相关论文: On Jensen's inequality for generalized Choquet int…
The standard asset pricing models (the CCAPM and the Epstein-Zin non-expected utility model) counterintuitively predict that equilibrium asset prices can rise if the representative agent's risk aversion increases. If the income effect,…
For the Hermitian inexact Rayleigh quotient iteration (RQI), we present a new general theory, independent of iterative solvers for shifted inner linear systems. The theory shows that the method converges at least quadratically under a new…
We consider a continuous analogue of the simulated annealing algorithm in $R^d$. We prove a convergence result, under hypotheses weaker than the usual ones. In particular, we cover cases where the gradient of the potential goes to zero at…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
We consider the Fokker-Planck equation with subcritical confinement force field which may not derive from a potential function. We prove the existence of an equilibrium (in the case of a general force) and we establish some (polynomial and…
In the Gaussian linear regression model (with unknown mean and variance), we show that the standard confidence set for one or two regression coefficients is admissible in the sense of Joshi (1969). This solves a long-standing open problem…
The GENERIC theory provides a framework for the description of non-equilibrium phenomena in isolated systems beyond local thermal equilibrium and beyond linear non-equilibrium (i.e., linear relations between thermodynamic forces and…
A central question in causal inference with observational studies is the sensitivity of conclusions to unmeasured confounding. The classical Cornfield condition allows us to assess whether an unmeasured binary confounder can explain away…
Revised proofs of Kenneth Arrow's impossibility theorem have been presented in prose form, incorporating novel ideas such as decisive sets and pivotal voters. This study develops another approach to proving the theorem. Using a proof…
In this paper, some more properties of the generalized principal pivot transform are derived. Necessary and sufficient conditions for the equality between Moore-Penrose inverse of a generalized principal pivot transform and its…
Clapeyron's Theorem in classical linear elasticity provides a way to explicitly express the energy stored in an equilibrium configuration in terms of the work of the forces applied on the boundary. We derive several new integral relations…
This paper investigates a generalized interlacing property between Bessel functions, particularly $J_\nu$ and $J_\mu$, where the difference $|\nu-\mu|$ exceeds $2$. This interlacing phenomenon is marked by a compensatory interaction with…
We axiomatize the Choquet rank-dependent utility model within a Savage framework with an exogenous source of pure risk. This model is a decision model under ambiguity, serving as a conceptual generalization of the Choquet expected utility…
We study randomly distorted Choquet integrals with respect to a capacity c on a measurable space ({\Omega},F), where the capacity c is distorted by a G-measurable random distortion function (with G a sub-{\sigma}-algebra of F). We establish…
We derive a generic bound on the rate of decrease of transverse field for quantum annealing to converge to the ground state of a generic Ising model when quantum annealing is formulated as an infinite-time process. Our theorem is based on a…
I conduct Rabin's (2000) calibration exercise in the subjective expected utility realm. I show that the rejection of some risky bet by a risk-averse agent only implies the rejection of more extreme and less desirable bets and nothing more.
The ability to generalize is an important feature of any intelligent agent. Not only because it may allow the agent to cope with large amounts of data, but also because in some environments, an agent with no generalization capabilities…
One obtains Bell's inequalities if one posits a hypothetical joint probability distribution, or {\it measure}, whose marginals yield the probabilities produced by the spin measurements in question. The existence of a joint measure is in…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
In the present paper, we consider random invariant densities and the mean ergodic theorem for Markov operator cocycles which are applicable to quenched type random dynamical systems. We give necessary and sufficient conditions for the…