Existence of a positively homogeneous and translation invariant continuous certainty equivalent.
Existence of equilibria in finitely additive nonatomic coalition production economies.
Existence of Nash equilibria in two-person stochastic games of resource extraction
This paper deals with two-person stochastic games of resource extraction under both the discounted and the mean payoff criterion. Under some concavity and additivity assumptions concerning the payoff and the transition probability function a stationary Nash equilibrium is shown to exist. The proof is based on Schauder-Tychonoff's fixed point theorem, applied to a suitable payoff vector space.
Existence of solutions to weak nonlinear bilevel problems via MinSup and d.c. problems
In this paper, which is an extension of [4], we first show the existence of solutions to a class of Min Sup problems with linked constraints, which satisfy a certain property. Then, we apply our result to a class of weak nonlinear bilevel problems. Furthermore, for such a class of bilevel problems, we give a relationship with appropriate d.c. problems concerning the existence of solutions.
Existence of the value of fixed duration dynamical games [Book]
Existence of trajectories with unbounded consumption for a model with innovations.
Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization
In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the results on the shape of a chosen utility function in regard to the associated risk aversion level. We define the Conditional value-at-risk deviation () based Sharpe ratio for measuring...
Expected utility with pseudotransitive preferences.
Expert rule versus majority rule under partial information. II.
Explicit formulae of distributions and densities of characteristics of a dynamic advertising and pricing model
We analyze the optimal sales process of a stochastic advertising and pricing model with constant demand elasticities. We derive explicit formulae of the densities of the (optimal) sales times and (optimal) prices when a fixed finite number of units of a product are to be sold during a finite sales period or an infinite one. Furthermore, for any time t the exact distribution of the inventory, i.e. the number of unsold items, at t is determined and will be expressed in terms of elementary functions....
Exploring the fractal parameters of urban growth and form with wave-spectrum analysis.
Exponential functionals of Brownian motion. II: Some related diffusion processes.
Exponential smoothing for irregular time series
The paper deals with extensions of exponential smoothing type methods for univariate time series with irregular observations. An alternative method to Wright’s modification of simple exponential smoothing based on the corresponding ARIMA process is suggested. Exponential smoothing of order m for irregular data is derived. A similar method using a DLS **discounted least squares** estimation of polynomial trend of order m is derived as well. Maximum likelihood parameters estimation for forecasting...
Exponential utility optimization, indifference pricing and hedging for a payment process
We deal with pricing and hedging for a payment process. We investigate a Black-Scholes financial market with stochastic coefficients and a stream of liabilities with claims occurring at random times, continuously over the duration of the contract and at the terminal time. The random times of the claims are generated by a random measure with a stochastic intensity of jumps. The claims are written on the asset traded in the financial market and on the non-tradeable source of risk driven by the random...
Exponential wealth distribution : a new approach from functional iteration theory*
Different approaches are possible in order to derive the exponential regime in statistical systems. Here, a new functional equation is proposed in an economic context to explain the wealth exponential distribution. Concretely, the new iteration [1] given byIt is found that the exponential distribution is a stable fixed point of this functional iteration equation. From this point of view, it is easily understood why the exponential wealth distribution (or by extension, other kind of distributions)...
Extension of stochastic dominance theory to random variables
Extension of stochastic dominance theory to random variables
In this paper, we develop some stochastic dominance theorems for the location and scale family and linear combinations of random variables and for risk lovers as well as risk averters that extend results in Hadar and Russell (1971) and Tesfatsion (1976). The results are discussed and applied to decision-making.
Extensions of convex functionals on convex cones
We prove that under some topological assumptions (e.g. if M has nonempty interior in X), a convex cone M in a linear topological space X is a linear subspace if and only if each convex functional on M has a convex extension on the whole space X.
External Characterization of I-Favorable Spaces
1991 AMS Math. Subj. Class.:Primary 54C10; Secondary 54F65We provide both a spectral and an internal characterizations of arbitrary !-favorable spaces with respect to co-zero sets. As a corollary we establish that any product of compact !-favorable spaces with respect to co-zero sets is also !-favorable with respect to co-zero sets. We also prove that every C* -embedded !-favorable with respect to co-zero sets subspace of an extremally disconnected space is extremally disconnected.
Extremal moment methods and stochastic orders.