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El potencial de Hart y Mas-Colell para juegos restringidos por grafos.

J. M. Bilbao Arrese, Jorge López Vázquez (1996)

Qüestiió

This paper analyzes a model of formation of connected coalitions in a cooperative game. This model is a communication situation, and the Shapley value of this graph-restricted game is the Myerson value. The potential function for cooperative games was defined by Hart and Mas-Colell, and Winter showed that the Myerson value admits a potential function. We study a recursive procedure for computing the potential of the Myerson value. In section 3, we use the Myerson value for measuring voting power...

El problema de selección de la cartera en un mercado logarítmico-normal con criterio de utilidad R-ε.

Eduardo Ramos Méndez (1983)

Trabajos de Estadística e Investigación Operativa

Se estudia el problema de selección de la cartera bajo la hipótesis de que las rentas de los títulos individuales y de las carteras siguen distribuciones logarítmico-normales empleando como criterio de ordenación del conjunto de carteras el criterio de utilidad del riesgo fijado R-ε. Se proporciona el modo de obtener la cartera correspondiente a cada nivel de riesgo, así como el subconjunto de carteras eficientes.

Elementary Introduction to Stochastic Finance in Discrete Time

Peter Jaeger (2012)

Formalized Mathematics

This article gives an elementary introduction to stochastic finance (in discrete time). A formalization of random variables is given and some elements of Borel sets are considered. Furthermore, special functions (for buying a present portfolio and the value of a portfolio in the future) and some statements about the relation between these functions are introduced. For details see: [8] (p. 185), [7] (pp. 12, 20), [6] (pp. 3-6).

Elementos para el cálculo de costes fijos y variables de elementos productivos.

Albert Corominas (1990)

Qüestiió

Los costes fijos y variables de un elemento productivo dependen de la política de renovación del elemento y de la intensidad de utilización del mismo. En el artículo se estudia esta dependencia y se establecen expresiones para el cálculo del coste fijo y de una parte del coste variable.

Embedding partially ordered sets into ω ω

Ilijas Farah (1996)

Fundamenta Mathematicae

We investigate some natural questions about the class of posets which can be embedded into ⟨ω,≤*⟩. Our main tool is a simple ccc forcing notion H E which generically embeds a given poset E into ⟨ω,≤*⟩ and does this in a “minimal” way (see Theorems 9.1, 10.1, 6.1 and 9.2).

Empirical approximation in Markov games under unbounded payoff: discounted and average criteria

Fernando Luque-Vásquez, J. Adolfo Minjárez-Sosa (2017)

Kybernetika

This work deals with a class of discrete-time zero-sum Markov games whose state process x t evolves according to the equation x t + 1 = F ( x t , a t , b t , ξ t ) , where a t and b t represent the actions of player 1 and 2, respectively, and ξ t is a sequence of independent and identically distributed random variables with unknown distribution θ . Assuming possibly unbounded payoff, and using the empirical distribution to estimate θ , we introduce approximation schemes for the value of the game as well as for optimal strategies considering both,...

Entropic Conditions and Hedging

Samuel Njoh (2007)

ESAIM: Probability and Statistics

In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying (e.g. electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential...

Entry-exit decisions with implementation delay under uncertainty

Yong-Chao Zhang (2018)

Applications of Mathematics

We employ a natural method from the perspective of the optimal stopping theory to analyze entry-exit decisions with implementation delay of a project, and provide closed expressions for optimal entry decision times, optimal exit decision times, and the maximal expected present value of the project. The results in conventional research were obtained under the restriction that the sum of the entry cost and exit cost is nonnegative. In practice, we may meet cases when this sum is negative, so it is...

EPQ Model with Imperfect Quality Raw Material

El-Kassar, Abdul-Nasser, Salameh, Moueen, Bitar, Mokarram (2012)

Mathematica Balkanica New Series

MSC 2010: 26A33, 33E12, 33C60, 44A20The classical economic production model (EPQ) has been extended in many directions to incorporate factors encountered in real-life situations. In this paper, an EPQ model that accounts for the cost of raw material needed for production is examined. It is assumed that the raw material acquired from the supplier contains a percentage of imperfect quality items. At the beginning of the inventory cycle, the raw material is received instantaneously, and a 100% screening...

Equilibria in a class of games and topological results implying their existence.

R.S. Simon, S. Spiez, H. Torunczyk (2008)

RACSAM

We survey results related to the problem of the existence of equilibria in some classes of infinitely repeated two-person games of incomplete information on one side, first considered by Aumann, Maschler and Stearns. We generalize this setting to a broader one of principal-agent problems. We also discuss topological results needed, presenting them dually (using cohomology in place of homology) and more systematically than in our earlier papers.

Equilibria in constrained concave bimatrix games

Wojciech Połowczuk, Tadeusz Radzik (2013)

Applicationes Mathematicae

We study a generalization of bimatrix games in which not all pairs of players' pure strategies are admissible. It is shown that under some additional convexity assumptions such games have equilibria of a very simple structure, consisting of two probability distributions with at most two-element supports. Next this result is used to get a theorem about the existence of Nash equilibria in bimatrix games with a possibility of payoffs equal to -∞. The first of these results is a discrete counterpart...

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