A stochastic cobweb dynamical model.
A stochastic model of choice.
An approach to choice function theory is suggested which is probabilistic and non-deterministic. In the framework of this approach fuzzy choice functions are introduced and a number of necessary and sufficient conditions for a fuzzy choice function to be a fuzzy rational choice function of a certain type are established.
A stochastic overlapping generation model with a continuum of agents
We consider a stochastic overlapping generations model for a continuum of individuals with finite lives in presence of a financial market. In this paper, an agent's heterogeneity is given by the dates of birth of the household members, in contrast to standard models, in which each agent has his own aversion coefficient on his utility function. By means of martingale arguments, we compute the agent's optimal consumption and portfolio. A characterization of interest rate trajectories is given by mixed-type...
A stochastic programming approach to managing liquid asset portfolios
Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over a multi-period...
A study of the dynamic of influence through differential equations∗
The paper concerns a model of influence in which agents make their decisions on a certain issue. We assume that each agent is inclined to make a particular decision, but due to a possible influence of the others, his final decision may be different from his initial inclination. Since in reality the influence does not necessarily stop after one step, but may iterate, we present a model which allows us to study the dynamic of influence. An innovative...
A study of the dynamic of influence through differential equations∗
The paper concerns a model of influence in which agents make their decisions on a certain issue. We assume that each agent is inclined to make a particular decision, but due to a possible influence of the others, his final decision may be different from his initial inclination. Since in reality the influence does not necessarily stop after one step, but may iterate, we present a model which allows us to study the dynamic of influence. An innovative...
A survey on models for panel count data with applications to insurance.
A survey on topological games and their applications in analysis.
In this survey article we shall summarise some of the recent progress that has occurred in the study of topological games as well as their applications to abstract analysis. The topics given here do not necessarily represent the most important problems from the area of topological games, but rather, they represent a selection of problems that are of interest to the authors.
A symbolic shortest path algorithm for computing subgame-perfect Nash equilibria
Consider games where players wish to minimize the cost to reach some state. A subgame-perfect Nash equilibrium can be regarded as a collection of optimal paths on such games. Similarly, the well-known state-labeling algorithm used in model checking can be viewed as computing optimal paths on a Kripke structure, where each path has a minimum number of transitions. We exploit these similarities in a common generalization of extensive games and Kripke structures that we name “graph games”. By extending...
A synthesis of multidimensional judgements consistent with linear transformations.
A system of functional equations related to plurality functions. A method for the construction of the solutions.
A system of non-linear functional differential equations arising in an equilibrium model of an economy with borrowing constraints
A system on functional equations related to plurality functions. A method for the construction of the solutions. (Summary).
A tandem version of the cops and robber game played on products of graphs
In this version of the Cops and Robber game, the cops move in tandems, or pairs, such that they are at distance at most one from each other after every move. The problem is to determine, for a given graph G, the minimum number of tandems sufficient to guarantee a win for the cops. We investigate this game on three graph products, the Cartesian, categorical and strong products.
A Theorem On The Optimal Allocation Of Effort.
A theoretical analysis of season length restrictions in fisheries management.
A theoretical argument why the -copula explains credit risk contagion better than the Gaussian copula.
A theory of economic growth and the dynamics of the Russian economy.
A tight quantitative version of Arrow’s impossibility theorem
The well-known Impossibility Theorem of Arrow asserts that any generalized social welfare function (GSWF) with at least three alternatives, which satisfies Independence of Irrelevant Alternatives (IIA) and Unanimity and is not a dictatorship, is necessarily non-transitive. In 2002, Kalai asked whether one can obtain the following quantitative version of the theorem: For any , there exists such that if a GSWF on three alternatives satisfies the IIA condition and its probability of non-transitive...
A time-series approach to non-self-financing hedging in a discrete-time incomplete market.