Statistical experiments possess the property of adaptivity, if the ignorance of a nuisance parameter does not cause any loss in efficiency. In order to include a large variety of cases, the efficiency is measured in terms of minimax bounds. It is shown that a necessary and sufficient condition...

Let {Xn}, {Yn} be Markov process on k, satisfying Xn+1 = T1(Xn)+Zn, Yn+1 = T2(Yn)+Zn, where {Zn} are i.i.d random variables. Let [mu]X resp. [mu]Y be the stationary distributions of {Xn}resp. {Yn}. We introduce an order relation for probabilities measuring the degree of concentration around zero...

The 1/N investment strategy, i.e. the strategy to split one’s wealth uniformly between the available investment possibilities, recently received plenty of attention in the literature. In this paper, we demonstrate that the uniform investment strategy is rational in situations where an agent is...

We demonstrate how the problem of determining the ask price for electricity swing options can be considered as a stochastic bilevel program with asymmetric information. Unlike as for financial options, there is no way for basing the pricing method on no-arbitrage arguments. Two main situations...