Results 91 to 100 of about 15,808 (165)
This paper establishes existence of a stationary Markov perfect equilibrium in general stochastic games with noise—a component of the state that is nonatomically distributed and not directly affected by the previous period’s state and actions.
John Duggan
core +3 more sources
Robust Utility Maximization in a Stochastic Factor Model [PDF]
We give an explicit PDE characterization for the solution of a robust utility maximization problem in an incomplete market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor process. The robust
Daniel Hernandez–Hernandez +1 more
core
Lp-solutions Of The Stochastic Transport Equation [PDF]
, 2015 We consider the stochastic transport linear equation and we prove existence and uniqueness of weak Lp-solutions. Moreover, we obtain a representation of the general solution and a Wong-Zakai principle for this equation.
Catuogno P., Olivera C.
core +1 more source
GillespieSSA: Implementing the Gillespie Stochastic Simulation Algorithm in R [PDF]
The deterministic dynamics of populations in continuous time are traditionally described using coupled, first-order ordinary differential equations. While this approach is accurate for large systems, it is often inadequate for small systems where key ...
Mario Pineda-Krch
core +1 more source
Consistent Testing for Stochastic Dominance: A Subsampling Approach [PDF]
We propose a procedure for estimating the critical values of the Klecan, McFadden, and McFadden (1990) test for first and second order stochastic dominance in the general k-prospect case. Our method is based on subsampling bootstrap.
Whang, Yoon-Jae +2 more
core +3 more sources
Stochastic bra-ket interpretation of quantum mechanics
Journal of Physics CommunicationsThe stochastic nature of quantum mechanics is more naturally reflected in a bilinear two-process representation of density matrices rather than in squared wave functions.
Hans Christian Öttinger
doaj +1 more source
Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes [PDF]
Accurate scenario simulation methods for solutions of multi-dimensional stochastic differential equations find application in stochastic analysis, the statistics of stochastic processes and many other areas, for instance, in finance.
Eckhard Platen, Renata Rendek
core
Revealed Preference with Stochastic Demand Correspondence [PDF]
We unify and expand the theory of consumer’s behavior, based on Samuelson’s Weak Axiom of Revealed Preference, to permit simultaneously both random choice and non-singleton choice sets.
Indraneel Dasgupta
core
Nonzero-sum Stochastic Games [PDF]
This paper treats of stochastic games. We focus on nonzero-sum games and provide a detailed survey of selected recent results. In Section 1, we consider stochastic Markov games. A correlation of strategies of the players, involving ``public signals'', is
Szajowski, Krzysztof, Nowak, Andrzej S.
core +1 more source
Sztochasztikus Rendszerek és Pénzügyi Piacok Modellezése = Stochastic Systems and Modelling of Financial Markets [PDF]
, 2007 A kutatások célja a sztochasztikus rendszerek legkorszerűbb módszereinek az alkalmazása a pénzügyi piacok modellezésében és maguknak a módszereknek a továbbfejlesztése.
Véber, Miklós +11 more
core