In multiagent systems, agents might interfere with each other as a side-effect of their activities. One approach to coordinating these agents is to restrict their activities by means of social norms whose violation results in sanctions to violating agents. We formalize a normative system within a stochastic environment and norm enforcement follows a stochastic model in which stricter enforcemen...

Decentralized supply chain management is found to be significantly relevant in today’s competitive markets. Production and distribution planning is posed as an important optimization problem in supply chain networks. Here, we propose a multi-period decentralized supply chain network model with uncertainty. The imprecision related to uncertain parameters like demand and price of the final produc...

We develop a notion of nonlinear expectation —-G–expectation—generated by a nonlinear heat equation with infinitesimal generator G. We first study multi-dimensional G–normal distributions. With this nonlinear distribution we can introduce our G–expectation under which the canonical process is a multi–dimensional G–Brownian motion. We then establish the related stochastic calculus, especially st...

Default dependency structure is crucial in pricing multi-name credit derivatives as well as in credit risk management. In this paper, we extend the first passage model for one name with stochastic volatility (Fouque-Sircar-Sølna, Applied Mathematical Finance 2006) to the multi-name case. Correlation of defaults is generated by correlation between the Brownian motions driving the individual name...

Multiagent resource allocation under uncertainty raises various computational challenges in terms of efficiency such as intractability, communication cost, and preference representation. To date most approaches do not provide efficient solutions for dynamic environments where temporal constraints pose particular challenges. We propose two techniques to cope with such settings: auctions to alloc...

Infectious diseases remain a substantial public health concern as they are among the leading causes of death. Immunization by vaccination can reduce infectious diseases-related risk suffering and Many countries have developed COVID-19 vaccines in past two years to control pandemic. Due an urgent need for vaccines, vaccine administration is mode emergency use authorization facilitate availabilit...

We present a continuous time model of maturation and survival, obtained as the limit of a compartmental evolution model when the number of compartments tends to infinity. We establish in particular an explicit formula for the law of the system output under inhomogeneous killing and when the input follows a time-inhomogeneous Poisson process. This approach allows the discussion of identifiabilit...

In the context of multi-factor stochastic volatility models, which contain the widely used Heston model, we present variance reduction techniques to price European options by Monte Carlo (MC) and QuasiMonte Carlo (QMC) methods. We formulate a stochastic integral as a martingale control for the payoffs to be evaluated. That control corresponds to the cost of an approximate delta hedging strategy...