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DESIGNING RANDOM ALLOCATION MECHANISMS:THEORY AND APPLICATIONS
Market Design Random Assignment Birkhoff-von Neumann Theorem Probabilistic Serial Pseudo-Market Utility Guarantee Assignment Messages
2015/7/21
Randomization is a common feature of everyday resource allocation. We generalize the theory of randomized assignment to accommodate various real-world constraints such as group-specific quotas (“contr...
Equilibrium Selection in Multi-Player Games with Auction Applications
Auction Applications Equilibrium Selection
2015/7/21
We introduce two new equilibrium re nements for nite normal
form games, both of which incorporate the intuitive idea that a costless
deviation by one player is more likely than a costly deviation b...
Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In Commodity Derivative Models
Time-Changed Ornstein-Uhlenbeck Processes Commodity Derivative Models Pricing of Securities
2012/4/28
This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU diffusions time changed by L\'{e}vy subordinators. We construct their sample path decomposition, show that they possess mean-...
Convex order properties of discrete realized variance and applications to variance options
independent increments increasing convex order discretely sampled
2011/3/30
We consider a square-integrable semimartingale with conditionally independent increments and symmetric jump measure, and show that its discrete realized variance dominates its quadratic variation in i...
BSDEs with time-delayed generators of a moving average type with applications to pricing and utilities
backward stochastic differential equations time-delayed
2010/10/21
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical and well-known framework with linear generators depending on $...
Dynamic Coherent Acceptability Indices and their Applications to Finance
dynamic coherent acceptability index dynamic measures of performance
2010/10/22
In this paper we present a theoretical framework for studying coherent acceptability indices in a dynamic setup. We study dynamic coherent acceptability indices and dynamic coherent risk measures, an...
Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
2010/10/21
The pricing of exotic options in exponential L\'evy models amounts to the computation of expectations of functionals of the whole path of a L\'evy process. In many situations, Monte-Carlo methods are ...
A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance
Forward-backward stochastic Volterra integral equations Adapted
2010/10/20
This paper formulates and studies a stochastic maximum principle for forward-backward stochastic Volterra integral equations (FBSVIEs in short), while the control area is assumed to be convex. Then a ...
Reflected Backward Stochastic Difference Equations with Finite State and their applications
BSDE RBSDE Comparison Theorem g-martingale
2010/10/18
In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Co...
Explicit solutions for the exit problem for a class of Lévy processes. Applications to the pricing of double barrier options
Explicit solutions for the exit problem class Lévy processes Applications pricing double barrier options
2010/10/19
Lewis and Mordecki have computed the Wiener-Hopf factorization of a L\'evy process whose restriction on $]0,+\infty[$ of their L\'evy measure has a rational Laplace transform. That allows to compute ...
中山大学基础会计学英文课件Lesson 14 Managerial Accounting Ⅱ: Applications
中山大学 基础会计学 英文课件 Lesson 14 Managerial Accounting Ⅱ: Applications
2009/10/10
中山大学基础会计学英文课件Lesson 14 Managerial Accounting Ⅱ: Applications。
Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
Superstatistical fluctuations dynamics turbulence
2010/10/29
We report a general technique to study a given experimental time series with superstatistics.
Crucial for the applicability of the superstatistics concept is the existence of a parameter β that fluct...
《Handbook of Game Theory with Economic Applications》Chapter 62 Game theory and experimental gaming
Handbook of Game Theory with Economic Applications Game theory experimental gaming
2009/4/3
《Handbook of Game Theory with Economic Applications》Chapter 62 Game theory and experimental gaming。
《Handbook of Game Theory with Economic Applications》Chapter 61 Implementation theory
Handbook of Game Theory with Economic Applications Implementation theory
2009/4/3
《Handbook of Game Theory with Economic Applications》Chapter 61 Implementation theory。
《Handbook of Game Theory with Economic Applications》Chapter 60 Game-theoretic analysis of legal rules and institutions
Handbook of Game Theory with Economic Applications Game-theoretic analysis
2009/4/3
《Handbook of Game Theory with Economic Applications》Chapter 60 Game-theoretic analysis of legal rules and institutions。