On decidability of skeletal sets [Abstract of thesis]
On decision-making in possibility theory
We present an alternative approach to decision-making in the framework of possibility theory, based on the idea of decision-making under uncertainty. We utilize the fact, that any possibility distribution can be viewed as an upper envelope of a set of probability distributions to which well-known minimax principle is applicable. Finally, we recall also an alternative to the minimax rule, so-called local minimax principle. Local minimax principle not only allows sequential construction of decision...
On detectors with incomplete answers
On determining sets for the class of somewhat continuous functions
On estimating the yield and volatility curves
On European option pricing under partial information
We consider a European option pricing problem under a partial information market, i.e., only the security's price can be observed, the rate of return and the noise source in the market cannot be observed. To make the problem tractable, we focus on gap option which is a generalized form of the classical European option. By using the stochastic analysis and filtering technique, we derive a Black-Scholes formula for gap option pricing with dividends under partial information. Finally, we apply filtering...
On exact null controllability of Black-Scholes equation
In this paper we discuss the exact null controllability of linear as well as nonlinear Black–Scholes equation when both the stock volatility and risk-free interest rate influence the stock price but they are not known with certainty while the control is distributed over a subdomain. The proof of the linear problem relies on a Carleman estimate and observability inequality for its own dual problem and that of the nonlinear one relies on the infinite dimensional Kakutani fixed point theorem with ...
On existence of equilibrium pair for constrained generalized games.
On game ideals
On games of Topsoe.
On Generalized Bellman 's Functional Equation.
On generalized games in -spaces
We show that a recent existence result for the Nash equilibria of generalized games with strategy sets in -spaces is false. We prove that it becomes true if we assume, in addition, that the feasible set of the game (the set of all feasible multistrategies) is closed.
On heuristic optimization.
On Information-Improvement.
On knowledge games.
We give a formalization of the ?knowledge games? which allows to study their decidability and convergence as a problem of mathematics. Our approach is based on a metalemma analogous to those of Von Neumann and Morgenstern at the beginning of Game Theory. We are led to definitions which characterize the knowledge games as objects is standard set theory. We then study rigorously the most classical knowledge games and, although we also prove that the ?common knowledge? in these games may be incomputable,...
On -stationary points for a stochastic equilibrium problem under equilibrium constraints in electricity spot market modeling
Modeling several competitive leaders and followers acting in an electricity market leads to coupled systems of mathematical programs with equilibrium constraints, called equilibrium problems with equilibrium constraints (EPECs). We consider a simplified model for competition in electricity markets under uncertainty of demand in an electricity network as a (stochastic) multi-leader-follower game. First order necessary conditions are developed for the corresponding stochastic EPEC based on a result...
On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications.
On multigrid for linear complementarity problems with application to American-style options.
On Nash theorem
On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance
We establish necessary and sufficient conditions of near-optimality for nonlinear systems governed by forward-backward stochastic differential equations with controlled jump processes (FBSDEJs in short). The set of controls under consideration is necessarily convex. The proof of our result is based on Ekeland's variational principle and continuity in some sense of the state and adjoint processes with respect to the control variable. We prove that under an additional hypothesis, the near-maximum...