In this paper, we study a class of time-inconsistent analogs (in the sense of Hu et al. (Time-inconsistent stochastic linear–quadratic control. Preprint, <CitationRef CitationID="CR13">2012</CitationRef>) which is originated from the mean-variance portfolio selection problem with state-dependent risk aversion in the context of financial...</citationref>

We propose a general framework to assess the value of the financial claims issued by the firm, European equity options and warrantsin terms of the stock price. In our framework, the firm's asset is assumed to follow a standard stationary lognormal process with constant volatility. However, it is...

This paper studies the problem of pricing contingent claims in a market which has frictions in the form of costs, such as penalty functions corresponding to constraints. An arbitrage-free interval is identified, and a fair price based upon utility functions is proposed. It provides a framework...

In his lectures at College de France, P.L. Lions introduced the concept of Master equation, see [5] for Mean Field Games. It is introduced in a heuristic fashion, from the system of partial differential equations, associated to a Nash equilibrium for a large, but finite, number of players. The...

The aim of the article is to identify the intraday seasonality in a wind speed time series. Following the traditional approach, the marginal probability law is Weibull and, consequently, we consider seasonal Weibull law. A new estimation and decision procedure to estimate the seasonal Weibull...

Diagnostic knowledge-based systems are used in a variety of application domains to support classification decisions. The effectiveness of such systems often decreases as the application environment or user preferences change over time. Hence, frequent adjustments to the system knowledge by a...

We deal with the problem of a profit-maximizing vendor selling a perishable product. At the beginning of a planning cycle, the vendor determines a minimum committed order per period. During the cycle, he may also place a supplemental order in each period based on the observed demand signal in...