Greatly increased practical usefulness of two-person game theory by adoption of median criterion
Growth, technology, and environmental change -- nonlinearity and non-constant returns.
Growth versus environment in dynamic models of capital accumulation.
Growth-optimal portfolios under transaction costs
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depends on an external process of economic factors. There are transaction costs with a structure that covers, in particular, the case of fixed plus proportional costs. We prove that there exists a self-financing trading strategy maximizing the average growth rate of the portfolio wealth. We show that this strategy has a Markovian form. Our result is obtained...
Grüss-type bounds for the covariance of transformed random variables.
GTES : une méthode de simulation par jeux et apprentissage pour l'analyse des systèmes d'acteurs
Cet article décrit une approche de la modélisation d'un système d'acteurs, particulièrement adaptée à la modélisation des entreprises, fondée sur la théorie des jeux [11] et sur l'optimisation par apprentissage du comportement de ces acteurs. Cette méthode repose sur la combinaison de trois techniques : la simulation par échantillonnage (Monte-Carlo), la théorie des jeux pour ce qui concerne la recherche d'équilibre entre les stratégies, et les méthodes heuristiques d'optimisation locale,...
Guessing secrets.
Gδ -sets in topological spaces and games
Players ONE and TWO play the following game: In the nth inning ONE chooses a set from a prescribed family ℱ of subsets of a space X; TWO responds by choosing an open subset of X. The players must obey the rule that for each n. TWO wins if the intersection of TWO’s sets is equal to the union of ONE’s sets. If ONE has no winning strategy, then each element of ℱ is a -set. To what extent is the converse true? We show that: (A) For ℱ the collection of countable subsets of X: 1. There are subsets...
Hamiltonian trajectories and saddle points in mathematical economics
Hamilton–Jacobi equations and two-person zero-sum differential games with unbounded controls
A two-person zero-sum differential game with unbounded controls is considered. Under proper coercivity conditions, the upper and lower value functions are characterized as the unique viscosity solutions to the corresponding upper and lower Hamilton–Jacobi–Isaacs equations, respectively. Consequently, when the Isaacs’ condition is satisfied, the upper and lower value functions coincide, leading to the existence of the value function of the differential game. Due to the unboundedness of the controls,...
Handling a Kullback-Leibler divergence random walk for scheduling effective patrol strategies in Stackelberg security games
This paper presents a new model for computing optimal randomized security policies in non-cooperative Stackelberg Security Games (SSGs) for multiple players. Our framework rests upon the extraproximal method and its extension to Markov chains, within which we explicitly compute the unique Stackelberg/Nash equilibrium of the game by employing the Lagrange method and introducing the Tikhonov regularization method. We also consider a game-theory realization of the problem that involves defenders and...
Heavy viable trajectories of controlled systems
Hedging in complete markets driven by normal martingales
This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket , including Brownian motion and the Poisson process as particular cases. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark-Ocone formula or an extension of the delta hedging method, depending on which is most appropriate.
Hedging of the European option in discrete time under transaction costs depending on time
Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.
Hercules and Hydra
Hercules and Hydra, a game on rooted finite trees
Hercules versus Hidden Hydra Helper
L. Kirby and J. Paris introduced the Hercules and Hydra game on rooted trees as a natural example of an undecidable statement in Peano Arithmetic. One can show that Hercules has a “short” strategy (he wins in a primitively recursive number of moves) and also a “long” strategy (the finiteness of the game cannot be proved in Peano Arithmetic). We investigate the conflict of the “short” and “long” intentions (a problem suggested by J. Nešetřil). After each move of Hercules (trying to kill Hydra fast)...
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I.
Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. II.
Heterogeneous traders, price-volume signals, and complex asset price dynamics.