Continuous-time trading and the emergence of volatility.
Contractual -core and equilibrium allocations.
Contributions to the credibility theory.
Control of a neoclassic economic model
Control of a team of mobile robots based on non-cooperative equilibria with partial coordination
In this work we present an application of the concept of non-cooperative game equilibria to the design of a collision free movement of a team of mobile robots in a dynamic environment. We propose the solution to the problem of feasible control synthesis, based on a partially centralized sensory system. The control strategy based on the concept of non-cooperative game equilibria is well known in the literature. It is highly efficient through phases where the solution is unique. However, even in simple...
Control of linear systems with rational expectations. The case of incomplete information.
The problem of optimal control of linear economic systems with rational expectations and quadratic objective function is solved for the case of incomplete information. The case of complete information has been previously studied. In both problems the hypothesis of causality is not satisfied and, therefore, the standard techniques of control theory cannot be directly applied, though the method used is based on these techniques.
Convergence analysis for asymmetric Deffuant-Weisbuch model
In this paper, we investigate the convergence behavior of the asymmetric Deffuant-Weisbuch (DW) models during the opinion evolution. Based on the convergence of the asymmetric DW model that generalizes the conventional DW model, we first propose a new concept, the separation time, to study the transient behavior during the DW model's opinion evolution. Then we provide an upper bound of the expected separation time with the help of stochastic analysis. Finally, we show relations of the separation...
Convergence for step line processes under summation of random indicators and models of market pricing.
Convergence method, properties and computational complexity for Lyapunov games
We introduce the concept of a Lyapunov game as a subclass of strictly dominated games and potential games. The advantage of this approach is that every ergodic system (repeated game) can be represented by a Lyapunov-like function. A direct acyclic graph is associated with a game. The graph structure represents the dependencies existing between the strategy profiles. By definition, a Lyapunov-like function monotonically decreases and converges to a single Lyapunov equilibrium point identified by...
Convergence model of interest rates of CKLS type
This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities we...
Convergence of optimal strategies in a discrete time market with finite horizon
A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.
Convergence of values in optimal stopping and convergence of optimal stopping times.
Convex interval games.
Convexity of production, common pool and oligopoly games: a survey
The paper surveys a uniform proof technique of the convexity property for three different cooperative TU games arising from three different economical settings. The production economy, common pool situation and oligopoly framework involve a cost function, but different production functions. Each of the three corresponding game theoretic models refers to some maximization problem described by optimizing a certain net profit function over all feasible production levels. The current mathematical proof...
Conway's Games and Some of their Basic Properties
We formulate a few basic concepts of J. H. Conway's theory of games based on his book [6]. This is a first step towards formalizing Conway's theory of numbers into Mizar, which is an approach to proving the existence of a FIELD (i.e., a proper class that satisfies the axioms of a real-closed field) that includes the reals and ordinals, thus providing a uniform, independent and simple approach to these two constructions that does not go via the rational numbers and hence does for example not need...
Cooperación y defensa.
Se aplican conceptos y técnicas de la teoría de juegos cooperativos a problemas de decisión que afectan a la política de Defensa del país. El análisis permite evaluar las propuestas sobre procedimientos de votación cualificada presentadas al Consejo Europeo en la cumbre de Maastricht de diciembre de 1991. Se ponen así de manifiesto las implicaciones que supondría para la posición estratégica de España la inédita capacidad operativa concedida a la Comunidad por el tratado de unión política.
Cooperative fuzzy games extended from ordinary cooperative games with restrictions on coalitions
Cooperative games are very useful in considering profit allocation among multiple decision makers who cooperate with each other. In order to deal with cooperative games in practical situations, however, we have to deal with two additional factors. One is some restrictions on coalitions. This first factor has been taken into consideration through feasibility of coalitions. The other is partial cooperation of players. In order to describe this second factor, we consider fuzzy coalitions which permit...
Cooperative games with a simplicial core.
Cooperative networks games with elastic demands
We present here a pricing model which is an extension of the cooperative game concept and which includes a notion of elastic demand. We present some existence results as well as an algorithm, and we conclude by discussing a specific problem related to network pricing.
Copula-based grouped risk aggregation under mixed operation
This paper deals with the problem of risk measurement under mixed operation. For this purpose, we divide the basic risks into several groups based on the actual situation. First, we calculate the bounds for the subsum of every group of basic risks, then we obtain the bounds for the total sum of all the basic risks. For the dependency relationships between the basic risks in every group and all of the subsums, we give different copulas to describe them. The bounds for the aggregated risk under mixed...