A Quantitative Model for Evaluating the Impact of a Polluting Stack
A recursive robust Bayesian estimation in partially observed financial market
I propose a nonlinear Bayesian methodology to estimate the latent states which are partially observed in financial market. The distinguishable character of my methodology is that the recursive Bayesian estimation can be represented by some deterministic partial differential equation (PDE) (or evolution equation in the general case) parameterized by the underlying observation path. Unlike the traditional stochastic filtering equation, this dynamical representation is continuously dependent on the...
A reduced modelling approach to the pricing of mortgage backed securities.
A refinement of the concept of equilibrium in multiple objective continous games.
A repeated imitation model with dependence between stages: Decision strategies and rewards
Adversarial decision making is aimed at determining strategies to anticipate the behavior of an opponent trying to learn from our actions. One defense is to make decisions intended to confuse the opponent, although our rewards can be diminished. This idea has already been captured in an adversarial model introduced in a previous work, in which two agents separately issue responses to an unknown sequence of external inputs. Each agent's reward depends on the current input and the responses of both...
A review of discrete-time risk models.
A scaling result for explosive processes.
A second-order stochastic dominance portfolio efficiency measure
In this paper, we introduce a new linear programming second-order stochastic dominance (SSD) portfolio efficiency test for portfolios with scenario approach for distribution of outcomes and a new SSD portfolio inefficiency measure. The test utilizes the relationship between CVaR and dual second-order stochastic dominance, and contrary to tests in Post [Post] and Kuosmanen [Kuosmanen], our test detects a dominating portfolio which is SSD efficient. We derive also a necessary condition for SSD efficiency...
A selection and a fixed point theorem and an equilibrium point of an abstract economy.
A Semiparametric Technique to Estimate Survival Probabilities.
A silent duel under arbitrary moving
A silent versus partially noisy one-bullet duel under arbitrary motion
A silent-noisy versus silent duel
A silent-silent duel with randomly detected opponents
A simple nonlinear dynamic model for unemployment: Explaining the spanish case.
A simple proof of Suzumura's extension theorem for finite domains with applications.
A simple proof of the minimax-theorem
A simple proof that determinacy implies Lebesgue measurability.
A solution of two-person single-suit whist.
A spatially extended model for residential segregation.