On some recent aspects of stochastic control and their applications.
On subgroups of the Lambek pregroup.
On suprema of Lévy processes and application in risk theory
Let X̂=C−Y where Y is a general one-dimensional Lévy process and C an independent subordinator. Consider the times when a new supremum of X̂ is reached by a jump of the subordinator C. We give a necessary and sufficient condition in order for such times to be discrete. When this is the case and X̂ drifts to −∞, we decompose the absolute supremum of X̂ at these times, and derive a Pollaczek–Hinchin-type formula for the distribution function of the supremum.
On Telgársky's question concerning β-favorability of the strong Choquet game
Answering a question of Telgársky in the negative, it is shown that there is a space which is β-favorable in the strong Choquet game, but all of its nonempty -subspaces are of the second category in themselves.
On the asymptotic behavior of dynamic rent-seeking games.
On the asymptotic optimum allocation in estimating inequality from complete data
On the Bellman equation for asymptotics of utility from terminal wealth
The asymptotics of utility from terminal wealth is studied. First, a finite horizon problem for any utility function is considered. To study a long run infinite horizon problem, a certain positive homogeneity (PH) assumption is imposed. It is then shown that assumption (PH) is practically satisfied only by power and logarithmic utility functions.
On the best choice of a damping sequence in iterative optimization methods.
Some iterative methods of mathematical programming use a damping sequence {αt} such that 0 ≤ αt ≤ 1 for all t, αt → 0 as t → ∞, and Σ αt = ∞. For example, αt = 1/(t+1) in Brown's method for solving matrix games. In this paper, for a model class of iterative methods, the convergence rate for any damping sequence {αt} depending only on time t is computed. The computation is used to find the best damping sequence.
On the calculation of evolutionarily stable strategies.
On the Chvàtal-Erdős triangle game.
On the closed-form solution of the improved labor augmented Solow-Swan model.
On the complexity of -player Hackenbush.
On the complexity of problems on simple games
Simple games cover voting systems in which a single alternative, such as a bill or an amendment, is pitted against the status quo. A simple game or a yes-no voting system is a set of rules that specifies exactly which collections of “yea” votes yield passage of the issue at hand. Each of these collections of “yea” voters forms a winning coalition. We are interested in performing a complexity analysis on problems defined on such families of games. This analysis as usual depends on the game representation...
On the complexity of problems on simple games
Simple games cover voting systems in which a single alternative, such as a bill or an amendment, is pitted against the status quo. A simple game or a yes-no voting system is a set of rules that specifies exactly which collections of “yea” votes yield passage of the issue at hand. Each of these collections of “yea” voters forms a winning coalition. We are interested in performing a complexity analysis on problems defined on such families of games....
On the complexity of the Shapley-Scarf economy with several types of goods
In the Shapley-Scarf economy each agent is endowed with one unit of an indivisible good (house) and wants to exchange it for another, possibly the most preferred one among the houses in the market. In this economy, core is always nonempty and a core allocation can be found by the famous Top Trading Cycles algorithm. Recently, a modification of this economy, containing Q >= 2 types of goods (say, houses and cars for Q=2) has been introduced. We show that if the number of agents is 2, a complete...
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
Min-stable multivariate exponential (MSMVE) distributions constitute an important family of distributions, among others due to their relation to extreme-value distributions. Being true multivariate exponential models, they also represent a natural choicewhen modeling default times in credit portfolios. Despite being well-studied on an abstract level, the number of known parametric families is small. Furthermore, for most families only implicit stochastic representations are known. The present paper...
On the control of the difference between two Brownian motions: an application to energy markets modeling
We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of countermonotonicity with a negative correlation. This model of dependence between two Brownian motions B1 and B2 allows for the value of [...] to be higher than 1/2 when x is close to 0, which is not the case when the dependence is modeled by a constant...
On the core of an incomplete -person game
On the determination of optimal time horizon in a control problem in natural resource economics.
On the Distribution of the Present Value of Interest in Continuous Compounding