On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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2 results for “PFPPs”

Rank-Dependent Predictable Forward Performance Processesq-fin.MF

New PFPPs based on rank-dependent utility for better performance control.

problem Improving performance prediction in systems with short-term control.

method Introduces rank-dependent PFPPs, solves integral equations via Volterra theory.

result Existence of rank-dependent PFPPs under specific market conditions.

PFPPs rank-dependent utility integral equations Volterra equations Black-Scholes model

2024-03-24abs ↗pdf ↗

Predictable Forward Performance Processes in Complete Marketsq-fin.PM

Established PFPPs in complete markets, solving integral equations.

problem Existence of Predictable Forward Performance Processes in complete markets.

method Solving a one-period integral equation using Fourier transform for tempered distributions.

result Closed-form solutions for PFPPs with inverse marginal functions that are completely monotonic.

Predictable Forward Performance Processes Complete Markets Integral Equations Fourier Transform Tempered Distributions

2022-06-07abs ↗pdf ↗