This paper describes a method for solving a class of forward-looking Markov-switching Rational Expectations models under noisy measurement, by specifying the unobservable expectations component as a general-measurable function of the observable states of the system, to be determined optimally...

This paper studies a two-sided incomplete information bargaining model between a seller and a buyer. The buyer has an outside option, which is modeled as a sequential search process during which he can also choose to return to bargaining at any time. Two cases considered: In Regime I, both...

A distributed system model is studied, where individual agents play repeatedly against each other and change their strategies based upon previous play. It is shown how to model this environment in terms of continuous population densities of agent types. A complication arises because the...

In his seminal paper of 1928, Ramsey conjectured that if agents discounted the future differently, in the long run all agents except the most patient would live at the subsistence level. The validity of this conjecture was investigated in different environments. In particular, it has been...

In this paper we derive the correct solution of optimal closure of the state sector studied in Section 6.4 of Aghion and Blanchard (1994). Aghion and Blanchard only present an 'approximate' solution which entails a constant unemployment rate in what they call a turnpike approximation. We show...

We analyse how progressive taxation and education subsidies affect schooling decisions when the returns to education are stochastic. We use the theory of real options to solve the problem of education choice in a dynamic, life-cycle consistent, stochastic model. We show that education attainment...

We analyse how progressive taxation and education subsidies affect schooling decisions when the returns to education are stochastic. We use the theory of real options to solve the problem of education choice in a dynamic stochastic model. We show that education attainment will be an increasing...

We introduce a continuous time overlapping generations demographic model, in which a social planner seeks to generate an optimal policy for influencing the demographic change of the underlying population in a neoclassical growth model. The model has the notable feature that the underlying state...

The objective of this paper is to combine a real options framework with portfolio optimization techniques and to apply this new framework to investments in the electricity sector. In particular, a real options model is used to assess the adoption decision of particular technologies under...

The aim of this paper seeks to introduce the basis of the energy economics models defined as a market equilibrium problems-mixed complementarily problem (MCP). This technique allows the integration of bottom-up programming models of the energy system into top-down general computable equilibrium...