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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 …
Persistent link: https://www.econbiz.de/10003429606
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Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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Dynamic Signaling with Stochastic Stakes
Gryglewicz, Sebastian; Kolb, Aaron - 2021
We study dynamic signaling in a game of stochastic stakes. Each period, a privately informed agent of binary type chooses whether to continue receiving a return that is an increasing function of both her reputation and an exogenous public stakes variable or to irreversibly exit the game. A...
Persistent link: https://www.econbiz.de/10013242323
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Dynamic signaling with stochastic stakes
Gryglewicz, Sebastian; Kolb, Aaron - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 2, pp. 539-559
We study dynamic signaling in a game of stochastic stakes. Each period, a privately informed agent of binary type chooses whether to continue receiving a return that is an increasing function of both her reputation and an exogenous public stakes variable or to irreversibly exit the game. A...
Persistent link: https://www.econbiz.de/10013273761
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Traffic signal control under stochastic traffic demand and vehicle turning via decentralized decomposition approaches
Fei, Xinyu; Wang, Xingmin; Yu, Xian; Feng, Yiheng; Liu, … - In: European journal of operational research : EJOR 310 (2023) 2, pp. 712-736
Persistent link: https://www.econbiz.de/10014340773
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The signal and the noise volatilities
Chaker, Selma - In: Research in international business and finance 50 (2019), pp. 79-105
Persistent link: https://www.econbiz.de/10012177017
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Trading with the crowd
Neuman, Eyal; Voß, Moritz - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 548-617
Persistent link: https://www.econbiz.de/10014329897
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Signaling in deterministic and stochastic settings
Jeitschko, Thomas D.; Normann, Hans-Theo - 2010
Persistent link: https://www.econbiz.de/10008906186
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Progressive screening : long-term contracting with a privately known stochastic process
Boleslavsky, Raphael; Said, Maher - In: The review of economic studies 80 (2013) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10009712483
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On repeated games with imperfect public monitoring : from discrete to continuous time
Staudigl, Mathias; Steg, Jan-Henrik - 2014
Motivated by recent path-breaking contributions in the theory of repeated games in continuous time, this paper presents …
Persistent link: https://www.econbiz.de/10010406212