A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high. However, determining these key levels in practice is extremely challenging. In this paper, we study the...

We study a model of sequential bargaining in which, in each period before an agreement is reached, the proposer's identity (and whether there is a proposer) are randomly determined; the proposer suggests a division of a pie of size one; each other agent either approves or rejects the proposal; and...

In this paper we consider the dividend payments and capital injections control problem in a dual risk model. Such a model might be appropriate for a company that specializes in inventions and discoveries, which pays costs continuously and has occasional profits. The objective is to maximize the...

We study bankruptcy problems in financial networks in the presence of general bankruptcy laws. The set of clearing payment matrices is shown to be a lattice, whichguarantees the existence of a greatest and a least clearing payment. Multiplicity ofclearing payment matrices is both a theoretical...