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We study the problem of resilient strategies in the presence of uncertainty. Resilient strategies enable an agent to make decisions that are robust against disturbances. In particular, we are interested in those disturbances that are able…
We consider networks of banks with assets and liabilities. Some banks may be insolvent, and a central bank can decide which insolvent banks, if any, to bail out. We view bailouts as an optimization problem where the central bank has given…
Interval linear programming provides a tool for solving real-world optimization problems under interval-valued uncertainty. Instead of approximating or estimating crisp input data, the coefficients of an interval program may perturb…
The study deals with the ruin problem when an insurance company invests its reserve in a risky asset whose the price dynamics is given by a geometric L\'evy process. Considering the ruin probability as a of the capital reserve we obtain for…
We consider how an agent should update her uncertainty when it is represented by a set $\P$ of probability distributions and the agent observes that a random variable $X$ takes on value $x$, given that the agent makes decisions using the…
In timeline-based planning, domains are described as sets of independent, but interacting, components, whose behaviour over time (the set of timelines) is governed by a set of temporal constraints. A distinguishing feature of timeline-based…
We consider how an agent should update her uncertainty when it is represented by a set P of probability distributions and the agent observes that a random variable X takes on value x, given that the agent makes decisions using the minimax…
Infinite games where several players seek to coordinate under imperfect information are deemed to be undecidable, unless the information is hierarchically ordered among the players. We identify a class of games for which joint winning…
An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate…
How do large-scale participants in parimutuel wagering events affect the house and ordinary bettors? A standard narrative suggests that they may temporarily benefit the former at the expense of the latter. To approach this problem, we begin…
In competing risks models, the joint distribution of the event times is not identifiable even when the margins are fully known, which has been referred to as the "identifiability crisis in competing risks analysis" (Crowder, 1991). We model…
Mean field Master equations for the norm game are investigated. The strategies are: to obey the norm or not and to punish those who break it or not. The punishment, the temptation, the punishment cost and the relaxation of vengeance are…
A new mathematical model governing the development of a corrupted hierarchy is derived. This model is based on the Mean Field Games theory. A retrospective problem for that model is considered. From the applied standpoint, this problem…
This paper studies relations among axioms on individuals' intertemporal choices under risk. The focus is on Risk Averse over Time Lotteries (RATL), meaning that a fixed prize is preferred to a lottery with the same monetary prize but a…
Conventional noncooperative game theory hypothesizes that the joint strategy of a set of players in a game must satisfy an "equilibrium concept". All other joint strategies are considered impossible; the only issue is what equilibrium…
Many economic interventions are designed as marginal changes in incentives. Yet in environments shaped by coordination, institutional persistence, and path dependence, such reforms often leave behavior largely unchanged. This paper studies…
Quantum entanglement has been recently demonstrated as a useful resource in conflicting interest games of incomplete information between two players, Alice and Bob [Pappa et al., Phys. Rev. Lett. 114, 020401 (2015)]. General setting for…
Analytic number theorists usually seek to show that sequences which appear naturally in arithmetic are ``well-distributed'' in some appropriate sense. In various discrepancy problems, combinatorics researchers have analyzed limitations to…
The problem of behaviour prediction for linear parameter-varying systems is considered in the interval framework. It is assumed that the system is subject to uncertain inputs and the vector of scheduling parameters is unmeasurable, but all…
We study a problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual about the drift parameter by allowing an arbitrary probability…