A new model is presented which produces credit spreads that do not converge to zero for short maturities. Our set-up includes incomplete, i.e., delayed and asymmetric information. When the financial market observes the company's earnings with a delay, the effect on both default policy and credit...

In this paper we prove a sufficient maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems. In the newsvendor problem a manufacturer sells goods to a retailer, and the objective of both parties is to maximize expected...

In this paper we consider the problem of admission control of Bernoulli arrivals to a buffer with geometric server, in which the controller’s actions take effect one period after the actual change in the queue length. An optimal policy in terms of marginal productivity indices (MPI) is derived...

We analyze the behavior of closed product-form queueing networks when the number of customers grows to infinity and remains proportionate on each route (or class). First, we focus on the stationary behavior and prove the conjecture that the stationary distribution at non-bottleneck queues...

We propose a novel dynamic car relocation policy for a car-sharing network with centralized control and uncertain, unbalanced demand. The policy is derived from a reformulation of the linear programming fluid model approximation of the dynamic problem. We project the full-dimensional fluid...

The paper investigates the impact of delayed tax revenues on the fiscal policy out-comes. Choosing the delay as a bifurcation parameter we study the direction and the stability of the bifurcating periodic solutions. We show when the system is stable with respect to the delay. Some numerical...

In this paper a three-dimensional environmental defensive expenditures model with delay is considered. The model is based on the interactions among visitors V, quality of ecosystem goods E, and capital K, intended as accommodation and entertainment facilities, in Protected Areas (PAs). The...

The statutory patent length is 20 years in most countries. R&D-based endogenous growth models, however, often presume an infinite patent length. In this paper, finite-length patents are embedded in a non-scale R&D-based growth model, but any patent’s effective life may be terminated...

This paper proposes conditions for the existence and uniqueness of solutions to systems of linear differential or algebraic equations with delays or advances, in which some variables may be non predetermined. The obtained conditions represent the counterpart of the Blanchard and Kahn conditions...