Related papers: Independence and indifferent points imply continui…
We consider two risk-averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers…
The expected utility hypothesis is a popular concept in economics that is useful for making decisions when the payoff is uncertain. In this paper, we investigate the implications of a fluctuation theorem in the theory of expected utility.…
We develop a new framework of uncertainty variables to model uncertainty. An uncertainty variable is characterized by an uncertainty set, in which its realization is bound to lie, while the conditional uncertainty is characterized by a set…
We define and study the independent natural extension of two local uncertainty models for the general case of infinite spaces, using the frameworks of sets of desirable gambles and conditional lower previsions. In contrast to Miranda and…
In the infinite-horizon and discrete-time framework we establish maximum principles of Pontryagin under assumptions which weaker than these ones of existing results. We avoid several assumptions of continuity and of…
This paper introduces the axiom of Negative Dominance, stating that if a lottery $f$ is strictly preferred to a lottery $g$, then some outcome in the support of $f$ is strictly preferred to some outcome in the support of $g$. It is shown…
In a discrete time setting, we study the central problem of giving a fair price to some financial product. For several decades, the no-arbitrage conditions and the martingale measures have played a major role for solving this problem. We…
A variational inequality for pricing the perpetual American option and the corresponding difference equation are considered. First, the maximum principle and uniqueness of the solution to variational inequality for pricing the perpetual…
It is known that every homeomorphism of the plane has a fixed point in a non-separating, invariant subcontinuum. Easy examples show that a branched covering map of the plane can be periodic point free. In this paper we show that any…
Representatives of several Internet service providers (ISPs) have expressed their wish to see a substantial change in the pricing policies of the Internet. In particular, they would like to see content providers (CPs) pay for use of the…
The goal of this paper is to provide an insight into the equilibrium of the Internet market, when the current balance of the market is disrupted, and one of the ISPs switches to a non-neutral regime. We consider a content provider with a…
We propose a novel approach to concentration for non-independent random variables. The main idea is to ``pretend'' that the random variables are independent and pay a multiplicative price measuring how far they are from actually being…
This paper argues that the finite horizon paradox, where game theory contradicts intuition, stems from the limitations of standard number systems in modelling the cognitive perception of infinity. To address this issue, we propose a new…
Fair termination is the property of programs that may diverge "in principle" but that terminate "in practice", i.e. under suitable fairness assumptions concerning the resolution of non-deterministic choices. We study a conservative…
We introduce uncertainty into a pure exchange economy and establish a connection between Shannon's differential entropy and uniqueness of price equilibria. The following conjecture is proposed under the assumption of a uniform probability…
The qualitative analysis of the initial value problem P related to a non linear third order parabolic equation typical of diffusive models is discussed. Some basic properties of the the fundamental solution of a related linear operator are…
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…
In an indivisible participatory budgeting (PB) framework, we have a limited budget that is to be distributed among a set of projects, by aggregating the preferences of voters for the projects. All the prior work on indivisible PB assumes…
Statistical independence is a notion ubiquitous in various fields such as in statistics, probability, number theory and physics. We establish the stability of independence for any pair of random variables by their corresponding Brockwell…
In complexity theory, gap-preserving reductions play a crucial role in studying hardness of approximation and in analyzing the relative complexity of multiprover interactive proof systems. In the quantum setting, multiprover interactive…