Growth versus environment in dynamic models of capital accumulation.
Grüss-type bounds for the covariance of transformed random variables.
Hamiltonian trajectories and saddle points in mathematical economics
Handling a Kullback-Leibler divergence random walk for scheduling effective patrol strategies in Stackelberg security games
This paper presents a new model for computing optimal randomized security policies in non-cooperative Stackelberg Security Games (SSGs) for multiple players. Our framework rests upon the extraproximal method and its extension to Markov chains, within which we explicitly compute the unique Stackelberg/Nash equilibrium of the game by employing the Lagrange method and introducing the Tikhonov regularization method. We also consider a game-theory realization of the problem that involves defenders and...
Heavy viable trajectories of controlled systems
Hedging in complete markets driven by normal martingales
This paper aims at a unified treatment of hedging in market models driven by martingales with deterministic bracket , including Brownian motion and the Poisson process as particular cases. Replicating hedging strategies for European, Asian and Lookback options are explicitly computed using either the Clark-Ocone formula or an extension of the delta hedging method, depending on which is most appropriate.
Heterogeneous traders, price-volume signals, and complex asset price dynamics.
Hierarchical solution concept for static and multistage decision problems with two objectives
Hopf bifurcation in the IS-LM business cycle model with time delay.
How to state necessary optimality conditions for control problems with deviating arguments?
The aim of this paper is to give a general idea to state optimality conditions of control problems in the following form: , (1) where is a set of admissible controls and is the solution of the following equation: ; . (2). The results are nonlocal and new.
I modelli della ricerca operativa nella realizzazione di processi decisionali attraverso agenti autonomi
This paper presents a critical view on the use of optimization models in production environment. Distributed decision process based on the concepts of autonomous agents is introduced in the framework of a deterministic optimization model. The modeling problems and the underlying theoretical background are briefly discussed.
Imperfect reworking process consideration in integrated inventory model under permissible delay in payments.
Imprecise notions in individual and group decision theory: Resolutions of Allais paradox and related problems.
This paper deals with two ways in which uncertainty notions enter social science models: 1) They can be used in an effort to make intelligible some phenomena that would otherwise be difficult to comprehend, or 2) They can be use to generalize or modify the domain of validity of some theoretical results.
Impulsivity in binary choices and the emergence of periodicity.
In search of a warning strategy against exchange-rate attacks: Forecasting tactics using artificial neural networks. (91Bxx.)
Incomplete Markets: the concept of generalized equilibrium and its existence theorem.
Incompleteness of the bond market with Lévy noise under the physical measure
The problem of completeness of the forward rate based bond market model driven by a Lévy process under the physical measure is examined. The incompleteness of market in the case when the Lévy measure has a density function is shown. The required elements of the theory of stochastic integration over the compensated jump measure under a martingale measure are presented and the corresponding integral representation of local martingales is proven.
Indices económicos. Modelo dinámico de inversión.
Se estudia el problema de inversión en un mercado en donde las rentabilidades aleatorias de los títulos satisfacen una relación temporal con rentabilidades anteriores y las interrelaciones vendrán dadas a través de unos índices, uno común a todos los títulos y otro específico del sector en que pueda incluirse cada título.
Indifference valuation in incomplete binomial models
The indifference valuation problem in incomplete binomial models is analyzed. The model is more general than the ones studied so far, because the stochastic factor, which generates the market incompleteness, may affect the transition propabilities and/or the values of the traded asset as well as the claim’s payoff. Two pricing algorithms are constructed which use, respectively, the minimal martingale and the minimal entropy measures. We study in detail the interplay among the different kinds of...
Inefficient equilibria in transition economy.