Stochastic Analysis & Mathematical Finance Seminars

This paper advances the theory of \textit{Collective Finance}, as developed in \cite{BDFFM26}, \cite{DFM25} and \cite{F25}. Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive necessary and sufficient condition for the existence of (possibly zero-sum) exchanges among agents that strictly increase their indirect utilities and characterize this condition in terms of the compatibility between agents’ preferences and collective pricing measures. The framework applies to both continuous and discrete-time models and clarifies when cooperation leads to a strict improvement in each participating agent’s indirect utility.

We consider a Kolmogorov-type PDE corresponding to a particle under white noise force. We are interested in stopping the process at a fixed position i.e. imposing Dirichlet conditions at a side boundary. We construct a simple Gaussian heat kernel inside the domain and investigate a boundary-layer kernel connected to some work by McKean. We show that this boundary layer heat kernel has a novel jump condition. We outline a polynomial expansion of for the heat kernels and then construct a Volterra equation for solving the original problem. The novel jump leads to a periodic structure of the Volterra equation.

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