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On the complexity of the Shapley-Scarf economy with several types of goods

Katarína Cechlárová (2009)

Kybernetika

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

German Bernhart, Jan-Frederik Mai, Matthias Scherer (2015)

Dependence Modeling

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

Thomas Deschatre (2016)

Dependence 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 hardness of game equivalence under local isomorphism

Joaquim Gabarró, Alina García, Maria Serna (2013)

RAIRO - Theoretical Informatics and Applications - Informatique Théorique et Applications

We introduce a type of isomorphism among strategic games that we call local isomorphism. Local isomorphisms is a weaker version of the notions of strong and weak game isomorphism introduced in [J. Gabarro, A. Garcia and M. Serna, Theor. Comput. Sci. 412 (2011) 6675–6695]. In a local isomorphism it is required to preserve, for any player, the player’s preferences on the sets of strategy profiles that differ only in the action selected by this player. We show that the game isomorphism problem for...

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