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MOR
2008
83views more  MOR 2008»
13 years 8 months ago
Extensive-Form Correlated Equilibrium: Definition and Computational Complexity
Abstract: This paper defines the extensive form correlated equilibrium (EFCE) for extensive games with perfect recall. The EFCE concept extends Aumann's strategic-form correla...
Bernhard von Stengel, Françoise Forges
MOR
2008
81views more  MOR 2008»
13 years 8 months ago
Optimal Stopping of Linear Diffusions with Random Discounting
Abstract. We propose a new solution method for optimal stopping problems with random discounting for linear diffusions whose state space has a combination of natural, absorbing, or...
Savas Dayanik
MP
2008
117views more  MP 2008»
13 years 8 months ago
Stochastic programming approach to optimization under uncertainty
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic ...
Alexander Shapiro
MP
2008
137views more  MP 2008»
13 years 8 months ago
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints
Stochastic dominance relations are well-studied in statistics, decision theory and economics. Recently, there has been significant interest in introducing dominance relations into...
Nilay Noyan, Andrzej Ruszczynski
MST
2008
80views more  MST 2008»
13 years 8 months ago
A Revised Transformation Protocol for Unconditionally Secure Secret Key Exchange
Abstract The transformation protocol can allow two players to share an unconditionally secure secret key using a random deal of cards. A sufficient condition on the number of cards...
Koichi Koizumi, Takaaki Mizuki, Takao Nishizeki