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MOR
2006
79views more  MOR 2006»
13 years 7 months ago
The Value of Markov Chain Games with Lack of Information on One Side
We consider a two-player zero-sum game given by a Markov chain over a finite set of states K and a family of zero-sum matrix games (Gk)kK. The sequence of states follows the Marko...
Jérôme Renault
SIAMCO
2008
113views more  SIAMCO 2008»
13 years 7 months ago
Singularly Perturbed Piecewise Deterministic Games
Abstract. In this paper we consider a class of hybrid stochastic games with the piecewise openloop information structure. These games are indexed over a parameter which represents...
Alain Haurie, Francesco Moresino
SIAMAM
2008
74views more  SIAMAM 2008»
13 years 7 months ago
Optimal Liquidation by a Large Investor
Abstract. We develop a partial equilibrium model to investigate the problem of optimal liquidation over a finite or infinite time horizon for an investor with large holdings in a r...
Ajay Subramanian
QUESTA
2006
98views more  QUESTA 2006»
13 years 7 months ago
The discrete-time preemptive repeat identical priority queue
Priority queueing systems come natural when customers with diversified delay requirements have to wait to get service. The customers that cannot tolerate but small delays get serv...
Joris Walraevens, Dieter Fiems, Herwig Bruneel
SIAMDM
2008
72views more  SIAMDM 2008»
13 years 7 months ago
Prolific Codes with the Identifiable Parent Property
Let C be a code of length n over an alphabet of size q. A word d is a descendant of a pair of codewords x, y C if di {xi, yi} for 1 i n. A code C is an identifiable parent prop...
Simon R. Blackburn, Tuvi Etzion, Siaw-Lynn Ng