Related papers: A remark on utility streams
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We…
We are concerned with demonstrating productivity of specifications of infinite streams of data, based on orthogonal rewrite rules. In general, this property is undecidable, but for restricted formats computable sufficient conditions can be…
Some formulas and speculations are presented relative to integrable systems and quantum mechanics.
We define representations of continuous functions on infinite streams of discrete values, both in the case of discrete-valued functions, and in the case of stream-valued functions. We define also an operation on the representations of two…
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…
We study a many-server queuing system with general service time distribution and state dependent service rates. The dynamics of the system are modeled using measure valued processes which keep track of the residual service times. Under…
A short review of the recent results and models of complex networks.
We introduce a new interpretation of two related notions - conditional utility and utility independence. Unlike the traditional interpretation, the new interpretation renders the notions the direct analogues of their probabilistic…
Streams, or infinite sequences, are infinite objects of a very simple type, yet they have a rich theory partly due to their ubiquity in mathematics and computer science. Stream differential equations are a coinductive method for specifying…
The paper generalizes the construction by stochastic flows of consistent utility processes introduced by M. Mrad and N. El Karoui in (2010). The utilities random fields are defined from a general class of processes denoted by $\GX$. Making…
We make some remarks on the linear wave equation concerning the existence and uniqueness of weak solutions, satisfaction of the energy equation, growth properties of solutions, the passage from bounded to unbounded domains, and…
Expected Utility: Algebraic Expected Utility In this paper, we provide two axiomatizations of algebraic expected utility, which is a particular generalized expected utility, in a von Neumann-Morgenstern setting, i.e. uncertainty…
The concept of efficiency plays a prominent role in the formal solution of decision problems that involve incomparable alternatives. This paper develops necessary and sufficient conditions for the efficient points in a sum of sets of…
There are presented sufficient conditions for existence of an infinite family of trajectories of an analytic gradient flow which converge to a critical point.
Analysis pipelines commonly use high-level technologies that are popular when created, but are unlikely to be readable, executable, or sustainable in the long term. A set of criteria is introduced to address this problem: Completeness (no…
We survey models and algorithms for stream verification.
Answer Set Programming has separately been extended with constraints, to the streaming domain, and with capabilities to reason over the quantities associated with answer sets. We propose the introduction and analysis of a general framework…
We present two new conditions to extend the Ricci flow on a compact manifold over a finite time, which are improvements of some known extension theorems.
Some notes and observations on analytic functions defined on an annulus
We provide a detailed characterization of the optimal consumption stream for the additive habit-forming utility maximization problem, in a framework of general discrete-time incomplete markets and random endowments. This characterization…