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...

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...

We use in this chapter the viability/capturability approach for studying the problem of dynamic valuation and management of a portfolio with transaction costs in the framework of tychastic control systems (or dynamical games against nature) instead of stochastic control systems. Indeed, the very...

This study reconsiders the problem of hedging a liability by a portfolio made of a riskless asset and an underlying (underlying).

When the dependency ratio inactive/active increases to intolerable proportions, the question arises as to how and when pay-as-you-go social security systems can be controlled so as to safeguard a decent way of life to everyone. Between uncertainty linked to wages and the interest rate, and room...

This study reconsiders the problem of hedging a liability by a portfolio made of a riskless asset and an underlying (underlying).