A value for multichoice games

A multichoice game is a generalization of a cooperative TU game in which each player has several activity levels. We study the solution for these games proposed by Van Den Nouweland et al. (1995) [Van Den Nouweland, A., Potters, J., Tijs, S., Zarzuelo, J.M., 1995. Cores and related solution concepts for multi-choice games. ZOR-Mathematical Methods of Operations Research 41, 289–311]. We show that this solution applied to the discrete cost sharing model coincides with the Aumann-Shapley method proposed by Moulin (1995) [Moulin, H., 1995. On additive methods to share joint costs. The Japanese Economic Review 46, 303–332]. Also, we show that the Aumann-Shapley value for continuum games can be obtained as the limit of multichoice values for admissible convergence sequences of multichoice games. Finally, we characterize this solution by using the axioms of balanced contributions and efficiency.     

Relaxation-based algorithms for minimax optimization problems with resource allocation applications

We consider minimax optimization problems where each term in the objective function is a continuous, strictly decreasing function of a single variable and the constraints are linear. We develop relaxation-based algorithms to solve such problems. At each iteration, a relaxed minimax problem is solved, providing either an optimal solution or a better lower bound. We develop a general methodology for such relaxation schemes for the minimax optimization problem. The feasibility tests and formulation of subsequent relaxed problems can be done by using Phase I of the Simplex method and the Farkas multipliers provided by the final Simplex tableau when the corresponding problem is infeasible. Such relaxation-based algorithms are particularly attractive when the minimax optimization problem exhibits additional structure. We explore special structures for which the relaxed problem is formulated as a minimax problem with knapsack type constraints; efficient algorithms exist to solve such problems. The relaxation schemes are also adapted to solve certain resource allocation problems with substitutable resources. There, instead of Phase I of the Simplex method, a max-flow algorithm is used to test feasibility and formulate new relaxed problems.Corresponding author.Work was partially done while visiting AT&T Bell Laboratories.     

The core and related solution concepts for infinite assignment games

Assignment problems where both sets of agents that have to be matched are countably infinite, the so-called infinite assignment problems, are studied as well as the related cooperative assignment games. Further, several solution concepts for these assignment games are studied. The first one is the utopia payoff for games with an infinite value. In this solution each player receives the maximal amount he can think of with respect to the underlying assignment problem. This solution is contained in the core of the game. Second, we study two solutions for assignment games with a finite value. Our main result is the existence of core-elements of these games, although they are hard to calculate. Therefore another solution, the f-strong ε-core is studied. This particular solution takes into account that due to organisational limitations it seems reasonable that only finite groups of agents will eventually protest against unfair proposals of profit distributions. The f-strong ε-core is shown to be nonempty. These authors’ research is partially supported by the Generalitat Valenciana (Grant number GV-CTIDIA-2002-32) and by the Government of Spain (through a joint research grant Universidad Miguel Hernández — Università degli Studi di Genova HI2002-0032).     

Existence and comparison results for fixed points of multifunctions with applications to normal-form games

In this paper we apply generalized iteration methods to prove comparison results which show how fixed points of a multifunction can be bounded by least and greatest fixed points of single-valued functions. As an application we prove existence and comparison results for fixed points of multifunctions. These results are applied to normal-form games, by proving existence and comparison results for pure and mixed Nash equilibria and their utilities.     

Estimates for the Sobolev trace constant with critical exponent and applications

In this paper we find estimates for the optimal constant in the critical Sobolev trace inequality that are independent of Ω. This estimates generalized those of Adimurthi and Yadava (Comm Partial Diff Equ 16(11):1733–1760, 1991) for general p. Here p _* : =  p(N  −  1)/(N  −  p) is the critical exponent for the immersion and N is the space dimension. Then we apply our results first to prove existence of positive solutions to a nonlinear elliptic problem with a nonlinear boundary condition with critical growth on the boundary, generalizing the results of Fernández Bonder and Rossi (Bull Lond Math Soc 37:119–125, 2005). Finally, we study an optimal design problem with critical exponent.      

Stability estimates for the Radon transform with restricted data and applications

In this article, we prove a stability estimate going from the Radon transform of a function with limited angle-distance data to the L^p$L^p$ norm of the function itself, under some conditions on the support of the function. We apply this theorem to obtain stability estimates for an inverse boundary value problem with partial data.     

Generalized boundary value problems for analytic functions with convolutions and its applications

In this paper, we first establish a locality theory for the Noethericity of generalized boundary value problems on the spaces . By means of this theory, of the classical boundary value theory, and of the theory of Fourier analysis, we discuss the necessary and sufficient conditions of the solvability and obtain the general solutions and the Noether conditions for one class of generalized boundary value problems. All cases as regards the index of the coefficients in the equations are considered in detail. Moreover, we apply our theoretical results to the solvability of singular integral equations with variable coefficients. Thus, this paper will be of great significance for the study of improving and developing complex analysis, integral equation, and boundary value theory.     

Lagrange multipliers for regular and singular problems in the calculus of variations

A Lagrange multiplier rule is presented for a variational problem of Bolza type under hypotheses that allow certain components of the coefficient matrices involved in the functional being minimized to fail to be integrable near an endpoint of the interval on which the relevant functions are defined. The problem is also addressed when all coefficients are of classL ², but not necessarily bounded. Applications are made to ascertain properties of functions providing equality to certain singular and regular integral inequalities appearing in the literature.     

