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作者：Laraki, Rida; Renault, Jerome
作者单位：Centre National de la Recherche Scientifique (CNRS); Universite PSL; Universite Paris-Dauphine; University of Liverpool; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We consider two-player, zero-sumstochastic games in which each player controls the player's own state variable living in a compact metric space. The terminology comes from gambling problems in which the state of a player represents its wealth in a casino. Under standard assumptions (e.g., continuous running payoff and nonexpansive transitions), we consider for each discount factor the value v(lambda) of the lambda-discounted stochastic game and investigate its limit when lambda goes to zero. W...
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作者：Jansen, Klaus; Klein, Kim-Manuel; Verschae, Jose
作者单位：University of Kiel; Universidad de O'Higgins
摘要：Makespan scheduling on identical machines is one of the most basic and fundamental packing problems studied in the discrete optimization literature. It asks for an assignment of n jobs to a set of m identical machines that minimizes the makespan. The problem is strongly NP-hard, and thus we do not expect a (1 + epsilon)-approximation algorithm with a running time that depends polynomially on 1/epsilon. It has been recently shown that a subexponential running time on 1/epsilon would imply that ...
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作者：Ernst, Philip A.; Rogers, L. C. G.
作者单位：Rice University; University of Cambridge
摘要：An investor may invest in a riskless bank account and in a stock that is a standard Black-Scholes asset with occasional Gaussian jumps of the log price, as proposed by Merton [Merton RC (1976) Option pricing when underlying stock returns are discontinuous. J. Financial Econom. 3(1):125-144.]. It is well known how to solve the standard running consumption problem for this investor, which we take as a benchmark for comparing the performance of two different insiders, one who knows in advance of ...
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作者：Singh, Mohit; Xie, Weijun
作者单位：University System of Georgia; Georgia Institute of Technology; Virginia Polytechnic Institute & State University
摘要：Experimental design is a classical statistics problem, and its aim is to estimate an unknown vector from linear measurements where a Gaussian noise is introduced in each measurement. For the combinatorial experimental design problem, the goal is to pick a subset of experiments so as to make the most accurate estimate of the unknown parameters. In this paper, we will study one of the most robust measures of error estimation-the D-optimality criterion, which corresponds to minimizing the volume ...
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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：Koh, Zhuan Khye; Sanita, Laura
作者单位：University of London; London School Economics & Political Science; University of Waterloo
摘要：An edge-weighted graph G is called stable if the value of a maximum-weight matching equals the value of a maximum-weight fractional matching. Stable graphs play an important role in network bargaining games and cooperative matching games, because they characterize instances that admit stable outcomes. We give the first polynomial-time algorithm to find a minimum cardinality subset of vertices whose removal from G yields a stable graph, for any weighted graph G. The algorithm is combinatorial a...
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作者：Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang
作者单位：Universite PSL; Universite Paris-Dauphine; Chinese University of Hong Kong; Hong Kong Polytechnic University
摘要：We consider a discrete time financial market with proportional transaction costs under model uncertainty and study a numeraire-based semistatic utility maximization problem with an exponential utility preference. The randomization techniques recently developed in Bouchard, Deng, and Tan [Bouchard B, Deng S, Tan X (2019) Super-replication with proportional transaction cost under model uncertainty. Math. Finance 29(3): 837-860.], allow us to transform the original problem into a frictionless cou...
