We introduce a new mean field kinetic model for systems of rational agents interacting in a game-theoretical framework. This model is inspired from non-cooperative anonymous games with a continuum of players and Mean-Field Games. The large time behavior of the system is given by a macroscopic closure with a Nash equilibrium serving as the local thermodynamic equilibrium. An application of the presented theory to a social model (herding behavior) is discussed.

Value at Risk is a fundamental tool for managing market risks. It measures the worst loss to be expected of a portfolio over a given time horizon under normal market conditions at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, several semiparametric techniques are introduced to estimate the volatilities of the market prices of a portfolio. In addition, both parametric and nonparametric techniques are proposed to estimate the quantiles of standardized return processes. The newly proposed techniques also have the flexibility to adapt automatically to the changes in the dynamics of market prices over time. Their statistical efficiencies are studied both theoretically and empirically. The combination of newly proposed techniques for estimating volatility and standardized quantiles yields several new techniques for forecasting multiple period VaR. The performance of the newly proposed VaR estimators is evaluated and compared with some of existing methods. Our simulation results and empirical studies endorse the newly proposed time-dependent semiparametric approach for estimating VaR.

In this note we show that if a projective manifold admits a Khler metric with negative holomorphic sectional curvature then the canonical bundle of the manifold is ample. This confirms a conjecture of the second author.

In this article, we investigate the global stability of the wave patterns with the superposition of viscous contact wave and rarefaction wave for the one-dimensional compressible Navier-Stokes equations with a free boundary. It is shown that for the ideal polytropic gas, the superposition of the viscous contact wave with rarefaction wave is nonlinearly stable for the free boundary problem under the large initial perturbations for any > 1 with being the adiabatic exponent provided that the wave strength is suitably small.

The paper uses Iwasawa theory at the prime 𝑝=2 to prove non-vanishing theorems for the value at 𝑠=1 of the complex 𝐿-series of certain quadratic twists of the Gross family of elliptic curves with complex multiplication by the field 𝐾 = ℚ(√(-q)), where 𝑞 is any prime ≡ 7 mod 8. Our results establish some broad generalizations of the non-vanishing theorem first proven by Rohrlich using complex analytic methods. Such non-vanishing theorems are important because it is known that they imply the finiteness of the Mordell–Weil group and the Tate–Shafarevich group of the corresponding elliptic curves over the Hilbert class field of 𝐾. It is essential for the proofs to study the Iwasawa theory of the higher dimensional abelian variety with complex multiplication which is obtained by taking the restriction of scalars to 𝐾 of the particular elliptic curve with complex multiplication introduced by Gross.