Zobrazeno 1 - 10
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pro vyhledávání: '"Villeneuve, Stephane"'
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic game in which
Externí odkaz:
http://arxiv.org/abs/2312.07703
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the stochastic dynamics of the debt-to-GDP ratio via singular stochastic c
Externí odkaz:
http://arxiv.org/abs/2311.17711
Can a principal still offer optimal dynamic contracts that are linear in end-of-period outcomes when the agent controls a process that exhibits memory? We provide a positive answer by considering a general Gaussian setting where the output dynamics a
Externí odkaz:
http://arxiv.org/abs/2209.10878
Using jointly geometric and stochastic reformulations of nonconvex problems and exploiting a Monge-Kantorovich gradient system formulation with vanishing forces, we formally extend the simulated annealing method to a wide class of global optimization
Externí odkaz:
http://arxiv.org/abs/2204.01306
Autor:
Martin, Jessica, Villeneuve, Stéphane
What type of delegation contract should be offered when facing a risk of the magnitude of the pandemic we are currently experiencing and how does the likelihood of an exogenous early termination of the relationship modify the terms of a full-commitme
Externí odkaz:
http://arxiv.org/abs/2102.00001
Akademický článek
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Autor:
Miclo, Laurent, Villeneuve, Stéphane
This paper is concerned with the solution of the optimal stopping problem associated to the valuation of Perpetual American options driven by continuous time Markov chains. We introduce a new dynamic approach for the numerical pricing of this type of
Externí odkaz:
http://arxiv.org/abs/1904.10685
Akademický článek
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Publikováno v:
In Journal of Economic Theory October 2022 205
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first reduce the problem to a zero-sum Dynkin game on a bi-dimensional diffu
Externí odkaz:
http://arxiv.org/abs/1705.07352