We study the problem of minimal initial capital needed in order to hedge a European contengent claim without risk. The financial market presents incompleteness arising from two sources: stochastic volatility and portfolio constraints described by a closed convex set. In contrast with previous...

This paper shows how to make hold the conjecture stated in Maskin an Tirole about the existence of a close connection between the finite, markovian stationary equilibria of a simple overlapping generations economy and the correlated equilibria of an associated finite exchange economy with...

Dans ce document, on itudie le seigneuriage dans un modhle ` ginirations imbriquies avec contrainte de liquiditi. La monnaie criie par le gouvernement sert ` financer un bien public. On considhre d'abord le cas oy c'est le seul instrument de financement, le bien public correspondant ` un...

This article is aimed at the reconsideration of Ramsey long-run distribution concerns, i.e., the so-called impatience problem, when consumption paths display homothetic growth. Is it possible for heterogeneous agents to survive in the course of an equilibrium characterised by a common growth...

L'origine de ce travaial reside dans la question, dite teleologique, de la justification de scenarios determines par optimisation intertemporelle, pour les modeles macroeconomiques d'une economie non planifiee, mais susceptible de regulation. On aborde cette question par un approche constructive...

In this paper, we define and study a new class of optimal stochastic control problems which is closely related to the theory of Backward SDE's and forward-backward SDE's. The controlled process takes values in RXR and a given initial data for X(O). Then, the control problem is to find the...

In this paper we propose two algorithms for solving both unweighted and weighted constrained two-dimensional two-staged cutting stock problems. The problem is called two-staged cutting problem because each produced (sub) optimal cutting pattern is realized by using two cut-phases.

IN this paper, we consider a two-level optimization problem (S) (weak Stackelberg problem) in which the constraints of the upper level problem depend on the set of optimal solutions of the lower level problem, supposed not necessarily a singleton. Using penalty methods, we give an approximation...