53,935 research outputs found
Stochastic incompleteness for graphs and weak Omori-Yau maximum principle
We prove an analogue of the weak Omori-Yau maximum principle and
Khas'minskii's criterion for graphs in the general setting of Keller and Lenz.
Our approach naturally gives the stability of stochastic incompleteness under
certain surgeries of graphs. It allows to develop a unified approach to all
known criteria of stochastic completeness/incompleteness, as well as to obtain
new criteria.Comment: Revised version. We add some previously omitted proo
A General Benchmark Model for Stochastic Jump Sizes
This paper extends the benchmark framework of Platen (2002) by introducing a sequence of incomplete markets, having uncertainty driven by a Wiener process and a marked point process. By introducing an idealized market, in which all relevant economical variables are observed, but may not all be traded, a generalized growth optimal portfolio (GOP) is obtained and calculated explicitly. The problem of determining the GOP is solved in a general setting which extends existing treatments and provides a clear link to the market prices of risk. The connection between traded securities, arbitrage and market incompleteness is analyzed. This provides a framework for analyzing the degree of incompleteness associated with jump processes, a problem well-known from insurance and credit risk modeling. By staying under the empirical measure, the resulting benchmark model has potential advantages for various applications in finance and insurance.
Cooperation under incomplete contracting
We examine the notion of the core when cooperation takes place in a setting with time and uncertainty. We do so in a two-period general equilibrium setting with
incomplete markets. Market incompleteness implies that players cannot make all possible binding commitments regarding their actions at different date-events. We
unify various treatments of dynamic core concepts existing in the literature. This results in definitions of the Classical Core, the Segregated Core, the Two-stage Core, the Strong Sequential Core, and the Weak Sequential Core. Except for the Classical Core, all these concepts can be defined by requiring absence of blocking in period 0 and at any date-event in period 1. The concepts only differ with respect to the notion of blocking in period 0. To evaluate these concepts, we study three market structures in detail: strongly complete markets, incomplete markets in finance economies, and incomplete markets in settings with multiple commodities
Cooperation Under Incomplete Contracting
We examine the notion of the core when cooperation takes place in a setting with time and uncertainty. We do so in a two-period general equilibrium setting with incomplete markets. Market incompleteness implies that players cannot make all possible binding commitments regarding their actions at different date-events. We unify various treatments of dynamic core concepts existing in the literature. This results in definitions of the Classical Core, the Segregated Core, the Two-stage Core, the Strong Sequential Core, and the Weak Sequential Core. Except for the Classical Core, all these concepts can be defined by requiring absence of blocking in period 0 and at any date-event in period 1. The concepts only differ with respect to the notion of blocking in period 0. To evaluate these concepts, we study three market structures in detail: strongly complete markets, incomplete markets in finance economies, and incomplete markets in settings with multiple commodities.mathematical economics;
Core Concepts for Incomplete Market Economies
We examine the notion of the core when cooperation takes place in a setting with time and uncertainty. We do so in a two-period general equilibrium setting with incomplete markets. Market incompleteness implies that players cannot make all possible binding commitments regarding their actions at different date-events. We unify various treatments of dynamic core concepts existing in the literature. This results in definitions of the Classical Core, the Segregated Core, the Two-stage Core, the Strong Sequential Core, and the Weak Sequential Core. Except for the Classical Core, all these concepts can be defined by requiring absence of blocking in period 0 and at any date-event in period 1. The concepts only differ with respect to the notion of blocking in period 0. To evaluate these concepts, we study three market structures in detail: strongly complete markets, incomplete markets in finance economies, and incomplete markets in settings with multiple commodities. Even when markets are strongly complete, the Classical Core is argued not to be an appropriate concept. For the general case of incomplete markets, the Weak Sequential Core is the only concept that does not suffer from major defects.Incomplete Markets, Dynamic Core Concepts, Time and uncertainty
Logical settings for concept learning from incomplete examples in First Order Logic
We investigate here concept learning from incomplete examples. Our first
purpose is to discuss to what extent logical learning settings have to be
modified in order to cope with data incompleteness. More precisely we are
interested in extending the learning from interpretations setting introduced by
L. De Raedt that extends to relational representations the classical
propositional (or attribute-value) concept learning from examples framework. We
are inspired here by ideas presented by H. Hirsh in a work extending the
Version space inductive paradigm to incomplete data. H. Hirsh proposes to
slightly modify the notion of solution when dealing with incomplete examples: a
solution has to be a hypothesis compatible with all pieces of information
concerning the examples. We identify two main classes of incompleteness. First,
uncertainty deals with our state of knowledge concerning an example. Second,
generalization (or abstraction) deals with what part of the description of the
example is sufficient for the learning purpose. These two main sources of
incompleteness can be mixed up when only part of the useful information is
known. We discuss a general learning setting, referred to as "learning from
possibilities" that formalizes these ideas, then we present a more specific
learning setting, referred to as "assumption-based learning" that cope with
examples which uncertainty can be reduced when considering contextual
information outside of the proper description of the examples. Assumption-based
learning is illustrated on a recent work concerning the prediction of a
consensus secondary structure common to a set of RNA sequences
Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets
This paper establishes a new decomposition of optimal dynamic portfolio
choice under general incomplete-market diffusion models by disentangling the
fundamental impacts on optimal policy from market incompleteness and flexible
wealth-dependent utilities. We derive explicit dynamics of the components for
the optimal policy, and obtain an equation system for solving the shadow price
of market incompleteness, which is found to be dependent on both market state
and wealth level. We identify a new important hedge component for non-myopic
investors to hedge the uncertainty in shadow price due to variation in wealth
level. As an application, we establish and compare the decompositions of
optimal policy under general models with the prevalent HARA and CRRA utilities.
Under nonrandom but possibly time-varying interest rate, we solve in
closed-form the HARA policy as a combination of a bond holding scheme and a
corresponding CRRA strategy. Finally, we develop a simulation method to
implement the decomposition of optimal policy under the general incomplete
market setting, whereas existing approaches remain elusive
Optimal penalty for investment delay in public procurement contracts
Our aim in this paper is to provide a general framework in which to determine the optimal penalty fee inducing the contractor to respect the contracted delivery date in public procurement contracts (PPCs). We do this by developing a real option model that enables us to investigate the contractor's value of investment timing flexibility which the penalty rule - de facto - introduces. We then apply this setting in order to evaluate the range of penalty fees in the Italian legislation on PPCs: according to our calibration analysis, there is no evidence that the substantial delays recorded in the execution times of Italian investments are to be due to incorrectly set penalty fees. This result opens the way for other explanations of delays in PPCs: we thus extend our model to include the probability that the penalty is ineffectively enforced and study how calibration results are accordingly affected. We finally show how our model can be used to investigate both the case of a penalty/premium rule and the one of an optimal penalty fee in a concession contract.public procurement contracts, penalty fee, investment timing flexibility, investment irreversibility, contract incompleteness, enforceability of rules.
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