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math.OC2024
Stochastic Graphon Games with Memory
Eyal Neuman, Sturmius Tuschmann
We study finite-player dynamic stochastic games with heterogeneous interactions and non-Markovian linear-quadratic objective functionals. We derive the Nash equilibrium explicitly…
math.FA2024
The Mercer-Young Theorem for Matrix-Valued Kernels on Separable Metric Spaces
Eyal Neuman, Sturmius Tuschmann
We generalize the characterization theorem going back to Mercer and Young, which states that a symmetric and continuous kernel is positive definite if and only if it is integrally…
q-fin.PM2024★ 1 cited
Optimal Portfolio Choice with Cross-Impact Propagators
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann
We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross-impact driven by a matrix-valued Volterra pro…