Abstract In this note we consider the class of weighted multi-glove games. We will show that these games are totally balanced and characterize supermodular pmas-admissible. Moreover, provide an explicit expression for Shapley value a large part pmas-admissible

The Zhao-Woodroofe condition has been introduced in [19] and it is a necessary and sufficient condition for the existence of a martingale approximation of a causal stationary process. Here, a nonadapted version is given and the convergence of Cesaro averages is replaced by a convergence of a subsequence. The nonadapted version is of a different form than in other cases, e.g. of Wu-Woodroofe or ...

It is well known that (see [9]) Cesaro means of 2π-periodic functions f ∈ Lp(T) (1 ≤ p ≤ ∞) converges by norms. Hereby T is denoted the interval (−π,π). The problem of the mean summability in weighted Lebesgue spaces has been investigated in [6]. A 2π-periodic nonnegative integrable function w : T→R1 is called a weight function. In the sequel by L p w(T), we denote the Banach function space of ...

A local limit theorem is proved for partial sums of a hidden Markov chain, assuming global asymptotic normality for a related sum, a fairly weak mixing condition, and a non-lattice condition. The proof proceeds by a study of the conditional characteristic functions, the analysis of which relies heavily on a theorem from Breiman (1968). The paper concludes with a Cesaro type limit theorem for th...

We derive comparison results for Markov processes with respect to stochastic orderings induced by function classes. Our main result states that stochastic monotonicity of one process and comparability of the infinitesimal generators implies ordering of the processes. Unlike in previous work no boundedness assumptions on the function classes are needed anymore. We also present an integral versio...

I identify assumptions under which policies that maximize expected surplus are Pareto Optimal–even when expected consumer surplus does not even locally represent preferences over price-income lotteries. Besides the oft-made partial equilibrium assumptions that only one price varies, and that income changes do not affect demand, the two other assumptions are that every consumer’s indirect utilit...

This paper is dedicated to the risk analysis of credit portfolios. Assuming that default indicators form an exchangeable sequence of Bernoulli random variables and as a consequence of de Finetti’s theorem, default indicators are Binomial mixtures. We can characterize the supermodular order between two exchangeable Bernoulli random vectors in terms of the convex ordering of their corresponding m...

The paper provides a possible explanation for the occurrence of uniform, fixedproportion rules for sharing surplus in two-sided markets. We study a two-sided matching model with transferable utility where agents are characterized by privately known, multi-dimensional attributes that jointly determine the surplus of each potential partnership. We ask the following question: for what divisions of...