Related papers: Strategic Irreversible Investment
We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow…
We study the interaction between strategy, heterogeneity and growth in a two-agent model of capital accumulation. Preferences are represented by recursive utility functions with decreasing marginal impatience. The stationary equilibria of…
We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary strategic incentives. The strategies are qualitatively different for local first- or second-mover advantages, which we…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
This paper deals with control of partially observable discrete-time stochastic systems. It introduces and studies Markov Decision Processes with Incomplete Information and with semi-uniform Feller transition probabilities. The important…
A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of…
We study learning by privately informed forward-looking agents in a simple repeated-action setting of social learning. Under a symmetric signal structure, forward-looking agents behave myopically for any degrees of patience. Myopic…
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation. There is a…
We study Markov decision processes (MDPs) with a countably infinite number of states. The $\limsup$ (resp. $\liminf$) threshold objective is to maximize the probability that the $\limsup$ (resp. $\liminf$) of the infinite sequence of…
We consider a discrete-time Markov decision process with Borel state and action spaces. The performance criterion is to maximize a total expected {utility determined by unbounded return function. It is shown the existence of optimal…
The energy and material processing industries are traditionally characterized by very large-scale physical capital that is custom-built with long lead times and long lifetimes. However, recent technological advancement in low-cost…
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…
In this paper, we consider the problem of periodic optimal control of nonlinear systems subject to online changing and periodically time-varying economic performance measures using model predictive control (MPC). The proposed economic MPC…
Multiagent systems where agents interact among themselves and with a stochastic environment can be formalized as stochastic games. We study a subclass named Markov potential games (MPGs) that appear often in economic and engineering…
This paper characterizes differentiable and subgame Markov perfect equilibria in a continuous time intertemporal decision problem with non-constant discounting. Capturing the idea of non commitment by letting the commitment period being…
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains…
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently near a terminal horizon. The investor can…
A competing market model with a polyvariant profit function that assumes "zeitnot" stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective of devising optimal strategies. An…
This paper examines a Markovian model for the optimal irreversible investment problem of a firm aiming at minimizing total expected costs of production. We model market uncertainty and the cost of investment per unit of production capacity…