In this paper, firstly we shall show some equivalent conditions of A 〉 B 〉 0; secondly by using the results of ours we shall show some characterizations of the chaotic order（i.e., logA≥log B） by norm inequalities.
This paper studies the following cooperative investment game with two agents. At the start of the game, both the agents＇ capital are collected. The total capital are then invested according to a certain trading strat...This paper studies the following cooperative investment game with two agents. At the start of the game, both the agents＇ capital are collected. The total capital are then invested according to a certain trading strategy. At a certain time To one agent quits the cooperation and they divide the wealth among themselves. During the remaining period [To, T], the other agent invests his/her capital following a possibly different trading strategy. By stochastic optimization method combined with the theory of Backward Stochastic Differential Equations （BSDEs, for short）, we give an equivalent characterization of the Pareto optimal cooperative strategies.展开更多
基金the Education Foundation of Henan Province(2003110006)
文摘In this paper, firstly we shall show some equivalent conditions of A 〉 B 〉 0; secondly by using the results of ours we shall show some characterizations of the chaotic order（i.e., logA≥log B） by norm inequalities.
基金supported by the Natural Science Foundation of China under Grant Nos.11001029 and 10971220the Fundamental Research Funds for the Central Universities(BUPT2009RC0705)
文摘This paper studies the following cooperative investment game with two agents. At the start of the game, both the agents＇ capital are collected. The total capital are then invested according to a certain trading strategy. At a certain time To one agent quits the cooperation and they divide the wealth among themselves. During the remaining period [To, T], the other agent invests his/her capital following a possibly different trading strategy. By stochastic optimization method combined with the theory of Backward Stochastic Differential Equations （BSDEs, for short）, we give an equivalent characterization of the Pareto optimal cooperative strategies.
