Related papers: Quadratic Payments with constrained probabilities
We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive representation, without imposing the non-degeneracy (ND)…
Asymptotic stability in economic receding horizon control can be obtained under a strict dissipativity assumption, related to positive-definiteness of a so-called rotated cost, and through the use of suitable terminal cost and constraints.…
Given a batch of human computation tasks, a commonly ignored aspect is how the price (i.e., the reward paid to human workers) of these tasks must be set or varied in order to meet latency or cost constraints. Often, the price is set…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
The game in which acts of participants don't have an adequate description in terms of Boolean logic and classical theory of probabilities is considered. The model of the game interaction is constructed on the basis of a non-distributive…
This paper considers the ideal gas-like model of trading markets, where each individual is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditionally this model introduces…
This article provides a simple proof of the quadratic formula, which also produces an efficient and natural method for solving general quadratic equations. The derivation is computationally light and conceptually natural, and has the…
Conventional and current wisdom assumes that the brain represents probability as a continuous number to many decimal places. This assumption seems implausible given finite and scarce resources in the brain. Quantization is an information…
The alternative to the standard formulation of QPM in the infinite momentum frame is suggested. The proposed approach does not require any extra assumptions in addition, consistently takes into account the parton transversal momenta and…
The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed option prices---it provides a perfect fit---the essential…
Markov decision processes (MDPs) with multi-dimensional weights are useful to analyze systems with multiple objectives that may be conflicting and require the analysis of trade-offs. We study the complexity of percentile queries in such…
In a real expert system, one may have unreliable, unconfident, conflicting estimates of the value for a particular parameter. It is important for decision making that the information present in this aggregate somehow find its way into use.…
We introduce a framework for uncertainty estimation that both describes and extends many existing methods. We consider typical hyperparameters involved in classical training as random variables and marginalise them out to capture various…
It is argued from several points of view that quantum probabilities might play a role in statistical settings. New approaches toward quantum foundations have postulates that appear to be equally valid in macroscopic settings. One such…
Strategyproof mechanisms provide robust equilibrium with minimal assumptions about knowledge and rationality but can be unachievable in combination with other desirable properties such as budget-balance, stability against deviations by…
The paper covers a formulation of the inverse quadratic programming problem in terms of unconstrained optimization where it is required to find the unknown parameters (the matrix of the quadratic form and the vector of the quasi-linear part…
Considering voting rules based on evaluation inputs rather than preference rankings modifies the paradigm of probabilistic studies of voting procedures. This article proposes several simulation models for generating evaluation-based voting…
Geometry constitutes a core set of intuitions present in all humans, regardless of their language or schooling [1]. Could brain's built in machinery for processing geometric information take part in uncertainty representation? For decades…
This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of derivative securities, which focusses on tradable objects…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…