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math.PR2026
Variation and Hausdorff dimension of fractional Wiener-Weierstrass bridges
Alexander Schied, Zhenyuan Zhang
Fractional Wiener--Weierstrass bridges are a class of Gaussian processes obtained by replacing trigonometric functions in the construction of classical Weierstrass functions by fra…
math.OC2026
Dynamic Lagrange Multipliers in a Non-concave Utility Framework
Yang Liu, Alexander Schied, Zhenyu Shen
In continuous-time portfolio selection for non-concave utility functions, the martingale duality approach is widely adopted in complete markets, while the dynamic programming appro…