We analyze a differential game with spatially distributed controls to study a multiregional transboundary pollution problem. The dynamics of the state variab...

Very large networks linking dynamical agents are now ubiquitous and the need to analyse, design and control them is evident. The emergence of the graphon the...

In this study, we develop a deterministic nonlinear filtering algorithm based on a high-dimensional version of Kitagawa (1987) to evaluate the likelihood fun...

Since nonprofit organizations play an important role in providing goods and services in all countries, this paper aims at determining optimal policies for ...

We analyze an endogenous growth model with non-constant discounting and a negative externality of growth on utility. With a decreasing rate of impatience, ...

Drawing on statistical learning theory, we derive out-of-sample and optimality guarantees about the investment strategy obtained from a regularized portfoli...

We consider several time series and for each of them, we fit an appropriate dynamic parametric model. This produces serially independent error terms for each...

For nearest neighbor univariate random walks in a periodic environment, where the probability of moving depends on a periodic function, we show how to estim...

Given \(n\) points, a symmetric dissimilarity matrix \(D\) of dimensions \(n\times n\) and an integer \(p\geq 2\), the \(p\)-dispersion problem (pD...

Operations Research (OR) has a very important role to play in credit scoring for building models that can help the lending organization to make a good decisi...

In this paper, we propose an intuitive way to couple several dynamic time series models even when there are no innovations. This extends previous work for m...

In its reform of the US bankruptcy procedure, the American Bankruptcy Institute (ABI) is proposing to grant a redemption option to junior creditors and let...

In this paper, we consider non-stationary response variables and covariates, where the marginal distributions and the associated copula may be time-dependent...

Generally, the semiclosed-form option pricing formula for complex financial models depends on unobservable factors such as stochastic volatility and jump int...

Wrong-way risk arises when the value of a financial transaction is adversely correlated with the creditworthiness of the counterparty. This paper investiga...

The third installment of the Basel Accords advocates a capital charge against Credit Valuation Adjustment (CVA) variability. We propose an efficient numeri...

We analyze a transboundary pollution differential game where, in addition to the standard temporal dimension, a spatial dimension is introduced to capture th...

Parrondo's paradox is extended to regime switching random walks in random environments. The paradoxical behavior of the resulting random walk is explained...

We use NORTA (NORmal To Anything) to enhance normal credit-risk factor settings in modeling common risk factors and capturing contagion effects...

The survivorship bias in credit risk modeling is the bias that results in parameter estimates when the survival of a company is ignored. We study the statist...