CORR
2012
Springer
12 years 7 months ago
2012
Springer
Recent work has led to the development of an elegant theory of Linearly Solvable Markov Decision Processes (LMDPs) and related Path-Integral Control Problems. Traditionally, LMDPs...
SIAMFM
2011
13 years 2 months ago
2011
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underly...
MAGS
2010
13 years 6 months ago
2010
Designing efficient bidding strategies for sequential auctions remains an important, open problem area in agent-mediated electronic markets. In existing literature, a variety of bi...
ISCI
2007
13 years 11 months ago
2007
As a follow-up to the work of [4] and [5], this paper continues to explore the relationship between wealth share dynamics and risk preferences in the context of an agent-based mul...
CORR
2007
Springer
13 years 11 months ago
2007
Springer
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal’s income is exposed to non-hedgeable risk factors ar...
ASPDAC
2009
ACM
14 years 6 months ago
2009
ACM
— Recent advances in statistical timing analysis (SSTA) achieve great success in computing arrival times under variations by extending sum and maximum operations to random variab...
ALDT
2009
Springer
14 years 6 months ago
2009
Springer
Abstract. In this paper we explicitly model risk aversion in multiagent interactions. We propose an insurance mechanism that be can used by risk-averse agents to mitigate against r...