In this paper we study a two-player investment game with a first mover advantage in continuous time with stochastic payoffs, driven by a geometric Brownian motion. One of the players is assumed to be ambiguous with maxmin preferences over a strongly rectangular set of priors. We develop a...

We study a stochastic version of Fudenberg and Tirole's (1985) preemption game to analyze the effects of jumps in the underlying uncertainty on equilibrium strategies. Two firms contemplate entering a new market where the demand follows a jump-diffusion process. Firms differ is the sunk costs of...

I construct a dynamic model in which an ambiguity-averse principal chooses the agent to whom to delegate the decision among elites (i.e., experts) with uncertain biases and non-elites with no bias in each period. The focus is on the phenomenon that the principal distrusts elites and delegates...

This paper studies the behavior of two firms after a new investment opportunity arises. Examples of such an investment are technology adoption or market entry. Firms either invest immediately or wait until market uncertainty is resolved. Two types of separating equilibrium are possible when...

This paper studies a class of robust mean-variance portfolio selection problems with state-dependent risk aversion. Model uncertainty, in the sense of considering alternative dominated models, is introduced to the problem to reflect the investor's ambiguity aversion. To characterize the robust...

We analyze a dynamic moral hazard problem in teams with imperfect monitoring in continuous time. In the model, players are working together to achieve a breakthrough in a project while facing a deadline. The effort needed to achieve a breakthrough is unknown but players have a common prior about...

We present a continuous-time agency model under mean-volatility joint ambiguity uncertainties, where both the principal and agent exhibit Gilboa-Schmeidler's extreme ambiguity aversion. For this, we extend the martingale method well known in the agency literature, by allowing not only the mean...

The concept of model uncertainty is one of increasing importance in the field of Mathematical Finance. The main goal of this work is to explore model uncertainty in the specific area of algorithmic and high frequency trading. From a behavioural perspective, model uncertainty naturally leads to...

We study a stochastic version of Fudenberg -- Tirole's preemption game. Two firms contemplate entering a new market with stochastic demand. Firms differ in sunk costs of entry. If the demand process has no upward jumps, the low cost firm enters first, and the high cost firm follows. If leader's...

A decision maker, named Alice, wants to know if an expert has significant information about payoff-relevant probabilities of future events. The expert, named Bob, either knows this probability almost perfectly or knows nothing about it. Hence, both Alice and the uninformed expert face...