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Coordination in evolving networks with endogenous decay
Feri, Francesco; Meléndez-Jiménez, Miguel A. - 2009
direct and indirect connections. In addition to forming (costly) links, agents choose actions for a coordination game that … determines the level of decay of each link. We address the issues of coordination (long-run equilibrium selection) and network … risk-dominance play a crucial role in the long-run behavior of the system. -- coordination ; networks ; risk …
Persistent link: https://www.econbiz.de/10009735339
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Coordination in evolving networks with endogenous decay
Feri, Francesco; Meléndez-Jiménez, Miguel A. - 2009
Persistent link: https://www.econbiz.de/10008657634
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Coordination and Continuous Stochastic Choice
Morris, Stephen - 2019
Players choose a stochastic choice rule, assigning a probability of “investing” as a function of a state. Players receive a return to investment that is increasing in the proportion of others who invest and the state. In addition, they incur a small cost associated with adapting the...
Persistent link: https://www.econbiz.de/10012902499
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Coordination in Evolving Networks with Endogenous Decay
Feri, Francesco; Meléndez-Jiménez, Miguel A. - 2009
direct and indirect connections. In addition to forming (costly) links, agents choose actions for a coordination game that … determines the level of decay of each link. We address the issues of coordination (long-run equilibrium selection) and network …
Persistent link: https://www.econbiz.de/10010294802
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Stochastic-Volatility, Jump-Diffusion Optimal Portfolio Problem with Jumps in Returns and Volatility
Hanson, Floyd B. - 2011
This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic-jump-volatility, jump-diffusion (SJVJD) model of the underlying risky asset and the volatility. The new developments are the use of the SJVJD model with...
Persistent link: https://www.econbiz.de/10013123110
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A Review of Stochastic Approximation
Nilaish, Nilaish - 2017
In this paper we review stochastic approximation algorithm dynamics commonly rise from scaling limits and its usage to treat big data with ideally noises. We observe that how to extract the incrementality to get useful convergences, low per iterates and memory requirements. Thus, leading to deal...
Persistent link: https://www.econbiz.de/10012959922
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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
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Time inconsistent stochastic control in continuous time : theory and examples
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha - 2016
In this paper, which is a continuation of a previous discrete time paper, we develop a theory for continuous time … determination for the equilibrium strategy as well as the equilibrium value function. As applications of the general theory we study …
Persistent link: https://www.econbiz.de/10011646331
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Price Dynamics on a Stock Market with Asymmetric Information
De Meyer, Bernard - 2007
The appearance of a Brownian term in the price dynamics on a stock market was interpreted in [De Meyer, Moussa-Saley (2003)] as a consequence of the informational asymmetries between agents. To take benefit of their private information without revealing it to fast, the informed agents have to...
Persistent link: https://www.econbiz.de/10014052529
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Competitive Advertising Under Uncertainty : A Stochastic Differential Game Approach
Prasad, Ashutosh; Sethi, Suresh - 2009
We analyze optimal advertising spending in a duopolistic market where each firm's market share depends on its own and its competitor''s advertising decisions, and is also subject to stochastic disturbances. We develop a differential game model of advertising in which the dynamic behavior is...
Persistent link: https://www.econbiz.de/10014075608