Small-time score-mixed diffusion dynamics are governed by the geometric potential Φ_λ = λ d1² + (1-λ) d2², reducing the problem to Clarke subgradient inclusions with convergence guarantees in the Dirac-mixture case.
Crandall, Hitoshi Ishii, and Pierre-Louis Lions
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A funding-aware HJB model for perpetual DEX market making improves simulated ETH/BTC performance and reduces inventory risk versus classical Avellaneda-Stoikov.
A monotone semi-discrete policy iteration scheme with O(h) artificial viscosity for stationary discounted HJB equations converges geometrically for fixed h and achieves O(sqrt(h)) error to the viscosity solution.
citing papers explorer
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Geometric Asymptotics of Score Mixing and Guidance in Diffusion Models
Small-time score-mixed diffusion dynamics are governed by the geometric potential Φ_λ = λ d1² + (1-λ) d2², reducing the problem to Clarke subgradient inclusions with convergence guarantees in the Dirac-mixture case.
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Funding-Aware Optimal Market Making for Perpetual DEXs
A funding-aware HJB model for perpetual DEX market making improves simulated ETH/BTC performance and reduces inventory risk versus classical Avellaneda-Stoikov.
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Policy Iteration for Stationary Discounted Hamilton--Jacobi--Bellman Equations: A Viscosity Approach
A monotone semi-discrete policy iteration scheme with O(h) artificial viscosity for stationary discounted HJB equations converges geometrically for fixed h and achieves O(sqrt(h)) error to the viscosity solution.