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The duality theory of the Monge-Kantorovich transport problem is investigated in an abstract measure theoretic framework. Let $(\mathcal{X},\mathcal{F},\mu)$ and $(\mathcal{Y},\mathcal{G},\nu)$ be any probability spaces and…
In this paper, we establish a mathematical duality between utility transforms and probability distortions. These transforms play a central role in decision under risk by forming the foundation for the classic theories of expected utility,…
We investigate stochastic comparisons between exponential family distributions and their mixtures with respect to the usual stochastic order, the hazard rate order, the reversed hazard rate order, and the likelihood ratio order. A general…
Monadic second order logic is the expansion of first order logic by quantifiers ranging over unary relations. We study the shared monadic second order theory of finite linear orders, i.e. the pseudofinite monadic second order theory of…
We prove two duality descriptions of the value function for a generic stochastic optimal problem. These descriptions also hold when the diffusion is controlled, a case left open by the literature so far.
This paper exhibits a duality between the theory of Revealed Preference of Afriat and the housing allocation problem of Shapley and Scarf. In particular, it is shown that Afriat's theorem can be interpreted as a second welfare theorem in…
This note reformulates certain classical combinatorial duality theorems in the context of order lattices. For source-target networks, we generalize bottleneck path-cut and flow-cut duality results to edges with capacities in a distributive…
We introduce a notion of $k$th order stochastic monotonicity and duality that allows one to unify the notion used in insurance mathematics (sometimes refereed to as Siegmund's duality) for the study of ruin probability and the duality…
Under expected utility the local index of absolute risk aversion has played a central role in many applications. Besides, its link with the "global" concepts of the risk and probability premia has reinforced its attractiveness. This paper…
Super-diffusion, characterized by a spreading rate $t^{1/\alpha}$ of the probability density function $p(x,t) = t^{-1/\alpha} p \left( t^{-1/\alpha} x , 1 \right)$, where $t$ is time, may be modeled by space-fractional diffusion equations…
We present an extension of the duality theorem, previously defined by S. Catani et al. on the one-loop level, to higher loop orders. The duality theorem provides a relation between loop integrals and tree-level phase-space integrals. Here,…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…
Majorisation, also called rearrangement inequalities, yields a type of stochastic ordering in which two or more distributions can be compared. In this paper we argue that majorisation is a good candidate as a theory for uncertainty. We…
Langrange duality theorems for vector and set optimization problems which are based on an consequent usage of infimum and supremum (in the sense greatest lower and least upper bounds with respect to a partial ordering) have been recently…
We prove duality between the left and right fractional derivatives, independently on the type of fractional operator. Main result asserts that the right derivative of a function is the dual of the left derivative of the dual function or,…
The duality relation between one-loop integrals and phase-space integrals, developed in a previous work, is extended to higher-order loops. The duality relation is realized by a modification of the customary +i0 prescription of the Feynman…
Instead of testing for unanimous agreement, I propose learning how broad of a consensus favors one distribution over another (of earnings, productivity, asset returns, test scores, etc.). Specifically, given a sample from each of two…
Nevanlinna's second main theorem is a far-reaching generalisation of Picard's Theorem concerning the value distribution of an arbitrary meromorphic function f. The theorem takes the form of an inequality containing a ramification term in…
We consider Quantum Toda theory associated to a general Lie algebra. We prove that the conserved quantities in both conformal and affine Toda theories exhibit duality interchanging the Dynkin diagram and its dual, and inverting the coupling…
By using the theory of first-order differential subordination for functions with fixed initial coefficient, several well-known results for subclasses of univalent functions are improved by restricting the functions to have fixed second…