Stackelberg equilibrium describes the optimal strategies of a player, when she (the leader) first credibly commits to a strategy. Her opponent (the follower) will best respond to her commitment. To compute the optimal commitment, a leader must learn enough follower's payoff information. The...

The BitTorrent network, a well-known Internet-scale P2P system, applies the proportional response protocol to exchange resource, where each participant contributes resources to neighbors in proportion to the amount it received in the previous round. The dynamics of this protocol is known to...

This paper studies arbitrage-free conditions for multiperiod asset pricing in frictional financial markets with proportional transaction costs. We consider the Euclidean space for weakly arbitrage-free security markets and strongly arbitrage-free security markets, and establish the weakly...

Let \equiv(N,v) be a cooperative game with the player set N and characteristic function v: 2N -R. An imputation of the game is in the core if no subset of players could gain advantage by splitting from the grand coalition of all players. It is well known that, for the flow game (and...

Default correlation is the key point for the pricing of multi-name credit derivatives. In this paper, we apply copulas to characterize the dependence structure of defaults, determine the joint default distribution, and give the price for a specific kind of multi-name credit derivative —...