Stochastic Stability in Monotone Economies [PDF]
This paper presents new order-theoretic conditions for global stability of monotone Markov processes with possibly non-compact state spaces. Our main result shows that a Markov process induced by a continuous and increasing transition law is globally ...
Takashi Kamihigashi, John Stachurski
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Recursive Methods in Discounted Stochastic Games: An Algorithm for delta Approaching 1 and a Folk Theorem [PDF]
We present an algorithm to compute the set of perfect public equilibrium payoffs as the discount factor tends to one for stochastic games with observable states and public (but not necessarily perfect) monitoring when the limiting set of (long-run ...
Takuo Sugaya +3 more
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On The Identification and Estimation of Partially Nonstationary ARMAX Systems [PDF]
This paper extends current theory on the identification and estimation of vector time series models to nonstationary processes. It examines the structure of dynamic simultaneous equations systems or ARMAX processes that start from a given set of initial ...
D. S. Poskitt
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The influence of demand variability on the performance of a make-to-stock queue [PDF]
Variability, in general, has a deteriorating effect on the performance of stochastic inventory systems. In particular, previous results indicate that demand variability causes a performance degradation in terms of inventory related costs when production ...
F. Karaesmen, Z. Jemai
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On some queueing systems with server vacations, extended vacations, breakdowns, delayed repairs and stand-bys [PDF]
, 2012 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This research investigates a batch arrival queueing system with a Bernoulli scheduled vacation and random system breakdowns.
Khalaf, Rehab
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Necessity of Transversality Conditions for Stochastic Problems [PDF]
This paper establishes (i) an extension of Michel's (1990, Theorem 1) necessity result to an abstract reduced-form model, (ii) a generalization of the results of Weitzman (1973) and Ekeland and Scheinkman (1986), and (iii) a new result that is useful ...
Takashi Kamihigashi
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Necessary and Sufficient Conditions for Pareto Optimality in Infinite Horizon Cooperative Differential Games [PDF]
In this article we derive necessary and sufficient conditions for the existence of Pareto optimal solutions for infinite horizon cooperative differential games. We consider games defined by non autonomous and discounted autonomous systems.
Engwerda, J.C., Reddy, P.V.
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Multimodal Branched Transport Infers Anatomically Aligned Brain Reaction Maps. [PDF]
NeuroinformaticsMendico C.
europepmc +1 more source
A Tale of Two Debt Crises: A Stochastic Optimal Control Analysis [PDF]
Banks should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both
Jerome L. Stein
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Associative emotional memory encoding: insights from network stability analysis of an fMRI-driven bilinear dynamics. [PDF]
Front Syst NeurosciDziarnowska W +5 more
europepmc +1 more source