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 agent faces ambiguity about the probability that a candidate—a relatively top...

The replicator equation model for the evolution of individual behaviors in a single-species with a multi-dimensional continuous trait space is developed as a dynamics on the set of probability measures. Stability of monomorphisms in this model using the weak topology is compared to more...

We develop a theory of optimal stopping under Knightian uncertainty. A suitable martingale theory for multiple priors is derived that extends the classical dynamic programming or Snell envelope approach to multiple priors. We relate the multiple prior theory to the classical setup via a minimax...

We analyze the life cycle consumption choice model for multiple goods, focusing on the distinction between durables and perishables. As an approximation of the fact that rather high transaction costs and market imperfections prevail in markets for used durables, we assume that investment in...

Duesenberry introduced the notion of a ratchet investor who does not tolerate any decline in her consumption rate. We connect the demand behavior of such an agent to the behavior of standard time-additive agents. A ratchet investor demands the running maximum of the optimal plan a conventional...

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.

The third generation UMTS auction in Germany raised an enormous amount of revenue, and at the same time achieved a more competitive market structure than other UMTS auctions in Europe. The present paper explains the design of that auction, and presents a game theoretic explanation of observed...

We reconsider the optimal consumption choice of investors who do not tolerate any decline in their consumption rate. We connect the demand behavior of such agents to the behavior of standard time-additive agents. With consumption ratcheting, the investor demands the running maximum of the...

We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.

In John Nash’s proofs for the existence of (Nash) equilibria based on Brouwer’s theorem, an iteration mapping is used. A continuous— time analogue of the same mapping has been studied even earlier by Brown and von Neumann. This differential equation has recently been suggested as a...