Related papers: On Bankruptcy Game Theoretic Interval Rules

When there is a dispute between players on how to divide multiple divisible assets, how should it be resolved? In this paper we introduce a multi-asset game model that enables cooperation between multiple agents who bargain on sharing K…

Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…

In games with a large number of players where players may have overlapping objectives, the analysis of stable outcomes typically depends on player types. A special case is when a large part of the player population consists of imitation…

That there exist two losing games that can be combined, either by random mixture or by nonrandom alternation, to form a winning game is known as Parrondo's paradox. We establish a strong law of large numbers and a central limit theorem for…

Traditionally quantitative games such as mean-payoff games and discount sum games have two players -- one trying to maximize the payoff, the other trying to minimize it. The associated decision problem, "Can Eve (the maximizer) achieve, for…

We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary number of parties is involved and each of them is allowed to…

The constrained Dirichlet boundary value problem $\ddot x=f(t,x)$, $x(0)=x(T)$, is studied in billiard spaces, where impacts occur in boundary points. Therefore we develop the research on impulsive Dirichlet problems with state-dependent…

We give explicit formulas for ruin probabilities in a multidimensional Generalized Gambler's ruin problem. The generalization is best interpreted as a game of one player against $d$ other players, allowing arbitrary winning and losing…

A generalized model of games is proposed, in which cooperative games and non-cooperative games are special cases. Some games that are neither cooperative nor non-cooperative can be expressed and analyzed. The model is based on relationships…

This survey treats the problem of ruin in a risk model when assets earn investment income. In addition to a general presentation of the problem, topics covered are a presentation of the relevant integro-differential equations, exact and…

In the game-theoretic model war of attrition, players are subject to an explicit cost proportional to the duration of contests. We construct a model where the time cost is not explicitly given, but instead depends implicitly on the…

Although applications of Bayesian analysis for numerical quadrature problems have been considered before, it's only very recently that statisticians have focused on the connections between statistics and numerical analysis of differential…

We study the impact of regulatory capital constraints on fire sales and financial stability in a large banking system using a mean field game model. In our model banks adjust their holdings of a risky asset via trading strategies with…

Intermediately subcritical branching processes in random environment are at the borderline between two subcritical regimes and exhibit a particularly rich behavior. In this paper, we prove a functional limit theorem for these processes. It…

Coalitional games serve the purpose of modeling payoff distribution problems in scenarios where agents can collaborate by forming coalitions in order to obtain higher worths than by acting in isolation. In the classical Transferable Utility…

Using an exhaustive list of Japanese bankruptcy in 1997, we discover a Zipf law for the distribution of total liabilities of bankrupted firms in high debt range. The life-time of these bankrupted firms has exponential distribution in…

We show that in a financial market given by semimartingales an arbitrage opportunity, provided it exists, can only be exploited through short selling. This finding provides a theoretical basis for differences in regulation for financial…

In this paper, a unified framework for representing uncertain information based on the notion of an interval structure is proposed. It is shown that the lower and upper approximations of the rough-set model, the lower and upper bounds of…

We analyse the computational complexity of finding Nash equilibria in stochastic multiplayer games with $\omega$-regular objectives. While the existence of an equilibrium whose payoff falls into a certain interval may be undecidable, we…

We study the classic divide-and-choose method for equitably allocating divisible goods between two players who are rational, self-interested Bayesian agents. The players have additive values for the goods. The prior distributions on those…