搜索结果: 1-9 共查到“经济学 T 1-Theorem”相关记录9条 . 查询时间(0.062 秒)
A Convergence Theorem for Competitive Bidding with Differential Information
Convergence Theorem Competitive Bidding Differential Information
2015/7/21
A Convergence Theorem for Competitive Bidding with Differential Information.
Robust Predictions in Infinite-Horizon Games—an Unrefinable Folk Theorem
Robustness Higher-order beliefs Dynamic games Folk Theorem
2014/9/10
We show that in any game that is continuous at infinity, if a plan of action ai is played by a type ti in a Bayesian Nash equilibrium, then there are perturbations of ti for which ai is the only ratio...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
The Fundamental Theorem Asset Pricing Hedging Problem
2011/1/4
This paper consists of two parts. In the first part, by building on the work of Jouini and Kallal in [26], Sch\"urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage
Direct Proof Bichteler--Dellacherie Theorem Connections to Arbitrage
2010/10/20
We give an elementary proof of the celebrated Bichteler-Dellacherie Theorem which states that the class of stochastic processes $S$ allowing for a useful integration theory consists precisely of thos...
Mutual Fund Theorem for continuous time markets with random coefficients
optimal portfolio Mutual Fund Theorem continuous time market models
2010/11/2
We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are ass...
A Generalization of the Shannon-McMillan-Breiman Theorem and the Kelly Criterion Leading to a Definition of Pragmatic Information
Shannon-McMillan-Breiman Theorem Kelly Criterion Leading Pragmatic Information
2010/10/29
After reviewing the strengthened hypotheses of the Shannon-MacMillan-Breiman Theorem, versus the standard statement of the Noiseless Coding Theorem, we state and prove a similar result for relative in...
This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the
spirit of the Fu...
The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure
models, long-term yields and forward rates can never fall. We present a refined version of the DIR theorem, where...
Intensity process and compensator: A new filtration expansion approach and the Jeulin--Yor theorem
Intensity process compensator filtration expansion approach the Jeulin--Yor theorem
2010/12/13
Let $(X_t)_{t\ge0}$ be a continuous-time, time-homogeneous strong Markov process with possible jumps and let $\tau$ be its first hitting time of a Borel subset of the state space. Suppose $X$ is sampl...