?
Управление портфелем финансовых инструментов с учетом модельной ошибки и ликвидности рынка
С. 14–14.
Andreev N. A.
Language:
Russian
Belomestny D., Gasnikov A., Gladin E. et al., Russian Mathematical Surveys 2026 Vol. 81 No. 4(490) P. 3–90
Reinforcement learning (RL) is increasingly grounded in tools from probability, optimization, and operator theory. This survey organizes the mathematical structures that underpin the design and analysis of modern algorithms in RL. We begin from Markov decision processes (MDPs) and the Bellman operators, emphasizing contraction mappings, monotonicity, and fixed-point theory that yield convergence guarantees and rates ...
Added: August 3, 2026
Smirnov A., Starkov E., European Economic Review 2025 Vol. 178 Article 105113
This paper studies strategic communication in the context of social learning. Product reviews are used by consumers to learn product quality, but in order to write a review, a consumer must be convinced to purchase the item first. When reviewers care about the welfare of future consumers, this leads to a conflict: a reviewer today ...
Added: November 3, 2025
Burashnikov E., Operations Research Forum 2024
Added: September 21, 2024
Averboukh Y., Journal of the Operations Research Society of China 2024 Vol. 12 P. 169–187
The paper is concerned with a variant of the continuous-time finite state Markov game of control and stopping where both players can affect transition rates, while only one player can choose a stopping time. The dynamic programming principle reduces this problem to a system of ODEs with unilateral constraints. This system plays the role of ...
Added: October 20, 2023
D. V. Gribanov, Shumilov I. A., D. S. Malyshev, Optimization Letters 2024 Vol. 18 P. 73–103
In this work we consider the problem of computing the (min,+)-convolution of two sequences a and b of lengths n and m, respectively, where n≥m. We assume that a is arbitrary, but b_i=f(i), where f(x):[0,m)→R is a function with one of the following properties: f is linear, f is monotone, f is convex, f is concave, f is piece-wise linear, f is a polynomial function of a fixed degree. To the best of our knowledge, the concave, piece-wise linear and polynomial ...
Added: May 28, 2023
Maron A., Maron M., Вестник Московского авиационного института 2022 Т. 29 № 2 С. 158–165
The relevance of this work is due to the fact, that reducing the time of searching and the time for eliminating defects in civil aviation passenger aircraft can significantly reduce departure delays and the associated losses of airlines. The analysis of statistical data shows that the searching and eliminating defects are the dominant causes of ...
Added: September 30, 2022
Afanasiev V., М.: Красанд/URSS, 2020.
This book has been prepared on the basis of lectures on control theory given by the author for a number of years to students of the Department of Applied Mathematics of the National Research University Higher School of Economics and the Faculty of Physics Moscow State University named after M. V. Lomonosov. The content of the ...
Added: August 27, 2022
Kolokoltsov V., малафеев о. а., Singapore: World Scientific Publishing Co. Pte. Ltd, 2021.
Game theory is the mathematical discipline aimed to model various interactions of living organisms in quantitative terms. Game theory, as the universal method for the analysis of social interactions has wide applications in economics, in the theory of control and management, financial mathematics, evolutionary biology, sociology, psychology and politics, in modelling different social processes, in ...
Added: October 29, 2021
Smirnov A., Starkov E., American Economic Journal: Microeconomics 2022 Vol. 14 No. 2 P. 506–560
Sellers often have the power to censor the reviews of their products. We explore the effect of these censorship policies in markets where some consumers are unaware of possible censorship. We find that if the share of such "naive" consumers is not too large, then rational consumers treat any bad review that is revealed in ...
Added: October 25, 2021
Piermont E., Zuazo-Garin P., / Series 2105 "[econ.TH]". 2021.
In dynamic settings each economic agent's choices can be revealing of her private information. This elicitation via the rationalization of observable behavior depends each agent's perception of which payoff-relevant contingencies other agents persistently deem as impossible. We formalize the potential heterogeneity of these perceptions as disagreements at higher-orders about the set of payoff states of ...
