Agent's optimization in unique-contract principal-agent problem with adverse selection is recast as stochastic target problem, enabling principal's objective as stochastic optimal control with partial information and state constraints.
A subordinated stochastic pro- cess model with finite variance for speculative prices
5 Pith papers cite this work. Polarity classification is still indexing.
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Proposes using timing synchronicity and statistical surprise to detect per-action price impact, assuming fast adverse events indicate causation.
Non-unique time arising from event-driven order flow points to a foundational market incompleteness beyond usual no-arbitrage assumptions.
Derives a generalized European option pricing PDE from an operational-time log-price lattice with state-dependent transitions that converges to the Black-Scholes-Merton PDE under risk-neutral drift and constant volatility.
A coupled reaction-diffusion model of order books yields the LMF trade-sign long memory and square-root meta-order impact, reinterpreted as event-time versus physical-time statements with subordination effects.
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Non-unique time and market incompleteness
Non-unique time arising from event-driven order flow points to a foundational market incompleteness beyond usual no-arbitrage assumptions.