The oligopoly model of international fishing of Szidarovszky and Okuguchi [7] where the harvesting countries form a coalition is re- visited with the additional assumption that there is a time lag in obtaining and implementing ...
Bruti Liberati, N; Martini, F; Piccardi, M; Platen, E(Elsevier, 2008-01)
Monte Carlo simulation of weak approximation of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve "real time" execution, as often ...
The objective of this paper is to consider defaultable term structure models in a general setting beyond standard risk-neutral models. Using as numeraire the growth optimal portfolio, defaultable interest rate derivatives ...
Chiarella, C; Szidarovsky, F(Universidad de la Frontera, 2009-01)
It is assumed that in an n-firm single-product oligopoly without product differentiation the firms face an uncertain price function, which is considered random by the firms. At each time period each firm simultaneously ...
Melham, R(State University of West Georgia, 2010-01)
Jacobi's two-square theorem states that the number of representations of a positive integer k as a sum of two squares, counting order and sign, is 4 times the surplus of positive divisors of k congruent to 1 modulo 4 over ...
Heterogeneous agent models (HAMs) in finance and economics are often characterised by high dimensional nonlinear stochastic differential or difference systems. Because of the complexity of the interaction between the ...
In this paper we provide an annotated bibliography of about 140 papers which have appeared in journals in a variety of areas in the last 5 years and in which a fractional factorial design has been used. For each reference, ...
We propose a Newton-GMREStype algorithm to solve the discrete von Karman problem. We show that this algorithm is efficient both in memory andcomputation time and robust in the neighborhood of the singular points of the ...
This paper presents a real-coded genetic algorithm (RCGA) with new genetic operations (crossover and mutation). They are called the average-bound crossover and wavelet mutation. By introducing the proposed genetic operations, ...
Denford, M; Solomon, AI; Leaney, JR; O'Neill, T(Institut fuer Informationssysteme und Computer Medien, 2004-01)
The design of large, complex computer based systems, based on their architecture, will benefit from a formal system that is intuitive, scalable and accessible to practitioners. The work herein is based in graphs which are ...
We derive the precise asymptotic distributional behavior of Gaussian variational approximate estimators of the parameters in a single-predictor Poisson mixed model. These results are the deepest yet obtained concerning the ...
We study kernel estimation of highest-density regions (HDR). Our main contributions are two-fold. First, we derive a uniform-in-bandwidth asymptotic approximation to a risk that is appropriate for HDR estimation. This ...
We investigate kernel estimators of multivariate density derivative functions using general (or unconstrained) bandwidth matrix selectors. These density derivative estimators have been relatively less well researched than ...