4 papers
Retarded action principle and self-financing portfolio dynamics
Dmitry Lesnik
We derive a consistent differential representation for the dynamics of a self-financing portfolio for different hedging strategies. In the basis of the derivation there is the so c…
Intrinsic Storage Valuation by Variational Analysis
Dmitry Lesnik
The mathematical problem concerning intrinsic storage optimisation is formulated and solved by means of variational analysis. The solution, though obtained in implicit form, still…
A state vector algebra for algorithmic implementation of second-order logic
Dmitry Lesnik, Tobias Schaefer
We present a mathematical framework for mapping second-order logic relations onto a simple state vector algebra. Using this algebra, basic theorems of set theory can be proven in a…
Storage option an Analytic approach
Dmitry Lesnik
The mathematical problem of the static storage optimisation is formulated and solved by means of a variational analysis. The solution obtained in implicit form is shedding light on…