148 research outputs found
Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset
No full textThis paper introduces and analyzes an evolutionary model of a financial marketwith a risk-free asset. Focus is on the study of local stability of the wealth dynamics through the application of recent results on the linearization and stability of random dynamical systems (Evstigneev et al. Proc Am Math Soc 139:1061–1072, 2011). Conditions are derived for the linearization of the model at an equilibrium state which ensure local convergence of sample paths to this equilibrium. The paper also shows that the concept of local stability is closely related to the notion of evolutionary stability. A locally evolutionarily stable investmentstrategy in the evolutionary model with a risk-free asset is derived, extending previousresearch. The method illustrated here is applicable for the analysis of manifold economic and financial dynamic models involving randomness
Tephritis valida
No full textTephritis valida (Loew, 1858) (Figs 32–39) Material examined. Armenia, Vayots Dzor Prov., Yeghegis Vill., between Yeghegis River and asphalt road passing through village, 4 females and 3 males reared 28.VII.2019 from capitula of Inula helenium collected on 21.VII.2019, 3 females reared 8.VIII.2019 from capitula of I. helenium collected on 21.VII.2019, coll. D.A. Evstigneev. Russia: Republic of North Ossetia–Alania: Tarskoe bog, 2 km W of Tarskoe Vill., 42.96311°N 44.72636°E, 800 m, 11.IX.2018, net-sweeping, 1 female, coll. A.A. Przhiboro; Vladikavkaz, artificially destroyed bank of Terek River, 1 female and 2 males reared 15.VIII.2020 from capitula of Inula helenium collected on 6.VIII.2020, 1 female and 7 males reared 19.VIII.2020 from capitula of I. helenium collected on 6.VIII.2020, coll. D.A. Evstigneev; Kabardino-Balkarian Republic, 3 km SE of Verkhnyaya Balkariya Vill., “bog 2” on slope at left bank of Kurnoyatsu River, 43.09834°N 43.47776°E, 1810 m, Sphagnum fuscum habitat, net-sweeping, 24.IX.2018, 1 female, coll. A.A. Przhiboro. Distribution. Armenia, Azerbaijan, Georgia, Iran, Moldova, Russia (S. Korneyev, 2016c), and Ukraine (S. Korneyev & Klasa, 2016; S. Korneyev, 2016c). Comments. Here T. valida is listed for the first time from North Ossetia and Kabardino-Balkaria. Inula helenium L. was recorded as the host plant of T. valida (S. Korneyev, 2016c; S. Korneyev & V. Korneyev, 2019). The senior author reared T. valida in Armenia and North Ossetia from the same plant species. The diagnostic characters of this species are illustrated in Figs 32–39. The wing pattern is typical of this species (Figs 32–33), in particular, consisting of isolated dark spots at the apical parts of R 4+5 and M; the apex of the aculeus is obtuse, with a faint apical impression (Fig. 37). The glans of the phallus of T. valida (Fig. 34) is illustrated for the first time; it is large, with a long membranous part (vesica).Published as part of Evstigneev, D. A. & Przhiboro, A. A., 2021, New records of flies of the genus Tephritis (Diptera: Tephritidae) from the Caucasus and Transcaucasia, with notes on other tephritid species, pp. 13-24 in Zoosystematica Rossica (Zoosyst. Rossica) (Zoosyst. Rossica) 30 (1) on page 16, DOI: 10.31610/zsr/2021.30.1.1
On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
No full textThe paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control theory are developed.no arbitrage criteria, portfolio constraints, supermartingale measures, bang-bang control
Mathematical behavioural finance, UK Research Excellence Framework 2014, Impact case study
No full textA new look at the classical Bertrand duopoly
No full textThe paper provides necessary and sufficient conditions for the uniqueness of pure-strategy Nash equilibrium in the standard Bertrand duopoly with a homogeneous product. The main condition is elementary, easy to interpret, and nests all known sufficient conditions in the literature
A limit theorem for random matrices with a multiparameter and its application to a stochastic model of a large economy
No full textBased on multiparameter subadditive ergodic theorems of Akcoglu and Krengel (1981) and Schürger (1988) we derive an almost sure limit theorem for families of random matrices with a multiparameter which satisfy a supermultiplicativity condition. This gives a multiparameter analogue of results of Fürstenberg and Kesten (1960) and Kingman (1973, 1976) (note, however, that our supermultiplicativity assumption is more restrictive since it involves products in an arbitrary order). It turns out that a Borel-Cantelli argument in Kingman (1973, 1976) has to be replaced by a projection argument involving subadditive processes with lower dimensional indices. Finally, we outline how our main convergence result applies to a certain stochastic model of a large economy.Law of large numbers Products of random matrices Subadditive processes Ergodic theory Stochastic economic growth model
Asymptotic behavior of stochastic equilibrium paths: turnpike properties and central limit theorems
No full textSummary in GermanSIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel W 179 (96.14) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman
A limit theorem for random matrices with a multiparameter and its application to a stochastic model of a large economy
No full textAbstractBased on multiparameter subadditive ergodic theorems of Akcoglu and Krengel (1981) and Schürger (1988) we derive an almost sure limit theorem for families of random matrices with a multiparameter which satisfy a supermultiplicativity condition. This gives a multiparameter analogue of results of Fürstenberg and Kesten (1960) and Kingman (1973, 1976) (note, however, that our supermultiplicativity assumption is more restrictive since it involves products in an arbitrary order). It turns out that a Borel-Cantelli argument in Kingman (1973, 1976) has to be replaced by a projection argument involving subadditive processes with lower dimensional indices. Finally, we outline how our main convergence result applies to a certain stochastic model of a large economy
Complementarity in R&D cooperation strategies
No full textThis paper assesses the performance effects of simultaneous engagement in R&D cooperation with different partners (competitors, clients, suppliers, and universities and research institutes). We test whether these different types of R&D cooperation are complements in improving productivity. The results suggest that the joint adoption of cooperation strategies could be either beneficial or detrimental to firm performance, depending on firm size and specific strategy combinations. Customer cooperation helps to increase market acceptance and diffusion of product innovations and enhances the impact ofcompetitor and university cooperation. On the other hand, smaller firms also face diseconomies in pursuing multiple R&D cooperation strategies, which may stem from higher costs and complexity of simultaneously managing multiple partnerships with different innovation objectives.management and organization theory ;
An evolutionary financial market model with a risk-free asset
No full textThis paper introduces and analyzes an evolutionary model of a financial market with a risk-free asset. We focus on the local stability of the wealth dynamics, applying recent results on the linearization and stability of random dynamical systems (Evstigneev, Pirogov and Schenk-Hoppé (Proceedings of the American Mathematical Society, forthcoming). Our results give conditions on the linearization of the model at an equilibrium state, ensuring local convergence of sample paths to this equilibrium. The concept of local stability is closely related to the notion of evolutionary stability. A locally evolutionarily stable investment strategy is derived.Evolutionary finance, risk-free asset, local stability.
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