We prove the existence of the maxmin of zero-sum recursive games with one sided information.

We investigate a two-player zero-sum stochastic differential game in which the players have an asymmetric information on the random payoff. We prove that the game has a value and characterize this value in terms of dual viscosity solutions of some second order Hamilton-Jacobi equation.

We consider the asymptotic value of two person zero sum repeated games with general evaluations of the stream of stage payoffs. We show existence for incomplete information games, splitting games and absorbing games. The technique of proof consists in embedding the discrete repeated game into a...

The motivation of this paper comes from repeated games with incomplete information and imperfect monitoring. It concerns the existence, for any payoff function, of a particular equilibrium (called completely revealing) allowing each player to learn the state of nature. We consider thus an...

This paper reconsiders the theory of existence of efficient allocations and equilibria when consumption sets are unbounded below under the assumption that agents have incomplete preferences. Our model is motivated by an example in the theory of assets with short-selling where there is risk and...

This article provides an overview of the literature on the psychological value of time. It discusses various determinants of the discount rate and the possibility of hyperbolic discounting. The historical approach helps us to trace the origins of the concept of psychological value of time. This...

This paper analyses the dynamic implications of an asset-pricing model with incomplete participation due to entry costs. It is shown that heterogeneity in entry costs can lead to the existence of multiple stochastic sunspot equilibria, whereby the number of agents in the market and asset prices...

Hedge fund replication based on factor models is encountering growing interest. In this paper, we investigate the implications of substituting standard rolling windows regressions, which appear ad-hoc, with more effcient methodologies like the Kalman flter. We show that the copycats constructed...