We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then endogenously as full support martingale measures (instead...

This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential formulation of intertemporal recursive utility. The present class of utility functionals is generated by a backward stochastic differential equation and...

This paper provides an in-depth study of the (most) refined best reply correspondence introduced by Balkenborg, Hofbauer, and Kuzmics (2012). An example demonstrates that this correspondence can be very different from the standard best reply correspondence. In two-player games, however, the...

Ambiguity can be used as a strategic device in some situations. To demonstrate this, we propose and study a framework for normal form games where players can use Knightian uncertainty strategically. In such Ellsberg games, players may use Ellsberg urns in addition to the standard objective mixed...

We analyze a static partial equilibrium model where the agents are not only heterogeneous in their beliefs about the return on risky assets but also in their attitude to it. While some agents in the economy are subjective utility maximizers others behave ambiguity averse in the sense of Knight...

Classical growth convergence regressions fail to account for various sources of heterogeneity and nonlinearity. While recent contributions are able to address either the one or the other, we present a simple two-step method to address both issues. Based on a slightly augmented version of a...

We study a strategic market game with finitely many traders, infinite horizon and real assets. To this standard framework (see, e.g. Giraud and Weyers, 2004) we add two key ingredients: First, default is allowed at equilibrium by means of some collateral requirement for financial assets; second,...

We consider the inner core as a solution concept for cooperative games with non- transferable utility (NTU) and its relationship to competitive equilibria of markets that are induced by an NTU game. We investigate the relationship between certain subsets of the inner core for NTU market games...

We investigate the relationship between the inner core and asymmetric Nash bargaining solutions for n-person bargaining games with complete information. We show that the set of asymmetric Nash bargaining solutions for different strictly positive vectors of weights coincides with the inner core...

This paper analyzes the implications of bilateral bargaining over wages and employment between a producer and a union representing a finite number of identical workers in a monetary macroeconomic model of the AS