1,027 research outputs found
Pointwise regularity of the free boundary for the parabolic obstacle problem
We study the parabolic obstacle problem \lap u-u_t=f\chi_{\{u>0\}}, \quad
u\geq 0,\quad f\in L^p \quad \mbox{with}\quad f(0)=1 and obtain two
monotonicity formulae, one that applies for general free boundary points and
one for singular free boundary points. These are used to prove a second order
Taylor expansion at singular points (under a pointwise Dini condition), with an
estimate of the error (under a pointwise double Dini condition). Moreover,
under the assumption that is Dini continuous, we prove that the set of
regular points is locally a (parabolic) -surface and that the set of
singular points is locally contained in a union of (parabolic) manifolds
Mean-Dispersion Preferences and Constant Absolute Uncertainty Aversion
We axiomatize, in an Anscombe-Aumann framework, the class of preferences that admit a representation of the form V(f) = mu - rho(d), where mu is the mean utility of the act f with respect to a given probability, d is the vector of state-by-state utility deviations from the mean, and rho(d) is a measure of (aversion to) dispersion that corresponds to an uncertainty premium. The key feature of these mean-dispersion preferences is that they exhibit constant absolute uncertainty aversion. This class includes many well-known models of preferences from the literature on ambiguity. We show what properties of the dispersion function rho(dot) correspond to known models, to probabilistic sophistication, and to some new notions of uncertainty aversion.Ambiguity aversion, Translation invariance, Dispersion, Uncertainty, Probabilistic sophistication
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