The concept of a perfect equilibrium point has been introduced in order to exclude the possibility that disequilibrium behavior is prescribed on unreached subgames. (Selten 1965 and 1973). Unfortunately this definition of perfectness does not remove all difficulties which may arise with respect...

We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G–expectation and its corresponding G–Brownian motion...

We suggest new characterizations of the Banzhaf value without the symmetry axiom, which reveal that the characterizations by Lehrer (1988, International Journal of Game Theory 17, 89-99) and Nowak (1997, International Journal of Game Theory 26, 127-141) as well as most of the characterizations...

We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.

This paper continues Dietrich and List's [2010] work on propositional-attitude aggregation theory, which is a generalised unification of the judgment-aggregation and probabilistic opinion-pooling literatures. We first propose an algebraic framework for an analysis of (many-valued)...

We investigate American options in a multiple prior setting of continuous time and determine optimal exercise strategies form the perspective of an ambiguity averse buyer. The multiple prior setting relaxes the presumption of a known distribution of the stock price process and captures the idea...

We analyze a static partial equilibrium model where the agents are not only heterogeneous in their beliefs about the return on risky assets but also in their attitude to it. While some agents in the economy are subjective utility maximizers others behave ambiguity averse in the sense of Knight...

Within this paper we establish the existence of a vNM-Stable Set for (cooperative) linear production games with a continuum of players. The coalitional function is generated by r+1 "production factors" (non atomic measures). r factors are given by orthogonal probabilities ("cornered" production...

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 derive a new equation for the optimal investment boundary of a general irreversible investment problem under exponential Lévy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic control problem. In line with the results recently...