Since the seminal paper of Ghirardato, it is known that Fubini Theorem for non-additive measures can be available only for functions defined as “slice-comonotonic”. We give different assumptions that provide such Fubini Theorems in the framework of product σ-algebras.

The aim of this paper is to simulate profit expectations as an emergent property using an agent based model. The paper builds upon adaptive expectations, interactive expectations and small world networks, combining them into a single adaptive interactive profit expectations model (AIE)....

The focus of this study is on black markets which provide an important segment of the parallel economy. These markets operate in disequilibrium,search and information costs become very important.Trafficking in drugs taken as case, to explore both theoretically and empirically. The problem,...

Trust and trust management represent the very foundations of Computer and Network Security Protocols enabling all cyber activities. The recent spate of national and global high-impact cyber security compromises threats, vulnerabilities and exposures leads to fundamental questioning of trust as...

In light of the recent financial and real economic crisis, it seems clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real...

We propose a novel Monte Carlo simulation method for two-dimensional stochastic differential equation (SDE) systems based on approximation through continuous-time Markov chains (CTMCs). Specifically, we propose an efficient simulation framework for asset prices under general stochastic local...

We provide solution formulas for (linear and non-linear) jump-diffusion backward stochastic differential equations (BSDEs) under diverse enlarged filtration approaches. We also derive a comparison theorem for BSDEs in an enlarged filtration framework and present several applications of our...

We study graphon mean-field backward stochastic differential equations (BSDEs) with jumps and associated dynamic risk measures. We establish the existence, uniqueness and measurability of solutions under some regularity assumptions. For an interacting mean-field particle system with...

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 establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.