33 research outputs found
Contingent claim pricing through a continuous time variational bargaining scheme
We consider a variational problem modelling the evolution with time of two
probability measures representing the subjective beliefs of a couple of agents engaged in
a continuous-time bargaining pricing scheme with the goal of finding a unique price for a
contingent claim in a continuous-time financialmarket. This optimization problem is coupled
with two finite dimensional portfolio optimization problems, one for each agent involved in
the bargaining scheme. Undermild conditions, we prove that the optimization problem under
consideration here admits a unique solution, yielding a unique price for the contingent claim.info:eu-repo/semantics/publishedVersio
Dynamics of a small neutrally buoyant sphere in a fluid and targeting in Hamiltonian systems
We show that, even in the most favorable case, the motion of a small
spherical tracer suspended in a fluid of the same density may differ from the
corresponding motion of an ideal passive particle. We demonstrate furthermore
how its dynamics may be applied to target trajectories in Hamiltonian systems.Comment: See home page http://lec.ugr.es/~julya
Structural changes in residential areas
In this paper we use the theory of graphs to study the long-term (structural) changes in residential areas. It is assumed that a region corresponds to a graph, the nodes of which are identified with communities and the set of arcs with flows of composite goods. These communities are classified into sources (communities characterized by excess supply of goods), sinks (communities characterized by excess demand of goods), and centers of exchange. It is shown that every graph corresponding to an economic region possesses a core which describes the residential pattern of the region. Long-term changes in the region which lead to the appearance or disappearance of a supply center or a center of exchange lying outside the core and which affect the core are termed structural.
SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios, based on utility pricing. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Dynamical schemes modeling the convergence of the buyer and seller prices to a unique price are proposed. The case of exponential utilities is treated in detail, in the simplest possible example of an incomplete market, the trinomial model.Incomplete markets, market games, risk sharing, regret, dynamical schemes
Climate Change and Environmentally Induced Migration Across Regions: Cooperative and Non-cooperative Solutions
We propose a two region economic model that may contribute towards the
understanding of the relationship between economic and environmental factors as
drivers of international migration. The model takes into account optimal emissions and
consumption decisions for the two regions, as well as their effects on global temperature
and production in each region. Migration is considered as a dynamic phenomenon,
driven by a combination of economic and environmental (e.g., climate change) factors,
while at the same time the contribution of migrant labour in each region\u2019s production is
taken into account. Dynamic optimality conditions are derived for the non-cooperative
and the cooperative case, and the optimal solution paths and policies are calculated
numerically for indicative cases choosing realistic parameter values. Our results
describe the emergence of international migration as a result of a combination of
economic and environmental factors, and models the evolution of global temperature as
a result of the various targets imposed by international agreements
Numerical computation of convex risk measures
Abstract In this work we consider the problem of numerical computation of convex risk measures, using a regularization scheme to account for undesirable ?uctuations in the available historical data, combined with techniques from the Calculus of Variations
Optimal Agglomerations in Dynamic Economics
We study rational expectations equilibrium problems and social optimum problems in infinite horizon spatial economies in the con- text of a Ramsey type capital accumulation problem with geographical spillovers. We identify sufficient local and global conditions for the emergence (or not) of optimal agglomeration, using techniques from monotone operator theory and spectral theory in infinite dimensional Hilbert spaces. Our analytical methods can be used to systematically study optimal potential agglomeration and clustering in dynamic economics
Robust Control of a Spatially Distributed Commercial Fishery
We consider a robust control model for a spatially distributed commercial fishery under uncertainty, and in particular a tracking problem, i.e. the problem of robust stabilization of a chosen deterministic benchmark state in the presence of model uncertainty. The problem is expressed in the form of a stochastic linear quadratic robust optimal control problem, which is solved analytically. We focus on the emergence of breakdown from the robust stabilization policy, called hot spots, and comment upon their significance concerning the spatiotemporal behaviour of the system