搜索结果: 1-15 共查到“数学 UTILITY”相关记录23条 . 查询时间(0.063 秒)
THE UTILITY OF THE UNCOUNTABLE
UTILITY UNCOUNTABLE
2015/8/17
In my lecture at the 2011 Congress on Logic, Methodology, and the Philosophy of Science in Nancy, France, I spoke on an additional axiom of set theory—the Proper Forcing Axiom—which has proved very su...
Maximizing Expected Utility for Stochastic Combinatorial Optimization Problems
ExpectedStochastic CombinatorialProblems
2012/12/4
We study the stochastic versions of a broad class of combinatorial problems where the weights of the elements in the input dataset are uncertain. The class of problems that we study includes shortest ...
Stability of exponential utility maximization with respect to market perturbations
exponential utility maximization market perturbations Portfolio Management
2011/10/8
Abstract: We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...
BSDEs in Utility Maximization with BMO Market Price of Risk
Quadratic BSDEs BMO Market Price of Risk Power Utility Maximization Dynamic Exponential Moments
2011/8/22
Abstract: This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk is of BMO type. In a Brownian setting we provide a necessary and suffi...
The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
Utility Maximization Duality Theory Quadratic Semimartingale BSDEs Stability
2011/8/23
Abstract: This article studies the sensitivity of the power utility maximization problem with respect to the investor's relative risk aversion, the statistical probability measure, the investment cons...
Utility Optimal Scheduling in Energy Harvesting Networks
Utility Optimal Scheduling Energy Harvesting Networks
2011/1/19
In this paper, we show how to achieve close-tooptimal utility performance in energy harvesting networks with only finite capacity energy storage devices.
Delay-Aware Cross-Layer Design for Network Utility Maximization in Multi-hop Networks
Delay-Aware Cross-Layer Network Utility Maximization Multi-hop Networks
2011/1/19
We investigate the problem of designing delay-aware joint flow control, routing, and scheduling algorithms in general multi-hop networks for maximizing network utilization. Since
the end-to-end delay...
Delay Constrained Utility Maximization in Multihop Random Access Networks
Delay Constrained Utility Maximization Multihop Random Access Networks
2010/11/24
Multi-hop random access networks have received much attention due to their distributed nature which facilitates deploying many new applications over the sensor and computer networks. Recently, utilit...
In this paper we consider the issue of energy efficiency in random access networks and show that optimizing transmission probabilities of nodes can enhance network performance in terms of energy cons...
Energy and Utility Optimization in Wireless Networks with Random Access
Wireless Networks Random Access
2010/11/24
Energy consumption is a main issue of concern in wireless networks. Energy minimization increases the time that networks’ nodes work properly without recharging or substituting batteries. Another crit...
Optimal Utility-Energy tradeoff in Delay Constrained Random Access Networks
Optimal Utility-Energy tradeoff Delay Constrained Random Access Networks
2010/11/24
Rate, energy and delay are three main parameters of interest in ad-hoc networks. In this paper, we discuss the problem of maximizing network utility and minimizing energy consumption while satisfying...
Optimising a nonlinear utility function in multi-objective integer programming
nonlinear utility function multi-objective integer programming
2010/11/15
In this paper we develop an algorithm to optimise a nonlinear utility function of multiple objectives over the integer nondominated set. Our approach is based on identifying and updating bounds on th...
We review the utility-based valuation method for pricing derivative securities in incomplete markets. In particular, we review the practical approach to the utility-based pricing by the means of compu...
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process BSDE
2010/4/27
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of t...
Utility Maximization of an Indivisible Market with Transaction Costs
Utility optimization indivisibl emarket transaction cost continuity of valuefunction quasi-variational inequality
2010/4/27
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum...