We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of independent random variables. We provide and test an algori thm, which is based on the celebrated...

Dealing with multi-valued data has become quite common in both the framework of databases as well as data analysis. Such data can be constrained by domain knowledge provided by relations between the variables and these relations are expressed by rules. However, such knowledge can introduce a...

We consider a problem of derivatives design under asymmetry of information: the principal sells a contingent claim to an agent, the type of whom he does not know. More precisely, the principal designs a contingent claim and prices it for each possible agent type, in such a way that each agent...

This paper deals with inertia functions in control theory introduced in Aubin, Bernardo and Saint-Pierre (2004, 2005) and their adaptation to dynamical games. The inertia function associates with any initial state-control pair the smallest of the worst norms over time of the velocities of the...

In this paper we show that for every nonempty convex compact subset K of a finite dimensional space E there exists a Lipschitz function F: E → R, such that ∂F, generalized gradient of F in the sense of Clarke [4] is equal everywhere to K.