Optimalizace a diferenciální hry
Optimisation de plans de financement immobiliers
La finance de marché est devenue un des domaines d'ap- plication privilégiés de la recherche opérationnelle. D'un autre côté, rares sont les applications touchant la banque de détail, tournée vers le grand public. Dans ce papier, nous abordons un problème d'actualité dans le secteur bancaire français : l'optimisation de plans de financement immobiliers. Le travail que nous présentons a été effectué dans le cadre du développement par la société Experian-Prologia d'une nouvelle application d'instruction...
Optimisation d'une classification hiérarchique
Optimization of consumption with partial observation-Jensen inequality method
A solution to a model of optimal consumption with partial observation considered in [LOS] is presented. The approach is based on the Jensen inequality and does not require application of the filtering equation.
Optimization of parameters in the Menzerath–Altmann law
Four formulas of the Menzerath–Altmann law are tested from the point of view of their applicability and suitability. The accuracy of related approximations of measured data is examined by the least square method at first. Then the accuracy of calculated parameters in the formulas under consideration is compared statistically. The influence of neglecting parameter is investigated as well. Finally, the obtained results are discussed by means of an illustrative example from quantitative linguistics....
Optimization of Parameters in the Menzerath–Altmann Law, II
The paper continues our studies released under the same title [Andres, J., Kubáček, L., Machalová, J., Tučková, M.: Optimization of parameters in the Menzerath–Altmann law Acta Univ. Palacki. Olomuc., Fac. rer. nat., Math. 51, 1 (2012), 5–27.]. As the main result justifying the conclusions in [Andres, J., Kubáček, L., Machalová, J., Tučková, M.: Optimization of parameters in the Menzerath–Altmann law Acta Univ. Palacki. Olomuc., Fac. rer. nat., Math. 51, 1 (2012), 5–27.], the theorem is presented...
Option pricing in a CEV model with liquidity costs
The goal of this paper is to make an attempt to generalise the model of pricing European options with an illiquid underlying asset considered by Rogers and Singh (2010). We assume that an investor's decisions have only a temporary effect on the price, which is proportional to the square of the change of the number of asset units in the investor's portfolio. We also assume that the underlying asset price follows a CEV model. To prove existence and uniqueness of the solution, we use techniques similar...
Option pricing in the CRR model with proportional transaction costs: a cone transformation approach
Option pricing in the Cox-Ross-Rubinstein model with transaction costs is studied. Using a cone transformation approach a complete characterization of perfectly hedged options is given.
Option valuation under the VG process by a DG method
The paper presents a discontinuous Galerkin method for solving partial integro-differential equations arising from the European as well as American option pricing when the underlying asset follows an exponential variance gamma process. For practical purposes of numerical solving we introduce the modified option pricing problem resulting from a localization to a bounded domain and an approximation of small jumps, and we discuss the related error estimates. Then we employ a robust numerical procedure...
Optional splitting formula in a progressively enlarged filtration
Let F be a filtration andτbe a random time. Let G be the progressive enlargement of F withτ. We study the following formula, called the optional splitting formula: For any G-optional processY, there exists an F-optional processY′ and a function Y′′ defined on [0,∞] × (ℝ+ × Ω) being ℬ[0,∞]⊗x1d4aa;(F) measurable, such that Y=Y′1[0,τ)+Y′′(τ)1[τ,∞). (This formula can also be formulated for multiple random timesτ1,...,τk). We are interested in this formula because of its fundamental role in many...
Order extension of order monomorphisms on a preordered topological space.
Orderability of topological spaces by continuous preferences.
Ordinal utility and economic price indices.
Ordinal utility and economic price indices. (Summary).
Original title unknown
Oscillations, quasi-oscillations and joint continuity.
Oб одной бесконечношаговой модели леонтьевского типа
Parabolic variational inequalities with generalized reflecting directions
We study, in a Hilbert framework, some abstract parabolic variational inequalities, governed by reflecting subgradients with multiplicative perturbation, of the following type: y´(t)+ Ay(t)+0.t Θ(t,y(t)) ∂φ(y(t))∋f(t,y(t)),y(0) = y0,t ∈[0,T] where A is a linear self-adjoint operator, ∂φ is the subdifferential operator of a proper lower semicontinuous convex function φ defined on a suitable Hilbert space, and Θ is the perturbing term which acts on the set of reflecting directions, destroying the...
Parameter identification of a class of economical models.
Parameter optimization in nonzero-sum differential games