convex domains 1folding transformations 1oblique reflection 1reflected diffusions 1stochastic processes 1
From the 1 of 2 linked papers with an AI index.
2 papers
math.PR2026
Folding representations of reflected diffusions
David Itkin, Ioannis Karatzas
The paper introduces a new method to construct diffusion processes that reflect (including obliquely) on the boundary of a regular convex domain by applying instantaneous “folding”…
q-fin.MF2026
Pathwise Portfolio Theory and Market Viability
Ioannis Karatzas, Donghan Kim
The theory of portfolios, and its allied notions and fundamental results concerning growth optimality, the numéraire property, and ``market viability'' -- which rules out the poss…