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Long-term contracting in a changing world

Pavan, Alessandro (contributor) - 2007

I study the properties of optimal long-term contracts in an environment in which the agent.s type evolves stochastically over time. The model stylizes a buyer-seller relationship but the results apply quite naturally to many contractual situations including regulation and optimal...

Persistent link: https://www.econbiz.de/10003782114

Log-linear dynamics and local potential

Okada, Daijiro; Tercieux, Olivier - 2008

We show that local potential maximizer (\cite{morris+05}) with constant weights is stochastically stable in the log-linear dynamics provided that the payoff function or the associated local potential function is supermodular. We illustrate and discuss, through a series of examples, the use of...

Persistent link: https://www.econbiz.de/10003894726

Partial differential equations in economics and finance

Basov, Suran - 2007

Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation … in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and … pricing of the financial -- Derivatives -- A theory of boundedly rational behavior -- Partial differential equations in game …