Under optimal tournament design, we would expect agents to exert identical effort regardless of the shape of the contest function’s error component. We report data from laboratory experiments that provide a first test of this prediction. We find that efforts do not significantly differ when...

Key Features:This book discusses some frontiers of Gaussian processes analysis and their associated Wick-Ito formula. For the first time, the studies of fractional Brownian motion is put into the framework of fractional white noise multiplication operatorsSome up-to-date treatment is of the...

In this paper we consider an insider with privileged information that is affected by an independent noise vanishing as the revelation time approaches. At this time, information is available to every trader. Our financial markets are based on Wiener space. In probabilistic terms we obtain an...

In this note we study the properties of the solution of a two-parameter linear stochastic differential equation with constant coefficients. We prove, in particular, that this solution may be negative with positive probability.

In this note we prove a criterion for the smoothness of the density for a random variable taking values in some open subset of d, and being once differentiable. As an application we show that the maximum of the Brownian sheet on a rectangle [O, s] x [O, t] possesses an infinitely differentiable...

In this paper, we establish an exponential estimate for the tail probability of the supremum of a two-parameter continuous martingale vanishing on the axes, assuming that the quadratic variation is bounded.