An optimal matching problem

Given two measured spaces (X,dx), (Y,dy) and a third space Z, given two functions u(x,z) and v(x,z), we study the problem of finding two maps s from X to Z and t from Y to Z such that the images s(dx) and t(dy) coincide, and the integral of u(x,s(x))dx+v(y,t(y))dy is maximal. We give condition on u and v for which there is a unique solution

A theory of bond portfolios

We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of no-arbitrage in the zero-coupon market. A mutual fund theorem is proved, in the case of deterministic volatilities. Explicit expressions are given for the optimal solutions for several utility functions.Comment: Published at http://dx.doi.org/10.1214/105051605000000160 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

A surjection theorem for maps with singular perturbation and loss of derivatives

In this paper we introduce a new algorithm for solving perturbed nonlinear functional equations which admit a right-invertible linearization, but with an inverse that loses derivatives and may blow up when the perturbation parameter $\epsilon$ goes to zero. These equations are of the form $F\_\epsilon(u)=v$ with $F\_\epsilon(0)=0$, $v$ small and given, $u$ small and unknown. The main difference with the by now classical Nash-Moser algorithm is that, instead of using a regularized Newton scheme, we solve a sequence of Galerkin problems thanks to a topological argument. As a consequence, in our estimates there are no quadratic terms. For problems without perturbation parameter, our results require weaker regularity assumptions on $F$ and $v$ than earlier ones, such as those of Hormander. For singularly perturbed functionals, we allow $v$ to be larger than in previous works. To illustrate this, we apply our method to a nonlinear Schrodinger Cauchy problem with concentrated initial data studied by Texier-Zumbrun, and we show that our result improves significantly on theirs.Comment: Final version, to appear in Journal of the European Mathematical Society (JEMS

An implicit function theorem for non-smooth maps between Fr\'echet spaces

We prove an inverse function theorem of Nash-Moser type for maps between Fr\'echet spaces satisfying tame estimates. In contrast to earlier proofs, we do not use the Newton method, that is, we do not use quadratic convergence to overcome the lack of derivatives. In fact, our theorem holds when the map to be inverted is not C^

Matching for Teams.

We are given a list of tasks Z and a population divided into several groups X j of equal size. Performing one task z requires constituting a team with exactly one member x j from every group. There is a cost (or reward) for participation: if type x j chooses task z, he receives p j (z); utilities are quasi-linear. One seeks an equilibrium price, that is, a price system that distributes all the agents into distinct teams. We prove existence of equilibria and fully characterize them as solutions to some convex optimization problems. The main mathematical tools are convex duality and mass transportation theory. Uniqueness and purity of equilibria are discussed. We will also give an alternative linear-programming formulation as in the recent work of Chiappori et al.Matching; Equilibria; Convex duality; Optimal transportation;