This paper considers model uncertainty for multistage stochastic programs. The data and information structure of the baseline model is a tree, on which the decision problem is defined. We consider “ambiguity neighborhoods” around this tree as alternative models which are close to the...

A duality for robust hedging with proportional transaction costs of path-dependent European options is obtained in a discrete-time financial market with one risky asset. The investor’s portfolio consists of a dynamically traded stock and a static position in vanilla options, which can be...

We study a class of games with a continuum of players for which Cournot-Nash equilibria can be obtained by the minimisation of some cost, related to optimal transport. This cost is not convex in the usual sense in general but it turns out to have hidden strict convexity properties in many...

This article is devoted to various methods (optimal transport, fixed-point, ordi- nary differential equations) to obtain existence and/or uniqueness of Cournot-Nash equilibria for games with a continuum of players with both attractive and repulsive effects. We mainly address separable situations...

We study the optimal transport between two probability measures on Rn sharing the same copula C. We investigate the optimality of the image of the probability measure dC by the vectors of pseudo-inverses of marginal distributions.

In this thesis we explore some uses of optimal control and mass transport in economic modeling. We thus catch the opportunity to bring together some works involving both tools, sometimes mixing them. First, we briefly present the recent mean field games theory introduced by Lasry & Lions and...

We consider the Gaussian correlation inequality for nonsymmetric convex sets. More precisely, if A⊂Rd is convex and the origin 0∈A, then for any ball B centered at the origin, it holds γd(A∩B)≥γd(A)γd(B), where γd is the standard Gaussian measure on Rd. This generalizes Proposition 1...

We study a class of games with a continuum of players for which Cournot-Nash equilibria can be obtained by the minimisation of some cost, related to optimal transport. This cost is not convex in the usual sense in general but it turns out to have hidden strict convexity properties in many...

We pose the central problem of defining a measure of complexity, specifically for spatial systems in general, city systems in particular. The measures we adopt are based on Shannon’s (in Bell Syst Tech J 27:379–423, 623–656, <CitationRef CitationID="CR19">1948</CitationRef>) definition of information. We introduce this measure and...</citationref>