Minimax theorems for American options without time-consistency
In this paper, we give sufficient conditions guaranteeing the validity of the well-known minimax theorem for the lower Snell envelope. Such minimax results play an important role in the characterisation of arbitrage-free prices of American contingent claims in incomplete markets. Our conditions do not rely on the notions of stability under pasting or time-consistency and reveal some unexpected connection between the minimax result and path properties of the corresponding process of densities. We exemplify our general results in the case of families of measures corresponding to diffusion exponential martingales.
A US Federal election in which candidates from two major political parties compete for the votes of those undecided voters in a state who usually do not vote in US elections is considered. A mathematical model for evaluating the expectation of the margin of votes to be received from such voters by either candidate as a result of the election campaigns of all the competing candidates is proposed. On the basis of this model, finding the estimation under consideration is reducible to finding the minimum of the maximin function of the difference of two bilinear functions with one and the same first vector argument whose second vector arguments belong to a polyhedron of connected variables (strategies of the candidates), and this minimum is sought on another polyhedron.
A model for organizing cargo transportation between two node stations connected by a railway line which contains a certain number of intermediate stations is considered. The movement of cargo is in one direction. Such a situation may occur, for example, if one of the node stations is located in a region which produce raw material for manufacturing industry located in another region, and there is another node station. The organization of freight traﬃc is performed by means of a number of technologies. These technologies determine the rules for taking on cargo at the initial node station, the rules of interaction between neighboring stations, as well as the rule of distribution of cargo to the ﬁnal node stations. The process of cargo transportation is followed by the set rule of control. For such a model, one must determine possible modes of cargo transportation and describe their properties. This model is described by a ﬁnite-dimensional system of diﬀerential equations with nonlocal linear restrictions. The class of the solution satisfying nonlocal linear restrictions is extremely narrow. It results in the need for the “correct” extension of solutions of a system of diﬀerential equations to a class of quasi-solutions having the distinctive feature of gaps in a countable number of points. It was possible numerically using the Runge–Kutta method of the fourth order to build these quasi-solutions and determine their rate of growth. Let us note that in the technical plan the main complexity consisted in obtaining quasi-solutions satisfying the nonlocal linear restrictions. Furthermore, we investigated the dependence of quasi-solutions and, in particular, sizes of gaps (jumps) of solutions on a number of parameters of the model characterizing a rule of control, technologies for transportation of cargo and intensity of giving of cargo on a node station.
This proceedings publication is a compilation of selected contributions from the “Third International Conference on the Dynamics of Information Systems” which took place at the University of Florida, Gainesville, February 16–18, 2011. The purpose of this conference was to bring together scientists and engineers from industry, government, and academia in order to exchange new discoveries and results in a broad range of topics relevant to the theory and practice of dynamics of information systems. Dynamics of Information Systems: Mathematical Foundation presents state-of-the art research and is intended for graduate students and researchers interested in some of the most recent discoveries in information theory and dynamical systems. Scientists in other disciplines may also benefit from the applications of new developments to their own area of study.