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Optimal Stopping under Ambiguity in Continuous Time

Riedel, Frank - 2010

We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward … from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options. …

Persistent link: https://www.econbiz.de/10009452622

The Best Choice Problem under Ambiguity

Chudjakow, Tatjana; Riedel, Frank - 2009

We model and solve Best Choice Problems in the multiple prior framework: An ambiguity averse decision maker aims to … choose the best among a fixed number of applicants that appear sequentially in a random order. The decision faces ambiguity … stopping strategy is simple. Ambiguity can lead to substantial differences to the classical threshold rule. …

Persistent link: https://www.econbiz.de/10009452623

Optimal Stopping under Ambiguity

Riedel, Frank - 2007

We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward …

Persistent link: https://www.econbiz.de/10009452624

On Discounted Dynamic Programming with Unbounded Returns

Matkowski, Janusz; Nowak, Andrzej S. - 2008

In this paper, we apply the idea of $k$-local contraction of \cite{zec, zet} to study discounted stochastic dynamic programming models with unbounded returns. Our main results concern the existence of a unique solution to the Bellman equation and are applied to the theory of stochastic optimal...

Persistent link: https://www.econbiz.de/10015214179

Note sulla teoria del consumo

Travaglini, Giuseppe - 2012

This is a short survey on consumption theory. Consumption is important to both fluctuation and growth. In addition, consumption introduces some important issues involving financial markets and portfolio decisions. We will describe consumption decisions in a dynamic context. Uncertainty about...

Persistent link: https://www.econbiz.de/10015230226

Time as an Endogenous Random Variable Smoothly Embedded into Preference Manifold

Dai, Darong - 2011

A general equilibrium model has been constructed in a stochastic endogenous growth economy driven by an Ito-Levy diffusion process. The minimum time to “economic maturity” for an underdeveloped economy has been computed both in the preference manifold of the modified Ramsey fashion and in...

Persistent link: https://www.econbiz.de/10015233025

Modeling the minimum time needed to economic maturity

Dai, Darong - 2011

Persistent link: https://www.econbiz.de/10015233157

Modeling the minimum time needed to economic maturity

Dai, Darong - 2011

Persistent link: https://www.econbiz.de/10015233274

Nonlinear Policy Behavior, Multiple Equilibria and Debt-Deflation Attractors

Piergallini, Alessandro - 2018

This paper analyzes global dynamics in a macroeconomic model where both monetary and fiscal policies are nonlinear, consistent with empirical evidence. Nonlinear monetary policy, in which the nominal interest rate features an increasing marginal reaction to inflation, interacting with nonlinear...

Persistent link: https://www.econbiz.de/10015261155

Some Mathematical Properties of the Dynamically Inconsistent Bellman Equation: A Note on the Two-sided Altruism Dynamics

Aoki, Takaaki - 2013

This article describes some dynamic aspects on dynastic utility incorporating two-sided altruism with an OLG setting. We analyzed the special case where the weights of two-sided altruism are dynamically inconsistent. The Bellman equation for two-sided altruism proves to be reduced to one-sided...

Persistent link: https://www.econbiz.de/10015236159