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SIAMJO
2002
120views more  SIAMJO 2002»
13 years 9 months ago
Dual Stochastic Dominance and Related Mean-Risk Models
We consider the problem of constructing mean{risk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analys...
Wlodzimierz Ogryczak, Andrzej Ruszczynski
SIAMCO
2010
105views more  SIAMCO 2010»
13 years 8 months ago
The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
In this paper we study the nonzero-sum Dynkin game in continuous time, which is a two-player noncooperative game on stopping times. We show that it has a Nash equilibrium point for...
Said Hamadène, Jianfeng Zhang
DM
2006
73views more  DM 2006»
13 years 10 months ago
Contributions to zero-sum problems
A prototype of zero-sum theorems, the well-known theorem of Erdos, Ginzburg and Ziv says that for any positive integer n, any sequence a1, a2, . . . , a2n-1 of 2n-1 integers has a...
Sukumar Das Adhikari, Yong-Gao Chen, John Friedlan...