Collective Strategy Condensation: When Envy Splits Societies

Human societies are characterized by three constituent features, besides others. (A) Options, as for jobs and societal positions, differ with respect to their associated monetary and non-monetary payoffs. (B) Competition leads to reduced payoffs when individuals compete for the same option as others. (C) People care about how they are doing relatively to others. The latter trait—the propensity to compare one’s own success with that of others—expresses itself as envy. It is shown that the combination of (A)–(C) leads to spontaneous class stratification. Societies of agents split endogenously into two social classes, an upper and a lower class, when envy becomes relevant. A comprehensive analysis of the Nash equilibria characterizing a basic reference game is presented. Class separation is due to the condensation of the strategies of lower-class agents, which play an identical mixed strategy. Upper-class agents do not condense, following individualist pure strategies. The model and results are size-consistent, holding for arbitrary large numbers of agents and options. Analytic results are confirmed by extensive numerical simulations. An analogy to interacting confined classical particles is discussed.     

Arbitrage‐free call option surface construction using regression splines

In this work, we suggest a novel quadratic programming‐based algorithm to generate an arbitrage‐free call option surface. The empirical performance of the proposed method is evaluated using S&P 500 Index call options. Our results indicate that the proposed method provides a more precise fit to observed option prices than other alternative methodologies. Copyright © 2014 John Wiley & Sons, Ltd.     

On Quantum Team Games

Recently Liu and Simaan (2004) convex static multi-team classical games have been introduced. Here they are generalized to both nonconvex, dynamic and quantum games. Puu's incomplete information dynamical systems are modified and applied to Cournot team game. The replicator dynamics of the quantum prisoner's dilemma game is also studied.     

Maximum Shannon Entropy, Minimum Fisher Information, and an Elementary Game

We formulate an elementary statistical game which captures the essence of some fundamental quantum experiments such as photon polarization and spin measurement. We explore and compare the significance of the principle of maximum Shannon entropy and the principle of minimum Fisher information in solving such a game. The solution based on the principle of minimum Fisher information coincides with the solution based on an invariance principle, and provides an informational explanation of Malus' law for photon polarization. There is no solution based on the principle of maximum Shannon entropy. The result demonstrates the merits of Fisher information, and the demerits of Shannon entropy, in treating some fundamental quantum problems. It also provides a quantitative example in support of a general philosophy: Nature intends to hide Fisher information, while obeying some simple rules.     

股票价格遵循几何分式Brown运动的期权定价

讨论了股票价格过程遵循几何分式B row n运动的欧式期权定价.由于该过程存在套利机会使得传统的期权定价方法(如资本资产定价模型(CAPM),套利定价模型(APT),动态均衡定价理论(DEPT))不可能对该期权定价.利用保险精算定价法,在对市场无其它任何假设条件下,获得了欧式期权的定价公式.并讨论了在有效期内股票支付已知红利和红利率的推广公式.     

Equilibrium in Queueing Systems with Complementary Products

We study a model of a queueing system with two complementary products/services. In our model, there is one M/M/1 system and another facility that provides instantaneous service. The two services are complementary and the customer has no benefit from obtaining just one of them. We investigate the model under various price structures and ownership assumptions.AMS subject classification: 90B22, 91A10The authors are equal in their contribution to this paper. This paper is submitted by the first author to the Tokyo Institute of Technology as partial fulfillment of the requirements for the Ph.D. program in the Department of Value and Decision Sciences, and the order of names was chosen in compliance with program conditions. This research was supported by the Israel Science Foundation (grant No. 237/02).     

凸合成模糊对策的模糊稳定集

本建立了凸合成模糊对策的模型，并得到了凸合成模糊对策的模糊稳定集，可由子对策的模糊稳定集表达出来。从而解决了凸合成模糊对策的解的结构问题。     

An approach to deciding the observational equivalence of Algol-like languages

We prove that the observational equivalence of third-order finitary (i.e. recursion-free) Idealized Algol (IA) is decidable using Game Semantics. By modelling the state explicitly in our games, we show that the denotation of a term M of this fragment of IA is a compactly innocent strategy-with-state, i.e. the strategy is generated by a finite view function f_M. Given any such f_M, we construct a real-time deterministic pushdown automaton (DPDA) that recognizes the complete plays of the knowing-strategy denotation of M. Since such plays characterize observational equivalence, and there is an algorithm for deciding whether any two DPDAs recognize the same language, we obtain a procedure for deciding the observational equivalence of third-order finitary IA. Restricted to second-order terms, the DPDA representation cuts down to a deterministic finite automaton; thus our approach gives a new proof of Ghica and McCusker’s regular-expression characterization for this fragment. Our algorithmic representation of program meanings, which is compositional, provides a foundation for model-checking a wide range of behavioural properties of IA and other cognate programming languages. Another result concerns second-order IA with full recursion: we show that observational equivalence for this fragment is undecidable.     

On the Convenience to Form Coalitions or Partnerships in Simple Games

A partnership in a cooperative game is a coalition that possesses an internal structure and, simultaneously, behaves as an individual member. Forming partnerships leads to a modification of the original game which differs from the quotient game that arises when one or more coalitions are actually formed. In this paper, the Shapley value is used to discuss the convenience to form either coalitions or partnerships. To this end, the difference between the additive Shapley value of the partnership in the partnership game and the Shapley alliance value of the coalition, and also between the corresponding value of the internal and external players, are analysed. Simple games are especially considered. Research partially supported by Grant BFM 2003-01314 of the Science and Technology Spanish Ministry and the European Regional Development Fund.     

逆（反）对策问题与“奇门遁甲”预测理论（术）

本文首先提出逆（反）对策这一新问题，给出了数学模型；探讨了“奇门遁甲”预测理论（术）中的数学问题；通过系统分析“专门遁甲”预测过程，可知它的预测过程隐含着一个特殊的逆（反）对策问题；最后指出逆（反）对策问题的广泛存在并给出案例分析．