The FENE-P dumbbell, that is, the finitely extensible non-linear elastic dumbbell with the
Peterlin approximation, has been used extensively to describe the rheological behavior of dilute …

We formalize Veblen's idea of conspicuous consumption as two alternative forms of interdependent
preferences, dubbed envy and pride. Agents adjust consumption patterns gradually, …

We introduce a novel framework for goals-based wealth management (GBWM), where risk
is understood as the probability of investors not attaining their goals, not just the standard …

We study the short time behavior of the early exercise boundary for American style put options
in the Black--Scholes theory. We develop an asymptotic expansion which shows that the …

We establish a unique stable solution to the Hamilton–Jacobi equation u t +H(K(x,t),u x )=0,
x∈(−∞,∞), t∈[0,∞) with Lipschitz initial condition, where K(x,t) is allowed to be …

Any absolutely continuous, piecewise smooth, symmetric two-player game can be extended
to define a population game in which each player interacts with a large representative …

We discuss optimal trading strategies for general utility functions in portfolios of cash and
stocks subject to small proportional transaction costs. We present a new interpretation of …

Systemic risk arises from the conflu-ence of two effects. First, individual financial institutions (FIs)
experience increases in the likelihood of default. Second, these degradations in credit …

The shape-from-shading (SFS) equation relating u(y,r), the unknown (angular) height of a
surface, to I(y,r), the known synthetic aperture radar (SAR) intensity data from the surface, is I = …

When each player in a population game continuously adjusts her action to move up the
payoff gradient, then the state variable (the action distribution) obeys a nonlinear partial …