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q-fin.CP2024
Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
Nicole Tianjiao Yang, Tomoyuki Ichiba
The strong relative arbitrage problem in Stochastic Portfolio Theory seeks an investment strategy that almost surely outperforms a benchmark portfolio at the end of a given time ho…
math.PR2024
Rank-based stochastic differential inclusions and diffusion limits for a load balancing model
Rami Atar, Tomoyuki Ichiba
In an earlier paper, a randomized load balancing model was studied in a heavy traffic asymptotic regime where the load balancing stream is thin compared to the total arrival stream…