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Showing papers by "Central Economics and Mathematics Institute published in 2004"


Journal ArticleDOI
TL;DR: In this paper, the authors present results from an econometric analysis of Russian bank defaults during the period 1997-2003, focusing on the extent to which publicly available information from quarterly bank balance sheets is useful in predicting future defaults.
Abstract: This paper presents results from an econometric analysis of Russian bank defaults during the period 1997-2003, focusing on the extent to which publicly available information from quarterly bank balance sheets is useful in predicting future defaults. Binary choice models are estimated to construct the probability of default model. We find that preliminary expert clustering or automatic clustering improves the predictive power of the models and incor-poration of macrovariables into the models is useful. Heuristic criteria are suggested to help compare model performance from the perspectives of investors or banks supervision authorities. Russian banking system trends after the crisis 1998 are analyzed with rolling regressions.

55 citations


Journal ArticleDOI
TL;DR: Using an appropriate geometric formalism it is shown that the Bellman function is the unique viscosity solution of a HJB equation.
Abstract: We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism we show that the Bellman function is the unique viscosity solution of a HJB equation.

40 citations


Journal ArticleDOI
TL;DR: It is shown that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value, which is in contrast to the classical no-arbitrage criteria.
Abstract: We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may change its sign. We also give an application to the CAPM.

29 citations


Journal ArticleDOI
TL;DR: In this paper, a survey of topological, algebraic, and combinatorial properties of metric invariants for arbitrary groups of homeomorphisms of the line and the circle is presented.
Abstract: This survey is devoted to investigations concerning topological, algebraic, and combinatorial characteristics as well as metric invariants for arbitrary groups of homeomorphisms of the line and the circle. Relationships between these characteristics are established, the most important metric invariants are studied (in the form of invariant, projectively invariant, and ω-projectively invariant measures), and the main 'obstructions' to the existence of metric invariants of this kind are described.

25 citations


Journal ArticleDOI
TL;DR: In this paper, it was proved that a polytope of non-zero width in the direction of a straight line is the Minkowski sum of a parallelotope of width zero and a segment of this line.
Abstract: In 1959, Venkov introduced a concept of polytope of non-zero width in the direction of a subspace and studied parallelotopes of non-zero width. In the present paper properties of a parallelotope of non-zero width in the direction of a straight line are investigated. In particular, it is proved that a parallelotope of non-zero width in the direction of a straight line is the Minkowski sum of a parallelotope of width zero and a segment of this line. Necessary and sufficient conditions ensuring that the sum of a parallelotope and a line segment is again a parallelotope are presented.

14 citations


Book ChapterDOI
01 Jan 2004
TL;DR: The paper describes an approach to solving an optimal stopping problems for multidimensional diffusion processes based on connection between boundary problem for diffusion processes and Dirichlet problem for PDE of an elliptic type and discusses an application of this optimal stopping problem to investment model with taxes.
Abstract: The paper is devoted to the description of an approach to solving an optimal stopping problems for multidimensional diffusion processes. This approach is based on connection between boundary problem for diffusion processes and Dirichlet problem for PDE of an elliptic type. The solution of a Dirichlet problem is considered as a functional of the available continuation regions. The optimization of this functional will be carried out by variational methods. Unlike the heuristic “smooth pasting” method the proposed approach allows to obtain, in principle, to find necessary and sufficient conditions for optimality of stopping time in a given class of continuation regions. The approach is applied to the solving an optimal stopping problem for a two-dimensional geometric Brownian motion with objective functional, which is an expectation of a homogeneous function. We discuss an application of this optimal stopping problem to investment model with taxes.

7 citations


Journal ArticleDOI
TL;DR: The role of the state in the economy is discussed in this paper, where a triad of independent and cooperating macro-level actors is represented as a state, the society and the economy.
Abstract: The concept of the role of the state in the economy is developed. It is based on the systemic representation of the structure of independent and cooperating macrolevel actors as a triad "the state - the society - the economy". The concept assumes the balanced and coordinated functioning of these three spheres and the existence of functions of the state that cannot be delegated to others spheres, the main one of which is to maintain the evolutionary and progressive development of the country. Such representation allows creating in a new fashion the list and subordination of the functions of the state in the economy and the society, defining targets of the state ownership management.

6 citations


Journal ArticleDOI
TL;DR: In this paper, the stability and ergodicity of a special class of nonhomogeneous birth-death processes are studied and applications of estimates for queue-length process for Mt/Mt/S and Mt/S/S queues are considered.
Abstract: We study stability and ergodicity of a special class of nonhomogeneous birth-death processes and consider applications of estimates for queue-length process for Mt/Mt/S and Mt/Mt/S/S queues.

5 citations



Journal ArticleDOI
TL;DR: In this article, the authors study infinite-dimensional dynamic systems with the Frenkel-Kontorova potentials and describe their traveling-wave-type solutions, which are solutions for the corresponding boundary-value problem with nonlocal conditions.
Abstract: In the paper we study infinite-dimensional dynamic systems with the Frenkel–Kontorova potentials. For such systems we describe their traveling-wave-type solutions, which are solutions for the corresponding boundary-value problem with nonlocal conditions. Describing the mentioned solutions is equivalent to describing the space of solutions for a functional differential equation that can be canonically derived from the original dynamic system. The stability of traveling-wave-type solutions is also investigated.

2 citations


Journal ArticleDOI
TL;DR: In this article, negative trends in Russian macroeconomic dynamics are considered: raw materials production orientation, lowering of employees remuneration share in GDP, inflation, etc., and it is shown that they are caused by the institutional system that has been formed during the period of reforms.
Abstract: Negative trends in Russian macroeconomic dynamics are considered in the article: raw materials production orientation, lowering of employees remuneration share in GDP, inflation, etc. It is shown that they are caused by the institutional system that has been formed during the period of reforms. This system hinders effective social and economic development.