【摘 要】
：
This work is devoted to irreversible investment problems in duopoly games with regime switching.The problem is formulated as a stopping time game in presenc
论文部分内容阅读
This work is devoted to irreversible investment problems in duopoly games with regime switching.The problem is formulated as a stopping time game in presence of Stackelberg leader-follower competition,in which both players determine their respective optimal market entry time.By extending the variational inequality approach,we obtain regime-dependent optimal policies for both players.In addition,numerical examples are reported to demonstrate the properties of the solution.
其他文献
We present a BDDC solver for the cardiac electro-mechanical coupling,a model describing the electrical excitation of the myocardium and its subsequent contr
Computational biomechanics is the study of biology at the organ and tissue level using computer simulation technologies based on mathematical and numerical
In this paper,the portfolio choice problem for the Gul(1991)'s disappointment averse investors in continuous time framework is developed and considered.Assu
We wil discuss sensitivity and robustness of a mathematical model,in particular,models used in financial mathematics.In the literature,different models are
In this study we consider different statistical arbitrage strategies and prove the existence of statistical arbitrage portfolios in the Black-Scholes framew
We consider the problem of calculating tail loss probability and conditional excess for the Bernoulli mixture model of credit risk.This is an important prob
In this study we consider different statistical arbitrage strategies and prove the existence of statistical arbitrage portfolios in the Black-Scholes framewor
We study precommitted strategy of time inconsistent problems,and we note that many such problems in the literature can be transformed into an optimization o
Introduction Applied and computational mathematics,in particular numerical PDEs,Monte Carlo methods,and numerical optimization,play a crucial role in solvin
An agent maximizes isoelastic utility from consumption with infinite horizon in an incomplete market,in which state variables are driven by diffusions.We pr