Stochastic programs inevitably get huge if they are to model real life problems accurately. Nowadays only massive parallel machines can solve them but at a cost few decision makers can afford. We report hereon a deterministic equivalent linear programming model of 1,111,112 constraints and...

This paper solves the pure consumption Grossman model numerically following dynamic programming method, and undertakes sensitivity analysis of the optimal length of life. This is the first analysis that treats the determination of optimal length of life explicitly with numerical analysis.

We provide a monotonic transformation of an initial diffusion with a level-dependent diffusion parameter that yields a second, deterministic parameter process. Altering the diffusion parameter while maintaining the original Brownian motion at the expense of the drift can be viewed as a...

This paper solves the pure consumption Grossman model numerically following dynamic programming method, and undertakes sensitivity analysis of the optimal length of life. This is the first analysis that treats the determination of optimal length of life explicitly with numerical analysis.

The critical role of free entry to correct inherent deviance behavior has been stressed by Vanek (1970), Meade (1972) amongst others. The equivalence theorem (Dreze 1976) defines that labour and entrepreneurial management both lead to the same Pareto optimal equilibrium provided that there is...

If a solution (on a closed family of games) satisfies dummy axiom (DUM) and independance of irrelevant strategies (IIS) then it also satisfies consistency (CONS) (proposition 2.21, Peleg and Tijs, 1996). The converse of this proposition is not true: CONS implies neither DUM nor IIS as shown in...