A zero-sum stochastic differential game problem on infinite horizon with continuous and impulse controls is studied. We obtain the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities. We also obtain a verification theorem which provides an optimal strategy of the game.
A zero-sum stochastic differential game problem on infinite horizon with continuous and impulse controls is studied. We obtain the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities. We also obtain a verification theorem which provides an optimal strategy of the game.
The paper is devoted to a connection between stochastic invariance in infinite dimensions and a consistency question of mathematical finance. We derive necessary and sufficient conditions for stochastic invariance of Nagumo’s type for stochastic equations with additive noise. They are applied to Ornstein-Uhlenbeck processes and to specific financial models. The case of evolution equations with general noise is discussed also and a comparison with recent results obtained by geometric methods is presented...
We compare two concepts of stochastic stability in spatial games. The classical approach to stochastic stability, introduced by Foster and Young [8], involves single configurations in the zero-noise limit. Ensemble stability discussed in [17] refers to ensembles of configurations in the limit of an infinite number of players. The above two limits may not commute. We will discuss reasons of such behaviour. We review some results concerning the effect of the number of players and the noise level on...
Most models for the time series of stock prices have centered on autoregresive (AR) processes. Traditionaly, fundamental Box-Jenkins analysis [3] have been the mainstream methodology used to develop time series models. Next, we briefly describe the develop a classical AR model for stock price forecasting. Then a fuzzy regression model is then introduced. Following this description, an artificial fuzzy neural network based on B-spline member ship function is presented as an alternative to the stock...
We describe a sequent calculus μLJ with primitives for inductive and coinductive datatypes and equip it with reduction rules allowing a sound translation of Gödel’s system T. We introduce the notion of a μ-closed category, relying on a uniform interpretation of open μLJ formulas as strong functors. We show that any μ-closed category is a sound model for μLJ. We then turn to the construction of a concrete μ-closed category based on Hyland-Ong game semantics. The model relies on three main ingredients:...
The article aims at the integration of the two research traditions of multi-level and of network analysis. To this effect, a strategy is presented which can be traced back to P.F. Lazarsfeld and H. Menzel's typology of units and of their properties. After having extended their classification to take account of more network concepts than was needed at their time, the Lazarsfeld-Menzel-Classification is used as a conceptual instrument to translate a research question, which first looks like a specialty...
This article, one of a series, approaches the topics of marriage and kinship through a revitalized kinetic structural approach that shifts the primary focus from abstract models of rules, terminologies, attitudes and norms to exploration of concrete relations in a population, analyzed graph-theoretically in their full complexity as networks. Network representation using the graphe de parenté (see below) serves as the basis for examining marriage alliance theory, population structure (such as endogamy...
The model of geographical space of the Earth is represented as a multilevel discrete grid structure. This provides a scientific basis for the construction of a natural geoinformation system of the globe with invariant organization of data in the form of a universal grid, i.e. a different-level set of elementary cells with discrete topology. A grid structure is a multilevel system of reference points, with respect to which a spatial analysis of the territory is carried out. Reference points have attributes...