In this paper we analyze a stochastic continuous time model in finite horizon in which agents discount the instantaneous utility function and the final function at constant but different instantaneous discount rates of time preference. Within this context we can model problems in which, when the...

In this paper we study the problem of long-term capacity adequacy in electricity markets. We implement a dynamic model in which operators compete for investment and electricity production under imperfect Cournot competition. The main aim of this work is to compare three investment incentive...

Until now most research in dynamic games focus on models with quadratic objective functions because of practical considerations. But in reality, all problems are not quadratic. In this paper, we solve a differential game where players have non-quadratic preferences. In particular we consider an...

This paper creates a mathematical model in which the banks are faced with two optimization problems. The first optimization problem is how to optimize their behavior in order to maximize profits. The second optimization is how to optimize the structure of liabilities in order to have minimum...

Are the serves of the world’s best tennis pros consistent with the theoretical predictions of Nash equilibrium in mixed strategies? We analyze their serve direction choices (to the receiver’s left, right or body) with data from an online database called the Match Charting Project. Using a...

We study strategic negotiation models featuring costless delay, general recognition procedures, endogenous voting orders, and finite sets of alternatives. Two examples show: 1. non-existence of stationary subgame-perfect equilibrium (SSPE). 2. the recursive equations and optimality conditions...

We numerically solve the classical "Game of Pure Strategy" using linear programming. We notice an intricate even-odd behaviour in the results of our computations that seems to encourage odd or maximal bids.

We study infinitely repeated games with observable actions, where players have present-biased (so-called beta-delta) preferences. We give a two-step procedure to characterize Strotz-Pollak equilibrium payoffs: compute the continuation payoff set using recursive techniques, and then use this set...

We consider a multivariate financial market with proportional transaction costs as in Kabanov (1999). We study the problem of contingent claim pricing via utility maximization as in Hodges and Neuberger (1989). Using an exponential utility function, we derive a closed form characterization for...

We study strategic negotiation models featuring costless delay, general recognition procedures, endogenous voting orders, and finite sets of alternatives. Two examples show: 1. non-existence of stationary subgame-perfect equilibrium (SSPE). 2. the recursive equations and optimality conditions...