On Solving Stochastic MADM Problems
On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model
We find a probabilistic representation of the Laplace transform of some special functional of geometric Brownian motion using squared Bessel and radial Ornstein-Uhlenbeck processes. Knowing the transition density functions of these processes, we obtain closed formulas for certain expectations of the relevant functional. Among other things we compute the Laplace transform of the exponent of the T transforms of Brownian motion with drift used by Donati-Martin, Matsumoto, and Yor in a variety of identities...
On some geometric properties of -homogeneous production functions in microeconomics
On some joint-life annuities
On some layer-based risk measures with applications to exponential dispersion models.
On some problem of A. Rosłanowski
We present a negative answer to problem 3.7(b) posed on page 193 of [2], where, in fact, A. Rosłanowski asked: Does every set of Lebesgue measure zero belong to some Mycielski ideal?
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....