Added: October 5, 2021
Andreev N. A., Smirnov S. N., Computational Mathematics and Modeling 2021 Vol. 32 P. 22–44
We consider a guaranteed deterministic approach to discrete-time super-replication for guaranteed coverage of contingent claims on options for all possible asset-price scenarios. Price increases during a period are assumed to be contained in a priori specified compacta dependent on price history. A game problem is stated and reduced to the solution of the corresponding Bellman–Isaacs ...
Added: September 30, 2021
Yakovlev P., Доклады Академии наук 2019 Т. 484 № 4 С. 401–404
Представлен метод для эффективного сравнения символьной последовательности со всеми строками из некоторого множества, работающий существенно быстрее, чем наивный перебор сравнений со всеми строками подряд. Для ускорения процедуры предлагается оригинальный алгоритм, объединяющий использование префиксного дерева и стандартного алгоритма динамического программирования для поиска редакционного расстояния (метрики Левенштейна) между строками. Эффективность метода подтверждена в вычислительных экспериментах на массивах ...
Added: September 24, 2021
Pospelov I. G., Zhukova A., , in: 2020 European Control Conference (ECC).: Institute of Electrical and Electronics Engineers Inc., 2020. P. 1129–1134.
This paper presents the approach to solving optimal control problems that appear in economic models using the Lagrange's multipliers method. This method is not as widely used as it might be, taking into accounts its benefits and convenience. The power of this method for intertemporal general equilibrium allows building complex structural models of the whole ...
Added: December 8, 2020
Zinder Y., Lazarev A. A., Musatova E. G., Автоматика и телемеханика 2020 Т. 5 С. 91–104
Представлен полиномиальный алгоритм корректировки расписания движения поездов для случая, когда один из путей двухпутной железной дороги становится недоступным, оставшийся путь содержит разъезд, а все поезда делятся на две категории: приоритетные поезда, например пассажирские, и обычные поезда, к которым относятся большинство грузовых поездов. Представленный алгоритм минимизирует негативное влияние, оказываемое блокировкой пути, сначала для приоритетных поездов, а ...
Added: September 2, 2020
Yeung D., Luckraz S., Leong C. K., Birkhäuser, 2020.
This contributed volume presents the state-of-the-art of games and dynamic games, featuring several chapters based on plenary sessions at the ISDG-China Chapter Conference on Dynamic Games and Game Theoretic Analysis, which was held from August 3-5, 2017 at the Ningbo campus of the University of Nottingham, China. The chapters in this volume will provide readers ...
Added: August 26, 2020
N. A. Andreev, Journal of Mathematical Sciences 2020 Vol. 248 No. 1 P. 116–122
This paper studies the form of the instantaneous impact cost function in a financial market with transaction costs via an axiomatic approach. We show that several kinds of convexity of the cost function are equivalent to the corresponding properties of the price impact functions. The results clarify the implicit assumptions made when selecting a particular ...
Added: July 25, 2020
Blakeway S., Gromov D., Gromova E. et al., Vestnik Sankt-Peterburgskogo Universiteta, Prikladnaya Matematika, Informatika, Protsessy Upravleniya 2019 Vol. 15 No. 1 P. 22–38
We describe a novel game-theoretic formulation of the optimal mobile agents’ placement problem which arises in the context of Mobile Ad-hoc Networks (MANETs). This problem is modelled as a sequential multistage game. The definitions of both the Nash equilibrium and cooperative solution are given. A modification was proposed to ensure the existence of a Nash ...
Added: March 13, 2020
Birkhauser/Springer, 2019.
This book is devoted to game theory and its applications to environmental problems, economics, and management. It collects contributions originating from the 12th International Conference on “Game Theory and Management” 2018 (GTM2018) held at Saint Petersburg State University, Russia, from 27 to 29 June 2018. ...
Added: December 26, 2019
Andreev N. A., Mathematics 2019 Vol. 7 No. 12 P. 1147
We present a robust dynamic programming approach to the general portfolio selection problem in the presence of transaction costs and trading limits. We formulate the problem as a dynamic infinite game against nature and obtain the corresponding Bellman-Isaacs equation. Under~several additional assumptions, we get an alternative form of the equation, which is more feasible for ...
Added: October 30, 2019