2 amathcal{E}_s +b)^2} ds,$$ and show that,...