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On Itô's formula for multidimensional Brownian motion
Föllmer, Hans; Protter, Philip E. - 2001
Consider a d-dimensional Brownian motion X (Xl, ... ,Xd ) and a function F which belongs locally to the Sobolev space W 1,2. We prove an extension of Ito's formula where the usual second order terms are replaced by the quadratic covariations [fk(X), Xkj involving the weak first partial...
Persistent link: https://www.econbiz.de/10010310384
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On Itô's formula for multidimensional Brownian motion
Föllmer, Hans; Protter, Philip E. - Sonderforschungsbereich 373, Quantifikation und … - 2001
Consider a d-dimensional Brownian motion X (Xl, ... ,Xd ) and a function F which belongs locally to the Sobolev space W 1,2. We prove an extension of Ito's formula where the usual second order terms are replaced by the quadratic covariations [fk(X), Xkj involving the weak first partial...
Persistent link: https://www.econbiz.de/10010983660
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A basic model of real-financial market interactions with heterogeneous opinion dynamics
Hartmann, Florian; Charpe, Matthieu; Flaschel, Peter; … - 2016
We consider an alternative modelling approach to the mainstream DSGE paradigm, namely a Dynamic Stochastic General Disequilibrium (DSGD) baseline model of continuous and gradual adjustment processes on interacting real and financial markets. Heterogeneous capital gain expectations (chartists and...
Persistent link: https://www.econbiz.de/10011622139
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Paradox-proof utility functions for heavy-tailed payoffs: Two instructive two-envelope problems
Powers, Michael R. - In: Risks 3 (2015) 1, pp. 26-34
We identify restrictions on a decision maker's utility function that are both necessary and sufficient to preserve dominance reasoning in each of two versions of the Two-Envelope Paradox (TEP). For the classical TEP, the utility function must satisfy a certain recurrence inequality. For the St....
Persistent link: https://www.econbiz.de/10011709508
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A basic model of real-financial market interactions with heterogeneous opinion dynamics
Hartmann, Florian; Charpe, Matthieu; Flaschel, Peter; … - 2016
We consider an alternative modelling approach to the mainstream DSGE paradigm, namely a Dynamic Stochastic General Disequilibrium (DSGD) baseline model of continuous and gradual adjustment processes on interacting real and financial markets. Heterogeneous capital gain expectations (chartists and...
Persistent link: https://www.econbiz.de/10011490978
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Paradox-proof utility functions for heavy-tailed payoffs : two instructive two-envelope problems
Powers, Michael R. - In: Risks : open access journal 3 (2015) 1, pp. 26-34
We identify restrictions on a decision maker's utility function that are both necessary and sufficient to preserve dominance reasoning in each of two versions of the Two-Envelope Paradox (TEP). For the classical TEP, the utility function must satisfy a certain recurrence inequality. For the St....
Persistent link: https://www.econbiz.de/10010482072
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Rethinking team boundaries
Mortensen, Mark; Haas, Martine R. - 2016
Persistent link: https://www.econbiz.de/10011667841
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New perspectives on the Gini and Bonferroni indices of inequality
Chakravarty, Satya R.; Sarkar, Palash - 2020
Persistent link: https://www.econbiz.de/10012424677
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A generalization of Fenchel duality in set-valued vector optimization
Song, Wen - In: Computational Statistics 48 (1998) 2, pp. 259-272
A Fenchel duality result is presented for a convex set-valued vector optimization problem under boundedness or …
Persistent link: https://www.econbiz.de/10010848027
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On boundedness of (quasi-)convex integer optimization problems
Obuchowska, Wiesława - In: Mathematical Methods of Operations Research 68 (2008) 3, pp. 445-467
In this paper we are concerned with the problem of boundedness and the existence of optimal solutions to the … constrained integer optimization problem. We present necessary and sufficient conditions for boundedness of either a faithfully … constraints and/or quasi-convex polynomial inequalities. The conditions for boundedness are provided in the form of an …
Persistent link: https://www.econbiz.de/10010999678