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作者：Levi, Retsef; Roundy, Robin O.; Shmoys, David B.
作者单位：Massachusetts Institute of Technology (MIT); Cornell University; Cornell University
摘要：In this paper, we consider two fundamental inventory models, the single-period newsvendor problem and its multiperiod extension, but under the assumption that the explicit demand distributions are not known and that the only information available is a set of independent samples drawn from the true distributions. Under the assumption that the demand distributions are given explicitly, these models are well studied and relatively straightforward to solve. However, in most real-life scenarios, th...
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作者：Mikosch, Thomas; Samorodnitsky, Gennady
作者单位：University of Copenhagen; Cornell University
摘要：We study different scaling behavior of very general telecommunications cumulative input processes. The activities of a telecommunication system are described by a marked-point process ((T-n, Z(n)))(n is an element of z), where T-n is the arrival time of a packet brought to the system or the starting time of the activity of an individual source, and the mark Z(n) is the amount of work brought to the system at time T-n. This model includes the popular ON/OFF process and the infinite-source Poiss...
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作者：Horst, Ulrich; Mueller, Matthias
作者单位：University of British Columbia
摘要：We propose a method of pricing financial securities written on nontradable underlyings such as temperature or precipitation levels. To this end, we analyze a financial market where agents are exposed to financial and nonfinancial risk factors. The agents hedge their financial risk in the stock market and trade a risk bond issued by an insurance company. From the issuer's point of view the bond's primary purpose is to shift insurance risks related to noncatastrophic weather events to financial ...
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作者：Mordukhovich, Boris S.
作者单位：Wayne State University
摘要：This paper is devoted to applications of modem methods of variational analysis to constrained optimization and control problems generally formulated in infinite-dimensional spaces. The main focus is on the study of problems with nonsmooth structures, which require the usage of advanced tools of generalized differentiation. In this way we derive new necessary optimality conditions in optimization problems with functional and operator constraints and then apply them to optimal control problems g...
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作者：Renault, Jerome; Scarsini, Marco; Tornala, Tristan
作者单位：Universite PSL; Universite Paris-Dauphine; Luiss Guido Carli University
摘要：This paper studies a repeated minority game with public signals, symmetric bounded recall, and pure strategies. We investigate both public and private equilibria of the game with fixed recall size. We first show how public equilibria in such a repeated game can be represented as colored subgraphs of a de Bruijn graph. Then we prove that the set of public equilibrium payoffs with bounded recall converges to the set of uniform equilibrium payoffs as the size of the recall increases. We also show...
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作者：Holzman, Ron; Peleg, Bezalel; Sudholter, Peter
作者单位：Technion Israel Institute of Technology; Hebrew University of Jerusalem; University of Southern Denmark
摘要：Let A be a finite set of in alternatives, let N be a finite set of n players, and let R-N be a profile of linear orders on A of the players. Let u(N) be a profile of utility functions for R-N. We define the nontransferable utility (NTU) game V-uN that corresponds to simple majority voting, and investigate its Aumann-Davis-Maschler and Mas-Colell bargaining sets. The first bargaining set is nonempty for in <= 3, and it may be empty for in >= 4. However, in a simple probabilistic model, for fixe...
