All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Previous Page 21 Next

Displaying 401 – 420 of 1948

Showing per page

Comparison principle approach to utility maximization

Peter Imkeller, Victor Nzengang (2015)

Banach Center Publications

We consider the problem of optimal investment for maximal expected utility in an incomplete market with trading strategies subject to closed constraints. Under the assumption that the underlying utility function has constant sign, we employ the comparison principle for BSDEs to construct a family of supermartingales leading to a necessary and sufficient condition for optimality. As a consequence, the value function is characterized as the initial value of a BSDE with Lipschitz growth.

Complementarities and the existence of strong Berge equilibrium

Kerim Keskin, H. Çağrı Sağlam (2014)

RAIRO - Operations Research - Recherche Opérationnelle

This paper studies the existence and the order structure of strong Berge equilibrium, a refinement of Nash equilibrium, for games with strategic complementarities à la strong Berge. It is shown that the equilibrium set is a nonempty complete lattice. Moreover, we provide a monotone comparative statics result such that the greatest and the lowest equilibria are increasing.

Composition and structure of social networks

Ove Frank (1997)

Mathématiques et Sciences Humaines

Social networks representing one or more relationships between individuals and one or more categorical characteristics of the individuals exhibit both structure and composition. Probabilistic models of such networks can be used for analyzing the interrelations between structural and compositional variables, for instance in order to find how structure can be explained by composition or how structure explains composition. Different models are discussed and different statistical methods are employed...

Compound Compound Poisson Risk Model

Minkova, Leda D. (2009)

Serdica Mathematical Journal

2000 Mathematics Subject Classification: 60K10, 62P05.The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process. The model is called Compound Compound Poisson Risk Model. Some basic properties and ruin probability are given. We analyze the model under the proportional reinsurance. The optimal retention level and the corresponding adjustment coefficient are obtained. The particular case of the Pólya-Aeppli...

Computational aspects of robust Holt-Winters smoothing based on M -estimation

Christophe Croux, Sarah Gelper, Roland Fried (2008)

Applications of Mathematics

To obtain a robust version of exponential and Holt-Winters smoothing the idea of M -estimation can be used. The difficulty is the formulation of an easy-to-use recursive formula for its computation. A first attempt was made by Cipra (Robust exponential smoothing, J. Forecast. 11 (1992), 57–69). The recursive formulation presented there, however, is unstable. In this paper, a new recursive computing scheme is proposed. A simulation study illustrates that the new recursions result in smaller forecast...

Computational technique for treating the nonlinear Black-Scholes equation with the effect of transaction costs

Hitoshi Imai, Naoyuki Ishimura, Hideo Sakaguchi (2007)

Kybernetika

We deal with numerical computation of the nonlinear partial differential equations (PDEs) of Black–Scholes type which incorporate the effect of transaction costs. Our proposed technique surmounts the difficulty of infinite domains and unbounded values of the solutions. Numerical implementation shows the validity of our scheme.

Currently displaying 401 – 420 of 1948