We prove that every two-player nonzero-sum Dynkin game in continuous time admits an "epsilon" equilibrium in randomized stopping times. We provide a condition that ensures the existence of an "epsilon" equilibrium in nonrandomized stopping times.

We analyse a simple model of dynamic moral hazard in which there is a clear and tractable trade-off between static and dynamic incentives. In our model, a principal wants an agent to complete a project. The agent undertakes unobservable effort, which affects in each period the probability that...

This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board of Exchange (CBOE) implied (or expected) volatility index (VIX)....

In this paper we start from a continuous time framework derived from the classical predator-prey model in order to analyze the recent dynamics of regional evolution in the EU. The model describes a system of interrelated units obeying a complex functional dynamics that at any moment may...

We study a continuous-time principal-agent model in which a risk-neutral agent with limited liability must exert unobservable effort to reduce the likelihood of large but relatively infrequent losses. Firm size can be decreased at no cost or increased subject to adjustment costs. In the optimal...

A symmetric Poissonian two-armed bandit becomes, in terms of a posteriori probabilities, a piecewise deterministic Markov decision process. For the case of the switching arms, only of one which creates rewards, we solve explicitly the average optimality equation and prove that a myopic policy is...

We consider a firm facing random demand at the end of a single period of random length. At any time during the period, the firm can either increase or decrease inventory by buying or selling on a spot market where price fluctuates randomly over time. The firm’s goal is to maximize expected...

Events that occur over a period of time can be described either as sequences of outcomes at discrete times or as functions of outcomes in an interval of time. This paper presents discounting models for events of the latter type. Conditions on preferences are shown to be satisfied if and only if...

The aim of this paper is to study the consistency of the kernel density estimator pertaining to a continuous time stationary process X=(Xt)t≥0, with an underlying density f. More precisely, in a rather general dependency setting, where we use a martingale difference device and a technique...