Decision making in an incompletely known stochastic system, II
S. Trybuła, K. Szajowski (1987)
Applicationes Mathematicae
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S. Trybuła, K. Szajowski (1987)
Applicationes Mathematicae
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Chi-Kwong Li, Wing-Keung Wong (2010)
RAIRO - Operations Research
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In this paper, we develop some stochastic dominance theorems for the location and scale family and linear combinations of random variables and for risk lovers as well as risk averters that extend results in Hadar and Russell (1971) and Tesfatsion (1976). The results are discussed and applied to decision-making.
Chi-Kwong Li, Wing-Keung Wong (1999)
RAIRO - Operations Research - Recherche Opérationnelle
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Łukasz Delong (2012)
Applicationes Mathematicae
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We deal with pricing and hedging for a payment process. We investigate a Black-Scholes financial market with stochastic coefficients and a stream of liabilities with claims occurring at random times, continuously over the duration of the contract and at the terminal time. The random times of the claims are generated by a random measure with a stochastic intensity of jumps. The claims are written on the asset traded in the financial market and on the non-tradeable source of risk driven...