A turnpike theorem for continuous-time control systems when the optimal stationary point is not unique.
A two armed bandit type problem revisited
In Benaïm and Ben Arous (2003) is solved a multi-armed bandit problem arising in the theory of learning in games. We propose a short and elementary proof of this result based on a variant of the Kronecker lemma.
A two armed bandit type problem revisited
In Benaïm and Ben Arous (2003) is solved a multi-armed bandit problem arising in the theory of learning in games. We propose a short and elementary proof of this result based on a variant of the Kronecker lemma.
A unified Lorenz-type approach to divergence and dependence [Book]
A value based on marginal contributions for multi–alternative games with restricted coalitions
This paper deals with cooperative games with players and alternatives which are called multi-alternative games. In the conventional multi-alternative games initiated by Bolger, each player can choose any alternative with equal possibilities. In actual social life, there exist situations in which players have some restrictions on their choice of alternatives. Considering such situations, we study restricted multi-alternative games. A value for a given game is proposed.
A variational inequality from pricing convertible bond.
A von Neumann model with an arbitrary number of steps
A wave-spectrum analysis of urban population density: Entropy, fractal, and spatial localization.
A winner's mean earnings in lottery and inverse moments of the binomial distribution.
About the properties of a modified generalized Beverton-Holt equation in ecology models.
Actions on environment under uncertainty: stochastic formulation and the associated deterministic problem.
Active stabilization of a chaotic urban system.
Actuarial Approach to Option Pricing in a Fractional Black-Scholes Model with Time-Dependent Volatility
We study actuarial methods of option pricing in a fractional Black-Scholes model with time-dependent volatility. We interpret the option as a potential loss and we show that the fair premium needed to insure this loss coincides with the expectation of the discounted claim payoff under the average risk neutral measure.
Adaptive prediction of stock exchange indices by state space wavelet networks
The paper considers the forecasting of the Warsaw Stock Exchange price index WIG20 by applying a state space wavelet network model of the index price. The approach can be applied to the development of tools for predicting changes of other economic indicators, especially stock exchange indices. The paper presents a general state space wavelet network model and the underlying principles. The model is applied to produce one session ahead and five sessions ahead adaptive predictors of the WIG20 index...
Adaptive predictions of the euro/złoty currency exchange rate using state space wavelet networks and forecast combinations
The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-dayahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underlying principles. The state space wavelet network model is, in contrast to econometric forecast combinations,...
Additivities in fuzzy coalition games with side-payments
The fuzzy coalition game theory brings a more realistic tools for the mathematical modelling of the negotiation process and its results. In this paper we limit our attention to the fuzzy extension of the simple model of coalition games with side-payments, and in the frame of this model we study one of the elementary concepts of the coalition game theory, namely its “additivities”, i. e., superadditivity, subadditivity and additivity in the strict sense. In the deterministic game theory these additivites...
Additivity in general coalition-games
Agrégation typologique de données de préférences
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Alcuni problemi matematici legati alla gestione ottima di un portafoglio
In questa conferenza, vengono esposte le idee essenziali che stanno alla base del classico problema di gestire un portafoglio in modo da rendere massima l'utilità media. I metodi tipici del controllo stocastico sono confrontati con le idee della dualità convessa infinito-dimensionale.