Simultaneous nondeterministic games. I
Simultaneous nondeterministic games. II
Simultaneous nondeterministic games. III
Simultaneous strategies and Boolean games of uncountable length
Single-product dynamic model of replacing production capacities.
Skeletal maps and I-favorable spaces
Small perturbations with large effects on value-at-risk
We show that in the delta-normal model there exist perturbations of the Gaussian multivariate distribution of the returns of a portfolio such that the initial marginal distributions of the returns are statistically undistinguishable from the perturbed ones and such that the perturbed V@R is close to the worst possible V@R which, under some reasonable assumptions, is the sum of the V@Rs of each of the portfolio assets.
Smooth solutions of systems of quasilinear parabolic equations
We consider in this article diagonal parabolic systems arising in the context of stochastic differential games. We address the issue of finding smooth solutions of the system. Such a regularity result is extremely important to derive an optimal feedback proving the existence of a Nash point of a certain class of stochastic differential games. Unlike in the case of scalar equation, smoothness of solutions is not achieved in general. A special structure of the nonlinear hamiltonian seems to be the...
Smooth Solutions of systems of quasilinear parabolic equations
We consider in this article diagonal parabolic systems arising in the context of stochastic differential games. We address the issue of finding smooth solutions of the system. Such a regularity result is extremely important to derive an optimal feedback proving the existence of a Nash point of a certain class of stochastic differential games. Unlike in the case of scalar equation, smoothness of solutions is not achieved in general. A special structure of the nonlinear Hamiltonian seems to be...
Snaky is a 41-dimensional winner.
Sobre la existencia de soluciones no dominadas.
Social network evolution and actor oriented models. Applications in the fields of friendship formation, decision making, emergence of cooperation, and coalition formation
We present an overview of different actor oriented models of network evolution, that have been developed in the last couple of years. The models are constructed in different fields of application and all have in common that the emergence of network structure is directly or indirectly of interest. Each model is based on a set of actors and a set of behavioral rules of these actors, resulting in interaction mechanisms and the coming into existence of some network pattern of relationships. Actors vary...
Sociodynamics applied to the evolution of urban and regional structures.
Solidarity and cooperative bargaining solutions
In this paper, we consider production economies with possibly unequal production skills and with the possibility of technological innovations, in which resource allocations are determined via bargaining among individuals. We define the Nash (resp. the Kalai-Smorodinsky) bargaining solution as the (bargaining) allocation rule whose utility outcomes just result in the Nash (resp. the Kalai-Smorodinsky) bargaining outcomes. Two new axioms regarding compensation for low skill agents are introduced as...
Solitaire clobber as an optimization problem on words.
Solitaire Clobber played on Hamming graphs.
Soluciones de los juegos N-personales.
Soluciones no dominadas en problemas multiobjetivo.
La Teoría de Estructuras de Dominación, introducida por P. L. Yu como nuevo procedimiento de solución a problemas multiobjetivo, presenta bastantes lagunas, debidas sin duda a la novedad del tema. Nos hemos propuesto en este trabajo caracterizar completamente los puntos no dominados, por distintos procedimientos, así como seleccionar entre ellos un subconjunto más deseable ("soluciones propias"). Se abordan también condiciones para soluciones no dominadas en el espacio de decisiones.
Solution of option pricing equations using orthogonal polynomial expansion
We study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials. Using a Galerkin-based method, we solve the parabolic partial differential equation for the Black-Scholes model using Hermite polynomials and for the Heston model using Hermite and Laguerre polynomials. We compare the obtained solutions to existing semi-closed pricing formulas. Special attention is paid to the solution of the Heston model at the boundary with vanishing volatility.
Solution set in a special case of generalized Nash equilibrium games
A special class of generalized Nash equilibrium problems is studied. Both variational and quasi-variational inequalities are used to derive some results concerning the structure of the sets of equilibria. These results are applied to the Cournot oligopoly problem.