Decision theory: von Neumann's contributions.
Decision tree design by simulated annealing
Decisiones en incertidumbre con multiatributos.
This paper gives a formalization of the relation between the Debreu's value function and the Von Neumann's utility function, with a generalization of this result for their respective vectorial functions. Finally the problem of incorporating complementary information is considered.
Decisiones satisfacientes («satisficing»).
Decision-making for long memory data in technical-economic design, fractals and decision area bubbles
Economic and management theories are very often based in their applications on the perception of homogeneity of the application space. The purpose of this article is to query such a conviction and indicate new possible directions of discipline development. The article deals with symbiosis of process and his steering model as a process of management. It is possible that in relative near future it will be necessary to accept approaches and changes in interpretations of decision-making. Applications...
Decision-making of portfolio investment with linear plus double exponential utility function
This paper broadens the exponential utility function commonly used by risk-averse investors to the linear plus double exponential utility function, which is applicable in most cases. Thus it is of essential and supreme significance to conduct a research on its optimal investment portfolio in securities investment. This paper, by means of the non-difference curve method, carries out a research into the optimal portfolio decision-making by investors who have this type of utility function. The optimal...
Decision-making under uncertainty processed by lattice-valued possibilistic measures
The notion and theory of statistical decision functions are re-considered and modified to the case when the uncertainties in question are quantified and processed using lattice-valued possibilistic measures, so emphasizing rather the qualitative than the quantitative properties of the resulting possibilistic decision functions. Possibilistic variants of both the minimax (the worst-case) and the Bayesian optimization principles are introduced and analyzed.
Decisions to Bias Case and Case-Based decision.
Decomposition of large-scale stochastic optimal control problems
In this paper, we present an Uzawa-based heuristic that is adapted to certain type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale subsystems linked through a static almost sure coupling constraint at each time step. This type of problem is common in production/portfolio management where subsystems are, for instance, power units, and one has to supply a stochastic power demand at each time step. We outline the framework...
Defaultable bonds with an infinite number of Lévy factors
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes rating migrations driven by a Markov chain. All basic types of recovery are investigated. We formulate necessary and sufficient conditions (generalized HJM conditions) under which the market is arbitrage-free. Connections with consistency conditions are discussed.
Defaultable game options in a hazard process model.
Degrees of indeterminacy of games
Delegation equilibrium payoffs in integer-splitting games
This work studies a new strategic game called delegation game. A delegation game is associated to a basic game with a finite number of players where each player has a finite integer weight and her strategy consists in dividing it into several integer parts and assigning each part to one subset of finitely many facilities. In the associated delegation game, a player divides her weight into several integer parts, commits each part to an independent delegate and collects the sum of their payoffs in...
Demand continuity and equilibrium in Banach commodity spaces
Norm-to-weak* continuity of excess demand as a function of prices is proved by using our two-topology variant of Berge's Maximum Theorem. This improves significantly upon an earlier result that, with the extremely strong finite topology on the price space, is of limited interest, except as a vehicle for proving equilibrium existence. With the norm topology on the price space, our demand continuity result becomes useful in applications of equilibrium theory, especially to problems with continuous...
Dependent defaults and credit migrations
The paper deals with the modelling of mutually dependent default times of several credit names through the intensity-based approach. We extend to the case of multiple ratings some previous results due to Schmidt (1998), Kusuoka (1999) and Jarrow and Yu (2001). The issue of the arbitrage valuation of simple basket credit derivatives is also briefly examined. We argue that our approach leads, in some cases, to a significant reduction of the dimensionality of the valuation problem at hand.
Design of a Participatory Decision Making Agent Architecture Based on Argumentation and Influence Function – Application to a Serious Game about Biodiversity Conservation
This paper addresses an ongoing experience in the design of an artificial agent taking decisions and combining them with the decisions taken by human agents. The context is a serious game research project, aimed at computer-based support for participatory management of protected areas (and more specifically national parks) in order to promote biodiversity conservation and social inclusion. Its objective is to help various stakeholders (e.g., environmentalist, tourism operator) to collectively understand...
Détermination des jeux boréliens et problèmes logiques associés
Deterministic Markov Nash equilibria for potential discrete-time stochastic games
In this paper, we study the problem of finding deterministic (also known as feedback or closed-loop) Markov Nash equilibria for a class of discrete-time stochastic games. In order to establish our results, we develop a potential game approach based on the dynamic programming technique. The identified potential stochastic games have Borel state and action spaces and possibly unbounded nondifferentiable cost-per-stage functions. In particular, the team (or coordination) stochastic games and the stochastic...
Development of the Stock Exchange Information System
DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike
Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts on two...