نتایج جستجو برای: recursive utility
تعداد نتایج: 167377 فیلتر نتایج به سال:
We analyse a single sector economy with H > 1 infinitely-lived agents that operate in a continuous-time framework. Utility functions are recursive but not additive. Both efficient and perfect foresight competitive equilibrium allocations are considered. The existence and stability of such allocations are investigated locally, i.e., in a neighbourhood of steady-state allocations. The model is sh...
In recent years, there has been great interest in graph drawing to express relational information and applications range from CASE tools, reverse engineering, idea organization, and software design. However, as the graphs to be visualized become more and more complex, extended structured graph variations are needed. Clustered graphs are graphs with recursive clustering structures. The possible ...
This paper, adopting the recursive multiple-priors utility, studies the optimal consumption and portfolio choice in a Merton-style model with anticipation when there is a difference between ambiguity and risk. The fundamental issue is what the effects of ambiguity and anticipation on the investor’s behavior are. In the case of a logarithmic felicity function, the paper also shows that no hedgin...
We examine the optimal portfolio selection problem for a single agent who receives a unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but rigorously prove that there exists a unique optimal portfolio strategy. We present a recursive computational algorithm which produces a sequence of portfoli...
This paper proposes a novel concept for digital image compression. The resulting compression scheme relies on adaptive thinning algorithms, which are recent multiresolution methods from scattered data approximation. Adaptive thinning algorithms are recursive point removal schemes, which are combined with piecewise linear interpolation over decremental Delaunay triangulations. This paper shows t...
A self-starting multistage, time-domain procedure is presented for the identification of nonlinear, multi-degree-of-freedom systems undergoing free oscillations or subjected to arbitrary direct force excitations and/or nonuniform support motions. Recursive least-squares parameter estimation methods combined with nonparametric identification techniques are used to represent, with sufficient accu...
The goal of this paper is to study a stochastic game connected to a system of forward backward stochastic differential equations (FBSDEs) involving delay and noisy memory. We derive sufficient and necessary maximum principles for a set of controls for the players to be a Nash equilibrium in the game. Furthermore, we study a corresponding FBSDE involving Malliavin derivatives. This kind of equat...
Java's remote method invocation mechanism provides a number of features that extend the functionality of traditional client/server-based distributed systems. However, there are a number of characteristics of the language that in uence its utility as a vehicle in which to express lightweight mobile processes. Among these are its highly imperative sequential core, the close coupling of control an...
Carroll and Kimball (1996) show that the consumption function for an agent with time-separable, isoelastic preferences is concave in the presence of income uncertainty. In this paper I show that concavity breaks down if we abandon time-separability. Namely, if an agent maximizing an isoelastic recursive utility has preferences for early resolution of uncertainty, there always exists a distribut...
We propose a recursive procedure to estimate the microcanonical density of states in multicanonical Monte Carlo simulations which relies only on measurements of moments of the energy distribution, avoiding entirely the need for energy histograms. This method yields directly a piecewise analytical approximation to the microcanonical inverse temperature beta(E) and allows improved control over th...
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