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Many economic problems can be formulated as dynamic games in which strategically interacting agents choose actions that determine the current and future levels of a single capital stock. We study necessary conditions that allow us to characterize Markov perfect Nash equilibria (MPNE) for these...
Persistent link: https://www.econbiz.de/10011255863
allows us to show how conflict and cooperation over transboundary water resources may occur. It also allows us to pay …
Persistent link: https://www.econbiz.de/10011257048
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...
Persistent link: https://www.econbiz.de/10011255898
Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to...
Persistent link: https://www.econbiz.de/10011256002
At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...
Persistent link: https://www.econbiz.de/10011256210
The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages,...
Persistent link: https://www.econbiz.de/10011257149
situation in which a finite set of players can obtain certain payoffs by cooperation can be described by a cooperative game with …-game. A well-known solution is the nucleolus. A cooperative game with a permission structure describes a situation in which … cooperation possibilities by assigning to every coalition the worth of its largest feasible subset. In this paper we provide a …
Persistent link: https://www.econbiz.de/10011256279
A situation in which a finite set of players can obtain certain payoffs by cooperation can be described by a … distribution to every TU-game. A well-known solution is the nucleolus. A cooperative game with a permission structure describes a … limited cooperation possibilities by assigning to every coalition the worth of its largest feasible subset. In this paper we …
Persistent link: https://www.econbiz.de/10011257037
A situation in which a finite set of players can obtain certain payoffs by cooperation can be described by a … every TU-game. In the literature various models of games with restricted cooperation can be found. So, instead of allowing … coalitions also their union is feasible. Properties of solutions (the core, the nucleolus, the prekernel and the Shapley value …
Persistent link: https://www.econbiz.de/10011257183
This discussion paper led to a publication in 'TOP' (forthcoming).<P> In this paper we introduce and characterize two new values for transferable utility games with graph restricted communication and a priori unions. Both values are obtained by applying the Shapley value to an associated TU-game....</p>
Persistent link: https://www.econbiz.de/10011255446