We develop a methodology for studying large deviations type questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a larg class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals are...

We develop a methodology for studying ''large deviations type'' questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a larg class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals are...

In this paper, we perform an in - depth investigation of relative merits of two adaptive learning algorithms with constant gain, Recursive Least Squares (RLS) and Stochastic Gradient (SG), using the Phelps model of monetary policy as a testing ground. The behavior of the two learning algorithms...

This paper provides a new technique for representing discrete time nonlinear dynamic stochastic time invariant maps. Using this new series representation, the paper augments the usual solution strategy with an additional set of constraints thereby enhancing algorithm reliability. The paper also...

For an increasing upper order hemi-continuous correspondence F selfmapping sigma-complete lattice A, we first provide tight fixed-point bounds for sufficiently large iterations on F starting from any initial point a in A. We use this result for conducting iterative fixed-point comparative...

This paper deals with the search of optimal paths in a multi-stage stochastic decision network as a first application of the deterministic approximation approach proposed by Tadei et al. [48]. In the network, the involved utilities are stage-dependent and contain random oscillations with an...

This paper provides a concise guide to dynamic optimization with an integral treatment on various optimal control and dynamic programming problems. It presents essential theorems and methods for obtaining and characterizing solutions to these problems. The paper discusses Pontryagin's maximum...

The sum of a supermodular function, assumed nondecreasing in the choice variable, and of a 'concavely supermodularizable' function, assumed nonincreasing in the parameter variable, satisfies the Milgrom- Shannon (1994, Monotone comparative statics, Econometrica 62, 157-180) single crossing...

Under certain conditions on the excess demand function, it is shown that the set of equilibrium prices coincides with the set of maximizers of a potential function. Therefore, monotone comparative statics techniques can be employed to study how equilibrium prices change when there are shocks to...

The aim of this paper is to provide a new straightforward \textit{measure-free} methodology based on a convex hulls to determine the no-arbitrage pricing bounds of an option (European or American). The pedagogical interest of our methodology is also briefly discussed. The central result, which...