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Convex orderings for stochastic processes

Bruno Bassan, Marco Scarsini (1991)

Commentationes Mathematicae Universitatis Carolinae

We consider partial orderings for stochastic processes induced by expectations of convex or increasing convex (concave or increasing concave) functionals. We prove that these orderings are implied by the analogous finite dimensional orderings.

Convex rearrangements of Lévy processes

Youri Davydov, Emmanuel Thilly (2007)

ESAIM: Probability and Statistics

In this paper we study asymptotic behavior of convex rearrangements of Lévy processes. In particular we obtain Glivenko-Cantelli-type strong limit theorems for the convexifications when the corresponding Lévy measure is regularly varying at + with exponent α ∈ (1,2).

Correlated equilibria in competitive staff selection problem

David M. Ramsey, Krzysztof Szajowski (2006)

Banach Center Publications

This paper deals with an extension of the concept of correlated strategies to Markov stopping games. The Nash equilibrium approach to solving nonzero-sum stopping games may give multiple solutions. An arbitrator can suggest to each player the decision to be applied at each stage based on a joint distribution over the players' decisions. This is a form of equilibrium selection. Examples of correlated equilibria in nonzero-sum games related to the staff selection competition in the case of two departments...

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