Existence and stability of solutions for maximal element theorem on Hadamard manifolds with applications

In this paper, maximal element theorem on Hadamard manifolds is established. First, we prove the existence of solutions for maximal element theorem on Hadamard manifolds. Further, we prove that most of problems in maximal element theorem on Hadamard manifolds (in the sense of Baire category) are essential and that, for any problem in maximal element theorem on Hadamard manifolds, there exists at least one essential component of its solution set. As applications, we study existence and stability of solutions for variational relation problems on Hadamard manifolds, and existence and stability of weakly Pareto-Nash equilibrium points for n-person multi-objective games on Hadamard manifolds.     

A semidefinite framework for trust region subproblems with applications to large scale minimization

Primal-dual pairs of semidefinite programs provide a general framework for the theory and algorithms for the trust region subproblem (TRS). This latter problem consists in minimizing a general quadratic function subject to a convex quadratic constraint and, therefore, it is a generalization of the minimum eigenvalue problem. The importance of (TRS) is due to the fact that it provides the step in trust region minimization algorithms. The semidefinite framework is studied as an interesting instance of semidefinite programming as well as a tool for viewing known algorithms and deriving new algorithms for (TRS). In particular, a dual simplex type method is studied that solves (TRS) as a parametric eigenvalue problem. This method uses the Lanczos algorithm for the smallest eigenvalue as a black box. Therefore, the essential cost of the algorithm is the matrix-vector multiplication and, thus, sparsity can be exploited. A primal simplex type method provides steps for the so-called hard case. Extensive numerical tests for large sparse problems are discussed. These tests show that the cost of the algorithm is 1 +α(n) times the cost of finding a minimum eigenvalue using the Lanczos algorithm, where 0<α(n)<1 is a fraction which decreases as the dimension increases. Research supported by the National Science and Engineering Research Council Canada.     

Regularity results for evolutionary nonlinear variational and quasi-variational inequalities with applications to dynamic equilibrium problems

The aim of this paper is to obtain the continuity of solutions to time-dependent nonlinear variational and quasi-variational inequalities which express many dynamic equilibrium problems. To prove our results, we make use of Minty’s Lemma and of the notion of the Mosco’s convergence.     

An operational calculus for the euclidean motion group with applications in robotics and polymer science

In this article we develop analytical and computational tools arising from harmonic analysis on the motion group of three-dimensional Euclidean space. We demonstrate these tools in the context of applications in robotics and polymer science. To this end, we review the theory of unitary representations of the motion group of three dimensional Euclidean space. The matrix elements of the irreducible unitary representations are calculated and the Fourier transform of functions on the motion group is defined. New symmetry and operational properties of the Fourier transform are derived. A technique for the solution of convolution equations arising in robotics is presented and the corresponding regularized problem is solved explicity for particular functions. A partial differential equation from polymer science is shown to be solvable using the operational properties of the Euclidean-group Fourier transform.     

A trace minimization problem with applications in joint estimation and control under nonclassical information

Let and be positive-definite matrices of dimensionsn×n andm×n. Then, this paper considers the problem of minimizing Tr[(I+CC)^–1] over allm×n real matrices and under the constraint Tr[CC]1. The solution is obtained rigorously and withouta priori employing the Lagrange multipliers technique. An application of this result to a decentralized team problem which involves joint estimation and control and with signaling strategies is also discussed.     

On nonlinear ill-posed inverse problems with applications to pricing of defaultable bonds and option pricing

This paper considers the estimation of an unknown function h that can be characterized as a solution to a nonlinear operator equation mapping between two infinite dimensional Hilbert spaces. The nonlinear operator is unknown but can be consistently estimated, and its inverse is discontinuous, rendering the problem ill-posed. We establish the consistency for the class of estimators that are regularized using general lower semicompact penalty functions. We derive the optimal convergence rates of the estimators under the Hilbert scale norms. We apply our results to two important problems in economics and finance: (1) estimating the parameters of the pricing kernel of defaultable bonds; (2) recovering the volatility surface implied by option prices allowing for measurement error in the option prices and numerical error in the computation of the operator. The first anther was supported by US National Science Foundation (Grant No. SES-0631613) and the Cowles Foundation for Research in Economics     

High‐order difference schemes for 2D elliptic and parabolic problems with mixed derivatives

We propose a 9‐point fourth‐order finite difference scheme for 2D elliptic problems with a mixed derivative and variable coefficients. The same approach is extended to derive a class of two‐level high‐order compact schemes with weighted time discretization for solving 2D parabolic problems with a mixed derivative. The schemes are fourth‐order accurate in space and second‐ or lower‐order accurate in time depending on the choice of a weighted average parameter μ. Unconditional stability is proved for 0.5 ≤ μ ≤ 1, and numerical experiments supporting our theoretical analysis and confirming the high‐order accuracy of the schemes are presented. © 2006 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 23: 366–378, 2007     

Euler-Maruyama approximations for SDEs with non-Lipschitz coefficients and applications

In this paper Euler-Maruyama approximation for SDE with non-Lipschitz coefficients is proved to converge uniformly to the solution in Lp-space with respect to the time and starting points. As an application, we also study the existence of solution and large deviation principle for anticipative SDE with random initial condition.