We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a diffusion process of Ornstein-Uhlenbeck type with unknown...

This paper studies the optimal environmental policy in a mixed market when pollution accumulates over time. Specifically, we assume quantity competition between several private firms and one partially privatized firm. The optimal emission tax is shown to be independent of the weight the...

Stemming from politically given market imperfections in a tradable permits system, this paper develops a Stackelberg game with two types of non-cooperative agents to describe how a large -potentially dominant- agent may exercise market power at the expense of a competitive fringe. In a dynamic...

The aim of this paper is two-fold : first, to emphasize that the seminal result of Dow and Werlang [7] remains valid under weaker conditions, and this even if non-positive prices are considered, or equally that the no-trade interval result is robust when considering assets which can yield...

The aim of this paper is two-fold : first, to emphasize that the seminal result of Dow and Werlang [9] remains valid under weaker conditions and this even if non-positive prices are considered, or equally that the no-trade interval result is robust when considering assets which can yield...

We present an axiomatization of the entropy of capacities defined on set systems which are not necessarily the whole power set, but satisfy a condition of regularity. This entropy encompasses the definition of Marichal and Roubens for the entropy of capacities. Its axiomatization is in the...

We provide a survey of recent developments about capacities (or fuzzy measures) and ccoperative games in characteristic form, when they are defined on more general structures than the usual power set of the universal set, namely lattices. In a first part, we give various possible interpretations...

The main advances regarding the use of the Choquet and Sugeno integrals in multi-criteria decision aid over the last decade are reviewed. They concern mainly a bipolar extension of both the Choquet integral and the Sugeno integral, interesting particular submodels, new learning techniques, a...