Compatibility between pricing rules and risk measures: The CCVaR.
Competitive inventory models
Complementarities and the existence of strong Berge equilibrium
This paper studies the existence and the order structure of strong Berge equilibrium, a refinement of Nash equilibrium, for games with strategic complementarities à la strong Berge. It is shown that the equilibrium set is a nonempty complete lattice. Moreover, we provide a monotone comparative statics result such that the greatest and the lowest equilibria are increasing.
Completing linear differential games by state dependent strategies
Complex coupled system dynamics and the global warming policy problem.
Complex dynamics in a growth model with corruption in public procurement.
Complex dynamics in a nonlinear cobweb model for real estate market.
Complex dynamics in a simple model of interdependent open economies.
Complex dynamics of an adnascent-type game model.
Complexity and state-transitions in social dependence networks.
Composition and structure of social networks
Social networks representing one or more relationships between individuals and one or more categorical characteristics of the individuals exhibit both structure and composition. Probabilistic models of such networks can be used for analyzing the interrelations between structural and compositional variables, for instance in order to find how structure can be explained by composition or how structure explains composition. Different models are discussed and different statistical methods are employed...
Compound Compound Poisson Risk Model
2000 Mathematics Subject Classification: 60K10, 62P05.The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process. The model is called Compound Compound Poisson Risk Model. Some basic properties and ruin probability are given. We analyze the model under the proportional reinsurance. The optimal retention level and the corresponding adjustment coefficient are obtained. The particular case of the Pólya-Aeppli...
Compromise in Cooperative Game and the
Computation of Greeks using Malliavin's calculus in jump type market models.
Computational aspects of DYNAMICO : a model of trade and development in the world economy
Computational aspects of robust Holt-Winters smoothing based on -estimation
To obtain a robust version of exponential and Holt-Winters smoothing the idea of -estimation can be used. The difficulty is the formulation of an easy-to-use recursive formula for its computation. A first attempt was made by Cipra (Robust exponential smoothing, J. Forecast. 11 (1992), 57–69). The recursive formulation presented there, however, is unstable. In this paper, a new recursive computing scheme is proposed. A simulation study illustrates that the new recursions result in smaller forecast...
Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs
We deal with numerical computation of the nonlinear partial differential equations (PDEs) of Black–Scholes type which incorporate the effect of transaction costs. Our proposed technique surmounts the difficulty of infinite domains and unbounded values of the solutions. Numerical implementation shows the validity of our scheme.
Computations in choice groupoids.
Computing the Stackelberg/Nash equilibria using the extraproximal method: Convergence analysis and implementation details for Markov chains games
In this paper we present the extraproximal method for computing the Stackelberg/Nash equilibria in a class of ergodic controlled finite Markov chains games. We exemplify the original game formulation in terms of coupled nonlinear programming problems implementing the Lagrange principle. In addition, Tikhonov's regularization method is employed to ensure the convergence of the cost-functions to a Stackelberg/Nash equilibrium point. Then, we transform the problem into a system of equations in the...
Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
Stochastic partial differential equations (SPDEs) whose solutions are probability-measure-valued processes are considered. Measure-valued processes of this type arise naturally as de Finetti measures of infinite exchangeable systems of particles and as the solutions for filtering problems. In particular, we consider a model of asset price determination by an infinite collection of competing traders. Each trader’s valuations of the assets are given by the solution of a stochastic differential equation,...