Showing 1 - 10 of 61
We study partial information, possibly non-Markovian, singular stochastic control of Itô--Lévy processes and obtain general maximum principles. The results are used to find connections between singular stochastic control, reflected BSDEs and optimal stopping in the partial information case. As...
Persistent link: https://www.econbiz.de/10009220692
Real options models characterized by the presence of ambiguity have been recently proposed. But based on recursive multiple-priors approaches to solve ambiguity, these seminal models reduce individual preferences to extreme pessimism by considering only the worst case scenario. In contrast, by...
Persistent link: https://www.econbiz.de/10008793841
We analyze the robustness properties of the Snell envelope backward evolution equation for the discrete time optimal stopping problem. We consider a series of approximation schemes, including cut-off type approximations, Euler discretization schemes, interpolation models, quantization tree...
Persistent link: https://www.econbiz.de/10008833333
vulnerability to peak oil. Climate policies, therefore, appear as a hedging strategy against the uncertainty on oil resources, in …
Persistent link: https://www.econbiz.de/10009647577
Theories of justice in the spirit of Rawls and Harsanyi argue that fair-minded people should aspire to make choices for society as if in the original position, that is, behind a veil of ignorance that prevents them from knowing their own social positions. In this paper, we provide a fairly...
Persistent link: https://www.econbiz.de/10010605310
in the Choquet Uncertainty model, letting u and μ (v and ν) be Ursula's (Victor's) utility and capacity. A necessary and … sufficient condition (A) on the pairs (u, μ) and (v, ν) will be presented for dichotomous weak increased uncertainty aversion … indifferent. Condition A is thus a characterization of weak increased uncertainty aversion for convex f. An example will be …
Persistent link: https://www.econbiz.de/10010605324
We propose an ethical viewpoint based on the possibility of the realization of the worst-case scenario in order to reduce future generations risks in terms of discounting. Applied to the question of conservation of a renewable resource, we show that an economy, where the social planner takes...
Persistent link: https://www.econbiz.de/10010750368
We develop an axiomatic approach to decision under uncertainty that explicitly takes into account the information …
Persistent link: https://www.econbiz.de/10010750380
We provide a general theorem on the aggregation of preferences under uncertainty. We study, in the Anscombe …-Aumann setting a wide class of preferences, that includes most known models of decision under uncertainty (and state …". The latter means that society cannot have a non-neutral attitude towards uncertainty on a subclass of acts. A corollary to …
Persistent link: https://www.econbiz.de/10010750424
that includes most known models of decision under uncertainty as well as state dependent versions of these models. We prove … that aggregation is possible and necessarily linear if and only if (society's) preferences are uncertainty neutral. The … latter means that society cannot have a non-neutral attitude toward uncertainty on a subclass of acts. A corollary to our …
Persistent link: https://www.econbiz.de/10010750533