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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：Bonet, Blai
作者单位：Simon Bolivar University
摘要：We establish a bound on the convergence time of the value iteration algorithm on stochastic shortest-path problems. The bound. which applies for admissible initial vectors as, for example, J 0, implies a polynomial-time convergence of value iteration for all problems with polynormally bounded ||J*||/g. This result gives a partial answer to the open problem of bounding the convergence time of value iteration on arbitrary initial vectors. The proof is obtained by analyzing a stochastic process a...
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作者：Moulin, Herve
作者单位：Rice University
摘要：A deterministic server is shared by users with identical linear waiting costs, requesting jobs of arbitrary lengths. Shortest jobs are served first for efficiency. The server can monitor the length of a job but not the identity of the job's user, thus merging, splitting, or partially transferring jobs offer cooperative strategic opportunities. Can we design cash transfers to neutralize such manipulations? We prove that mergeproofness and splitproofness are not compatible, and that it is simila...
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作者：Debicki, K.; Dieker, A. B.; Rolski, T.
作者单位：University of Wroclaw; Centrum Wiskunde & Informatica (CWI); University of Twente
摘要：We study stochastic tree fluid networks driven by a multidimensional Levy process. We are interested in (the joint distribution of) the steady-state content in each of the buffers, the busy periods, and the idle periods. To investigate these fluid networks, we relate the above three quantities to fluctuations of the input Levy process by solving a multidimensional Skorokhod reflection problem. This leads to the analysis of the distribution of the componentwise maximums, the corresponding epoch...
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作者：Kiwiel, Krzysztof C.; Larsson, Torbjoern; Lindberg, P. O.
作者单位：Polish Academy of Sciences; Systems Research Institute of the Polish Academy of Sciences; Linkoping University
摘要：We exhibit useful properties of ballstep subgradient methods for convex optimization using level controls for estimating the optimal value. Augmented with simple averaging schemes, they asymptotically find objective and constraint subgradients involved in optimality conditions. When applied to Lagrangian relaxation of convex programs, they find both primal and dual solutions, and have practicable stopping criteria. Up until now, similar results have only been known for proximal bundle methods,...
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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：Sethuraman, Jay; Tsitsiklis, John N.
作者单位：Columbia University; Massachusetts Institute of Technology (MIT)
摘要：We consider a generalization of the model of stochastic search in an out-forest, introduced and studied by E. V. Denardo, U. G. Rothblum, L. Van der Heyden. 2004. Index policies for stochastic search in a forest with an application to R&D project management. Math. Oper Res. 29(1) 162-181. We provide a simpler proof of the optimality of index-based policies.
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作者：Naniewicz, Zdzislaw
作者单位：Cardinal Stefan Wyszynski University in Warsaw
摘要：The motivation for this paper is the Walrasian general equilibrium model of economy, as formulated by Arrow and Debreu [Arrow, K., G. Debreu. 1954. Existence of an equilibrium for a competitive economy. Econometrica 22 264-290]. The problem considered takes the form of a system of variational inequalities on a reflexive Banach space as the infinite dimensional commodity space. The conditions sufficient for the existence of solutions are provided by means of the theory of pseudomonotone multiva...
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作者：Richman, Oran; Shimkin, Nahum
作者单位：Technion Israel Institute of Technology
摘要：We consider the problem of selfish routing in a congested network shared by several users, where each user wishes to minimize the cost of its own flow. Users are atomic, in the sense that each has a nonnegligible amount of flow demand, and flows may be split over different routes. The total cost for each user is the sum of its link costs, which, in turn, may depend on the user's own flow as well as the total flow on that link. Our main interest here is network topologies that ensure uniqueness...
