In this paper, we analyze a perturbed formulation of bilevel optimization problems, which we refer to as δ-perturbed formulation. The δ-perturbed formulation allows to handle the lower level optimization problem efficiently when there are multiple lower level optimal solutions. By using an...

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

This study presents an approach based on a perturbation technique to construct global solutions to dynamic stochastic general equilibrium models (DSGE). The main idea is to expand a solution in a series of powers of a small parameter scaling the uncertainty in the economy around a solution to...

This paper evaluates the accuracy of a set of techniques that approximate the solution of continuous-time DSGE models. Using the neoclassical growth model I compare linear-quadratic, perturbation and projection methods. All techniques are applied to the HJB equation and the optimality conditions...

This paper develops a framework to estimate the probability of default (PD) implied in listed stock options. The underlying option pricing model measures PD as the intensity of a jump diffusion process, in which the underlying stock price jumps to zero at default. We adopt a two-stage...

Обсуждается задача синтеза системы управления для двигателя постоянного тока независимого возбуждения с многоуровневым преобразователем напряжения....