Related papers: Preemptive Investment under Uncertainty
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…
In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the optimal…
We consider an irreversible investment problem under incomplete information, where the investor decides whether and when to make investments in a project. Upon investment, the investor acquires previously hidden information from the…
In this paper, we provide an effective characterization of all the subgame-perfect equilibria in infinite duration games played on finite graphs with mean-payoff objectives. To this end, we introduce the notion of requirement, and the…
This paper proposes a new equilibrium concept "robust perfect equilibrium" for non-cooperative games with a continuum of players, incorporating three types of perturbations. Such an equilibrium is shown to exist (in symmetric mixed…
A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows…
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we obtain a local-to-global paradigm, namely solving a local,…
This paper studies n-player games where players beliefs about their opponents behaviour are capacities. The concept of an equilibrium under uncertainty was introduced J.Dow and S.Werlang (J Econ. Theory 64 (1994) 205--224) for two players…
In this paper, we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a verification theorem for an open-loop…
We investigate a randomization procedure undertaken in real option games which can serve as a basic model of regulation in a duopoly model of preemptive investment. We recall the rigorous framework of [M. Grasselli, V. Lecl\`ere and M.…
We study time-inconsistent recursive stochastic control problems, i.e., for which the Bellman principle of optimality does not hold. For this class of problems classical optimal controls may fail to exist, or to be relevant in practice, and…
This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple time horizons, or when the time horizon is not known in…
For a game with positive profit, the optimal proportion of investment required to continue investing without borrowing is uniquely determined by an integral equation for each price. For a game with parallel translated profit, the ratio of…
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of…
This paper aims to solve two fundamental problems on finite or infinite horizon dynamic games with perfect or almost perfect information. Under some mild conditions, we prove (1) the existence of subgame-perfect equilibria in general…
Game-theoretic concepts have been extensively studied in economics to provide insight into competitive behaviour and strategic decision making. As computing systems increasingly involve concurrently acting autonomous agents, game-theoretic…
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the…
This paper introduces alignment games, a new class of zero-sum games modeling strategic interventions where effectiveness depends on alignment with an underlying hidden state. Motivated by operational problems in medical diagnostics,…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
Bayesian rationality in strategic games presumes that it is possible to translate strategic uncertainty into imperfect information. Correlated equilibrium is guided by the idea that players are Bayes rational, have a common prior, and…