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...

We consider a class of Dynkin games in the case where the underlying process evolves according to a one-dimensional but otherwise general diffusion. We establish general conditions under which both the value and the saddle point equilibrium exist and under which the exercise boundaries...

We consider the valuation and optimal exercise policy of a δ- penalty minimum guaranteed payment option in the case where the value of the underlying dividend-paying asset follows a linear diffusion. We characterize both the value and optimal exercise policy of the considered game option...

In this paper, we define and study a new class of optimal stochastic control problems which is closely related to the theory of Backward SDE's and forward-backward SDE's. The controlled process takes values in RXR and a given initial data for X(O). Then, the control problem is to find the...

This paper develops a theory of regular Markov perfect equilibria in dynamic stochastic games. We show that almost all dynamic stochastic games have a finite number of locally isolated Markov perfect equilibria that are all regular. These equilibria are essential and strongly stable. Moreover,...

Knightian uncertainty in climate sensitivity is analyzed in a two sectoral integrated assessment model (IAM), based on an extension of DICE. A representative household that expresses ambiguity aversion uses robust control to identify robust climate policy feedback rules that work well over IPCC...

Most economic models implicitly or explicitly assume that interactions between economic agents are 'global' - in other words, each agent interacts in a uniform manner with every other agent. However, localized interactions between microeconomic agents are a pervasive feature of reality. What are...

This paper examines a dynamic model of mutual insurance when households can also engage in self-insurance by storage. This mutual insurance is informal as it is assumed that there is no enforcement mechanism, so any mutual insurance arrangements must be self-enforcing. It is shown how...