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Bayesian Decision Theory and Stochastic Independence
Mongin, Philippe - 2019
Stochastic independence (SI) has a complex status in probability theory. It is not part of the definition of a … probability measure, but it is nonetheless an essential property for the mathematical development of this theory, hence a property … that any theory on the foundations of probability should be able to account for. Bayesian decision theory, which is one …
Persistent link: https://www.econbiz.de/10012872039
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Scheduling at a cross dock facility with stochastic truck arrival times
Karafa, Jeffrey; Golias, Mihalis M.; Ivey, Stephanie; … - In: Scheduling problems and solutions, (pp. 233-246). 2012
Persistent link: https://www.econbiz.de/10009562174
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Sharing delay costs in stochastic scheduling problems with delays
Gonçalves-Dosantos, J. C.; García-Jurado, Ignacio; … - In: 4OR : quarterly journal of the Belgian, French and … 18 (2020) 4, pp. 457-476
Persistent link: https://www.econbiz.de/10012494938
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Mean-Field Games and Ambiguity Aversion
Huang, Xuancheng - 2017
This paper looks at a general framework for mean-field games with ambiguity averse players based on the probabilistic framework described in Carmona (2013). A framework for mean-field games with ambiguity averse players is presented, using a version of the stochastic maximum principle to find...
Persistent link: https://www.econbiz.de/10012948219
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Robust Stochastic Games and Systemic Risk
Huang, Xuancheng - 2017
Interbank borrowing and lending may induce systemic risk into financial markets. A simple model of this is to assume that log-monetary reserves are coupled, and that banks can also borrow/lend from/to a central bank. When all banks optimize their cost of borrowing and lending, this leads to a...
Persistent link: https://www.econbiz.de/10012949299
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On the (Non)-Lattice Structure of Equilibrium Sets in Games with Strategic Substitutes
Roy, Sunanda - 2020
This paper studies models where the optimal response functions under consideration are non-increasing in endogenous variables, and weakly increasing in exogenous parameters. Such models include games with strategic substitutes, and include cases where additionally, some variables may be...
Persistent link: https://www.econbiz.de/10012824357
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Shapley-Based Stackelberg Leadership Formation in Networks
Belik, Ivan; Jörnsten, Kurt O. - 2015
In the given research we study a leadership formation of the most influential nodes in networks. Specifically, we analyze the competition between a leader and a follower based on the Stackelberg leadership model. Applying the concept of Shapley value to measure node’s importance, we represent...
Persistent link: https://www.econbiz.de/10014036195
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Common Mistakes in Computing the Nucleolus
Guajardo, Mario; Jörnsten, Kurt O. - 2014
Despite linear programming and duality have correctly been incorporated in algorithms to compute the nucleolus, we have found mistakes in how these have been used in a broad range of applications. Overlooking the fact that a linear program can have multiple optimal solutions and neglecting the...
Persistent link: https://www.econbiz.de/10014037353
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Robust Non-Zero-Sum Stochastic Differential Investment-Reinsurance Game
Pun, Chi Seng - 2017
This paper considers the non-zero-sum stochastic differential game problem between two ambiguity-averse insurers (AAIs) who encounter model uncertainty and seek the optimal investment and reinsurance decision under relative performance concerns. Each AAI invests in a risky asset and a risk-free...
Persistent link: https://www.econbiz.de/10012969836