To analyze strategic interactions arising in the cyber-security context, we develop a new reputation game model in which an attacker can pretend to be a normal user and a defender may have to announce attack detection at a certain point of time without knowing whether he has been attacked. We...

We consider an optimal investment problem to maximize expected utility of the terminal wealth, in an illiquid market with search frictions and transaction costs. In the market model, an investor's attempt of transaction is successful only at arrival times of a Poisson process, and the investor...

BackgroundRemote home blood pressure monitoring (HBPM) has been shown as effective in managing hypertension in underserved areas. Effects on urban patients, who are more easily provided with high-quality medical services, are still unclear. We systematically review previously published...

This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The intraday trajectories of TWAP trading targets cause...

Cyber-threats including computer viruses, data breach, and denial-of-service attacks have arisen, and they have to be well-handled. Imperfect prevention of cyber-attacks implies that defense of cyber-attacks is inevitably involved with false alarms. We consider a dynamic game in which a defender...

We consider how a principal can optimally outsource information acquisition to an agent in a dynamic environment when the principal can observe neither the agent's effort of collecting information nor signal realizations. Neither initial transaction nor interim payments are allowed to prevent...

We solve in closed-form a continuous-time Nash equilibrium model in which a finite number of exponential investors continuously consume and trade strategically with price-impact. Compared to the analogous Pareto-efficient equilibrium model, price-impact has an amplification effect on...