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Market clearing price and equilibria of the progressive second price mechanism

Patrick Maillé (2007)

RAIRO - Operations Research


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

Mark Davis, Jan Obłój (2008)

Banach Center Publications

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...

Mathematical analysis of the optimizing acquisition and retention over time problem

Adi Ditkowski (2009)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

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

Adi Ditkowski (2008)

ESAIM: Mathematical Modelling and Numerical Analysis

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 Modeling Describing the Effect of Fishing and Dispersion on Hermaphrodite Population Dynamics

S. Ben Miled, A. Kebir, M. L. Hbid (2010)

Mathematical Modelling of Natural Phenomena

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...

Mean stability of a stochastic difference equation

Viorica Mariela Ungureanu, Sui Sun Cheng (2008)

Annales Polonici Mathematici

A simple personal saving model with interest rate based on random fluctuation of national growth rate is considered. We establish connections between the mean stochastic stability of our model and the deterministic stability of related partial difference equations. Then the asymptotic behavior of our stochastic model is studied. Although the model is simple, the techniques for obtaining its properties are not, and we make use of the theory of abstract Banach algebras and weighted spaces. It is hoped...

Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations

Nikolai Dokuchaev (2010)

ESAIM: Control, Optimisation and Calculus of Variations

The paper studies optimal portfolio selection for discrete time market models in mean-variance and goal achieving setting. The optimal strategies are obtained for models with an observed process that causes serial correlations of price changes. The optimal strategies are found to be myopic for the goal-achieving problem and quasi-myopic for the mean variance portfolio.

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