In this paper we investigate how the expulsion of a player influences the outcome of a football match. Common sense implies a negative impact for the affected team. However, an old football myth suggests that such an expulsion might also be beneficial since it increases the team spirit as well...

In this paper we investigate how the expulsion of a player influences the outcome of a football match. Common sense implies a negative impact for the affected team. However, an old football myth suggests that such an expulsion might also be beneficial since it increases the team spirit as well...

Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables formula and the Hamilton-Jacobi-Bellman...

The present paper is concerned with the optimal control of stochastic differential equations, where uncertainty stems from one or more independent Poisson processes. Optimal behavior in such a setup (e.g., optimal consumption) is usually determined by employing the Hamilton-Jacobi-Bellman...

Rare and randomly occurring events are important features of the economic world. In continuous time they can easily be modeled by Poisson processes. Analyzing optimal behavior in such a setup requires the appropriate version of the change of variables formula and the Hamilton-Jacobi-Bellman...

Using a standard model as a basis, we analyse the rational expectations macroeconomic equilibrium for an open economy with flexible exchange rates, in which expectations are affected by a percieved possibility of discrete shifts in monetary policy.These discrete shifts are modelled as possible...

With the record high leverage across all segments of the (global) economy, default prediction has never been more important. The excess cash illusion created in the context of COVID-19 may disappear just as quickly as the pandemic entered our world in 2020. In this paper, instead of using any...

In this paper, we study the optimal stopping problem of Dupuis and Wang analyzed in [7]. In this problem, the underlying follows a linear diffusion but the decision maker is not allowed to stop at any time she desires but rather on the jump times of an independent Poisson process. In [7], the...

Pricing of cap insurance contracts is considered for political mortgage rates. A simple stochastic process for mortgage rates is proposed. The process is based on renewal processes for modelling the length of periods with downward and upward trend respectively. Prices are calculated by...

Precise identification of the time when a process has changed enables process engineers to search for a potential special cause more effectively. In this paper, we develop change point estimation methods for a Poisson process in a Bayesian framework. We apply Bayesian hierarchical models to...