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作者：Calleja, Pedro; Llerena, Francesc; Sudholter, Peter
作者单位：University of Barcelona; Universitat Rovira i Virgili; Universitat Rovira i Virgili; University of Southern Denmark
摘要：A solution on a set of transferable utility (TU) games satisfies strong aggregate monotonicity (SAM) if every player can improve when the grand coalition becomes richer. It satisfies equal surplus division (ESD) if the solution allows the players to improve equally. We show that the set of weight systems generating weighted prenucleoli that satisfy SAM is open, which implies that for weight systems close enough to any regular system, the weighted prenucleolus satisfies SAM. We also provide a n...
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作者：Kouri, Drew P.; Surowiec, Thomas M.
作者单位：United States Department of Energy (DOE); Sandia National Laboratories; Philipps University Marburg
摘要：Uncertainty pervades virtually every branch of science and engineering, and in many disciplines, the underlying phenomena can be modeled by partial differential equations (PDEs) with uncertain or random inputs. This work is motivated by risk-averse stochastic programming problems constrained by PDEs. These problems are posed in infinite dimensions, which leads to a significant increase in the scale of the (discretized ) problem. In order to handle the inherent nonsmoothness of, for example, co...
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作者：Nino-Mora, Jose
摘要：The Whittle index, which characterizes optimal policies for controlling certain single restless bandit projects (a Markov decision process with two actions: active and passive) is the basis for a widely used heuristic index policy for the intractable restless multiarmed bandit problem. Yet two roadblocks need to be overcome to apply such a policy: the individual projects in the model at hand must be shown to be indexable, so that they possess a Whittle index; and the index must be evaluated. S...
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作者：Hong, Mingyi; Chang, Tsung-Hui; Wang, Xiangfeng; Razaviyayn, Meisam; Ma, Shiqian; Luo, Zhi-Quan
作者单位：University of Minnesota System; University of Minnesota Twin Cities; The Chinese University of Hong Kong, Shenzhen; Shenzhen Research Institute of Big Data; East China Normal University; University of Southern California; University of California System; University of California Davis
摘要：Consider the problem of minimizing the sum of a smooth convex function and a separable nonsmooth convex function subject to linear coupling constraints. Problems of this form arise in many contemporary applications, including signal processing, wireless networking, and smart grid provisioning. Motivated by the huge size of these applications, we propose a new class of first-order primal-dual algorithms called the block successive upper-bound minimization method of multipliers (BSUM-M) to solve...
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作者：Moriguchi, Satoko; Murota, Kazuo; Tamura, Akihisa; Tardella, Fablo
作者单位：Tokyo Metropolitan University; Keio University; Sapienza University Rome
摘要：For a function defined on the integer lattice, we consider discrete versions of midpoint convexity, which offer a unifying framework for discrete convexity of functions, including integral convexity, L-(sic)-convexity, and submodularity. By considering discrete midpoint convexity for all pairs at l(infinity)-distance equal to 2 or not smaller than 2, we identify new classes of discrete convex functions, called locally and globally discrete midpoint convex functions. These functions enjoy nice ...
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作者：Gao, Niushan; Munari, Cosimo
作者单位：Toronto Metropolitan University; University of Zurich; Swiss Finance Institute (SFI)
摘要：This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some special spaces of random variables. In this paper, we develop a theory of surplus invariance in its natural framework, namely, that of vector lattices. Besides providing a unifying perspective on the existing literature, we establish a variety of new results ...
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作者：Kartala, Xanthi-Isidora; Englezos, Nikolaos; Yannacopoulos, Athanasios N.
作者单位：Athens University of Economics & Business; University of Piraeus; Athens University of Economics & Business
摘要：In this paper we study a class of infinite horizon fully coupled forward-backward stochastic differential equations (FBSDEs) with random coefficients that are stimulated by various continuous time future expectations models. Under standard Lipschitz and monotonicity conditions and by means of the contraction mapping principle, we establish existence and uniqueness of an adapted solution, and we obtain results regarding the dependence of this solution on the data of the problem. Making further ...
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作者：Balkanski, Eric; Leme, Renato Paes
作者单位：Harvard University; Alphabet Inc.; Google Incorporated
摘要：Gross substitutability is a central concept in economics and is connected to important notions in discrete convex analysis, number theory, and the analysis of greedy algorithms in computer science. Many different characterizations are known for this class, but providing a constructive description remains a major open problem. The construction problem asks how to construct all gross substitutes from a class of simpler functions using a set of operations. Because gross substitutes are a natural ...
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作者：Guasoni, Paolo; Meireles-Rodrigues, Andrea A.
作者单位：Boston University; Dublin City University; University of York - UK
摘要：This paper finds optimal portfolios for the reference-dependent preferences by Koszegi and Rabin with piecewise linear gain-loss utility in a one-period model with a safe and a risky asset. If the return of the risky asset is highly dispersed relative to its potential gains, two personal equilibria arise, one of them including risky investments and the other one only safe holdings. In the same circumstances, the risky personal equilibrium entails market participation that decreases with loss a...
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作者：Braverman, Anton
作者单位：Northwestern University
摘要：This paper studies the steady-state properties of the join-the-shortest-queue model in the Halfin-Whitt regime. We focus on the process tracking the number of idle servers and the number of servers with nonempty buffers. Recently, Eschenfeldt and Gamarnik proved that a scaled version of this process converges, over finite time intervals, to a two-dimensional diffusion limit as the number of servers goes to infinity. In this paper, we prove that the diffusion limit is exponentially ergodic and ...
