In this survey paper we present recent advances in some classes of differential game in which there is an asymmetry of information between the players. We explain that—under suitable structure conditions—these games have a value, which can be characterized in terms of (new) Hamilton-Jacobi equations.
The risk minimizing problem in the multidimensional Black-Scholes framework is studied. Specific formulas for the minimal risk function and the cost reduction function for basket derivatives are shown. Explicit integral representations for the risk functions for l(x) = x and , with p > 1 for digital, quantos, outperformance and spread options are derived.
Financial investors often face an urgent need to predict the future. Accurate forecasting may allow investors to be aware of changes in financial markets in the future, so that they can reduce the risk of investment. In this paper, we present an intelligent computing paradigm, called the Complex Neuro-Fuzzy System (CNFS), applied to the problem of financial time series forecasting. The CNFS is an adaptive system, which is designed using Complex Fuzzy Sets (CFSs) whose membership functions are complex-valued...
The paper gives a new interpretation and a possible optimization of the well-known -means algorithm for searching for a locally optimal partition of the set which consists of disjoint nonempty subsets , . For this purpose, a new divided -means algorithm was constructed as a limit case of the known smoothed -means algorithm. It is shown that the algorithm constructed in this way coincides with the -means algorithm if during the iterative procedure no data points appear in the Voronoi diagram....
Payoffs in (bimatrix) games are usually not known precisely, but it is often possible to determine lower and upper bounds on payoffs. Such interval valued bimatrix games are considered in this paper. There are many questions arising in this context. First, we discuss the problem of existence of an equilibrium being common for all instances of interval values. We show that this property is equivalent to solvability of a certain linear mixed integer system of equations and inequalities. Second, we...
In the article the formal characterization of preference spaces [1] is given. As the preference relation is one of the very basic notions of mathematical economics [9], it prepares some ground for a more thorough formalization of consumer theory (although some work has already been done - see [17]). There was an attempt to formalize similar results in Mizar, but this work seems still unfinished [18]. There are many approaches to preferences in literature. We modelled them in a rather illustrative...