Maintenance in single-server queues: a game-theoretic approach.
Malliavin calculus in Lev́y spaces and applications to finance.
Malliavin method for optimal investment in financial markets with memory
We consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market....
Man and computer
Market clearing price and equilibria of the progressive second price mechanism
The Progressive Second Price mechanism (PSP), recently introduced by Lazar and Semret to share an infinitely-divisible resource among users through pricing, has been shown to verify very interesting properties. Indeed, the incentive compatibility property of that scheme, and the convergence to an efficient resource allocation where established, using the framework of Game Theory. Therefore, that auction-based allocation and pricing scheme seems particularly well-suited to solve congestion problems...
Market completion using options
Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work [Proc. R. Soc. London, 2004], the first author provided a geometric condition under which trading in the underlying and a finite number of vanilla options completes the market. We complement this result in several ways. First, we show that the geometric condition is not necessary...
Markov stopping games with an absorbing state and total reward criterion
This work is concerned with discrete-time zero-sum games with Markov transitions on a denumerable space. At each decision time player II can stop the system paying a terminal reward to player I, or can let the system to continue its evolution. If the system is not halted, player I selects an action which affects the transitions and receives a running reward from player II. Assuming the existence of an absorbing state which is accessible from any other state, the performance of a pair of decision...
Martingale selection problem and asset pricing in finite discrete time.
Martingales and arbitrage: a new look.
Matematické metody v psychologii
Matematické modely oceňování amerických kupních opcí
Matematické teorie pojišťování
Mathematical analysis of the optimizing acquisition and retention over time problem
While making informed decisions regarding investments in customer retention and acquisition becomes a pressing managerial issue, formal models and analysis, which may provide insight into this topic, are still scarce. In this study we examine two dynamic models for optimal acquisition and retention models of a monopoly, the total cost and the cost per customer models. These models are analytically analyzed using classical, direct, methods and asymptotic expansions (for the total cost model). In...
Mathematical analysis of the optimizing acquisition and retention over time problem
While making informed decisions regarding investments in customer retention and acquisition becomes a pressing managerial issue, formal models and analysis, which may provide insight into this topic, are still scarce. In this study we examine two dynamic models for optimal acquisition and retention models of a monopoly, the total cost and the cost per customer models. These models are analytically analyzed using classical, direct, methods and asymptotic expansions (for the total cost model). In...
Mathematical methods in modern risk measurement: a survey.
Mathematical Modeling and Quantitative Analysis of the Demographic and Ecological Aspects of Russian Supermortality
We have carried out a polysystem analysis of the population dynamics by using a variety of hypotheses and their respective models based on different system interpretations of the phenomenon under investigation. Each of the models supplements standard dynamic equations for explaining the effects observed. A qualitative model-based analysis is made of the age-specific male mortality for a Siberian industrial city. The study revealed the tendencies...
Mathematical Modeling Describing the Effect of Fishing and Dispersion on Hermaphrodite Population Dynamics
In order to study the impact of fishing on a grouper population, we propose in this paper to model the dynamics of a grouper population in a fishing territory by using structured models. For that purpose, we have integrated the natural population growth, the fishing, the competition for shelter and the dispersion. The dispersion was considered as a consequence of the competition. First we prove, that the grouper stocks may be less sensitive to the...
Mathematical modeling of an industrial firm in transient economy.
Mathematical modelling of information age conflict.
Mathematical theory of growth with special regard to population problems