O mathematické a morální naději. [IV.]
O nepřetržitém úrokování
Oligopoly equilibrium in pure exchange economies
Oligopoly Model of a Debit Card Network
JEL Classification: G21, L13.The paper builds an oligopoly model of a debit card network. It examines the competition between debit card issuers. We show that there is an optimal pricing for the debit card network, which maximizes all issuer’s revenues. The paper also shows that establishing a link between debit card networks averages the costs provided that there is no growth in the customer’s usage of the networks, resulting from the link.
On a class of risk processes with barriers and random incomes.
On a condition weaker than insatiability condition
A condition weaker than the insatiability condition is given.
On a continuous majority rule.
On a functional differential equation arising in the theory of the distribution of wealth.
On a game theoretical model of cooperative market
On a multi-objective optimization problem arising from production theory
The paper presents a natural application of multi-objective programming to household production and consumption theory. A contribution to multi-objective programming theory is also included.
On a New Form of Life Assurance
On a new solution concept for bargaining problems
The purpose of this paper is to discuss the properties of a new solution of the 2-person bargaining problem as formulated by Nash, the so-called Average Pay-off solution. This solution of a very simple form has a natural interpretation based on the center of gravity of the feasible set, and it is "more sensitive" to changes of feasible sets than any other standard bargaining solution. It satisfies the standard axioms: Pareto-Optimality, Symmetry, Scale Invariance, Continuity and Twisting. Moreover,...
On a nonstationary discrete time infinite horizon growth model with uncertainty
In this paper we examine a nonstationary discrete time, infinite horizon growth model with uncertainty. Under very general hypotheses on the data of the model, we establish the existence of an optimal program and we show that the values of the finite horizon problems tend to that of the infinite horizon as the end of the planning period approaches infinity. Finally we derive a transversality condition for optimality which does not involve dual variables (prices).
On a principle of choice among Bayes actions and its application for comparing experiments
On a regularization method for variational inequalities with P_0 mappings
We consider partial Browder-Tikhonov regularization techniques for variational inequality problems with P_0 cost mappings and box-constrained feasible sets. We present classes of economic equilibrium problems which satisfy such assumptions and propose a regularization method for these problems.
On Carathéodory's and Krein-Milman's theorems in fully ordered groups
On certain Markov processes attached to exponential functionals of Brownian motion: application to Asian options.
We obtain a closed formula for the Laplace transform of the first moment of certain exponential functionals of Brownian motion with drift, which gives the price of Asian options. The proof relies on an identity in law between the average on [0,t] of a geometric Brownian motion and the value at time t of a Markov process, for which we can compute explicitly the resolvent.
On computer-aided solving differential equations and stability study of markets.
On Conditional Value at Risk (CoVaR) for tail-dependent copulas
The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning event becomes more extreme. The results are illustrated with examples using the extreme value, conic and truncation invariant families of bivariate tail-dependent copulas.
On cooperative games connected with markets