Social optimality in the constructed-capital model

In the constructed-capital model, the steady state is derived under the assumption that each individual behaves optimally. Contrasting to this decentralized approach, in this paper we derive the first-best outcome a central planner would choose. The results show that agglomeration is socially not optimal, irrespective of the level of trade barriers. Furthermore, the differences in the explicit solutions of both approaches are highlighted.     

Collaborative decision systems in economics and in complex societal and environmental applications

Central European Journal of Operations Research -     

Approximate dynamic programming for stochastic linear control problems on compact state spaces

This paper addresses Markov Decision Processes over compact state and action spaces. We investigate the special case of linear dynamics and piecewise-linear and convex immediate costs for the average cost criterion. This model is very general and covers many interesting examples, for instance in inventory management. Due to the curse of dimensionality, the problem is intractable and optimal policies usually cannot be computed, not even for instances of moderate size.     

Fast escape in incompressible vector fields

Monatshefte für Mathematik - Swimmers caught in a rip current flowing away from the shore are advised to swim orthogonally to the current to escape it. We describe a mathematical principle in...     

Risk averse asymptotics in a Black–Scholes market on a finite time horizon

We consider the optimal investment and consumption problem in a Black–Scholes market, if the target functional is given by expected discounted utility of consumption plus expected discounted utility of terminal wealth. We investigate the behaviour of the optimal strategies, if the relative risk aversion tends to infinity. It turns out that the limiting strategies are: do not invest at all in the stock market and keep the rate of consumption constant!     

Testing for a $$delta $$ -neighborhood of a generalized Pareto copula

Annals of the Institute of Statistical Mathematics - A multivariate distribution function F is in the max-domain of attraction of an extreme value distribution if and only if this is true for the...     

A family of constacyclic ternary quasi-perfect codes with covering radius 3

In this paper a family of constacyclic ternary quasi-perfect linear block codes is presented. This family extends the result presented in a previous work by the first two authors, where the existence of codes with the presented parameters was stated as an open question. The codes have a minimum distance 5 and covering radius 3.