Center for Mathematical Economics Working Papers

From Center for Mathematical Economics, Bielefeld University
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702: Belief-neutral efficiency in financial markets

Patrick Beißner and Frank Riedel

701: Hoping for the best while preparing for the worst in the face of uncertainty: a new type of incomplete preferences

Pierre Bardier, Bach Dong-Xuan and Van-Quy Nguyen

700: The Pricing Kernel under Proportional Ambiguity

Marco Spengemann

699: Cash-constrained R&D Investment

Herbert Dawid, Frank Riedel, Jan-Henrik Steg and Xingang Wen

698: Output Uncertainty Mitigation in Competitive Markets

Bingbing Li and Yan Long

697: Restricted Dominant Unanimity and Social Discounting

Bach Dong-Xuan and Xiangyu Qu

696: A comparison Principle Based on Couplings of Partial Integro-Differential Operators

Serena Della Corte, Fabian Fuchs, Richard C. Kraaij and Max Nendel

695: NTU-Solutions for the Taxation Game

Joachim Rosenmüller

694: Arbitrage Pricing in Convex, Cash-Additive Markets

Emy Lécuyer, Frank Riedel and Lorenzo Stanca

693: Optimal Consumption for Recursive Preferences with Local Substitution under Risk

Hanwu Li and Frank Riedel

692: Variational Inequalities and Smooth-Fit Principle for Singular Stochastic Control Problems in Hilbert Spaces

Salvatore Federico, Giorgio Ferrari, Frank Riedel and Michael Röckner

691: Cooperation, Correlation and Competition in Ergodic $N$-Player Games and Mean-Field Games of Singular Controls: A Case Study

Federico Cannerozzi and Giorgio Ferrari

690: A Mean-Field Model of Optimal Investment

Alessandro Calvia, Salvatore Federico, Giorgio Ferrari and Fausto Gozzi

689: Strategic Information Selection

Jurek Preker and Dominik Karos

688: A Stationary Equilibrium Model of Green Technology Adoption with Endogenous Carbon Price

Felix Dammann and Giorgio Ferrari

687: Dynamically Consistent Intergenerational Welfare

Lasse Mononen

686: Dynamically Consistent Intertemporal Dual-Self Expected Utility

Lasse Mononen

685: Optimal consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility

Jodi Dianetti, Frank Riedel and Lorenzo Stanza

684: Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning

An Chen, Giorgio Ferrari and Shihao Zhu

683: Optimal Retirement Choice under Age-dependent Force of Mortality

Giorgio Ferrari and Shihao Zhu

682: Irreversible Reinsurance: Minimization of Capital Injections in Presence of a Fixed Cost

Salvatore Federico, Giorgio Ferrari and Maria Laura Torrente

681: Ergodic Mean-Field Games of Singular Control with Regime-Switching (extended version)

Jodi Dianetti, Giorgio Ferrari and Ioannis Tzouanas

680: Convergence of Infintesimal Generators and Stability of Convex Montone Semigroups

Jonas Blessing, Michael Kupper and Max Nendel

679: A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy

René Aïd, Matteo Basei and Giorgio Ferrari

678: Linear-Quadratic-Singular Stochastic Differential Games and Applications

Jodi Dianetti

677: Uncertainty over Uncertainty in Environmental Policy Adoption: Bayesian Learning of Unpredictable Socioeconomic Costs

Matteo Basei, Giorgio Ferrari and Neofytos Rodosthenous

676: Pricing of Electricity Swaps with Geometric Averaging

Annika Kemper and Maren Diane Schmeck

675: A Principal-Agent Framework for Optimal Incentives in Renewable Investments

René Aïd, Annika Kemper and Nizar Touzi

674: Strong Solutions to Submodular Mean Field Games with Common Noise and Related McKean-Vlasov FBSDES

Jodi Dianetti

673: The Role of Price Normalization in Imperfectly Competitive Economies

Volker Böhm

672: Demographic Changes and Asset Prices in an Overlapping Generations Model

Beatrice Desiree Simo-Kengne, Frank Riedel and Ghislain-Herman Demeze-Jouatsa

671: Consumption Descision, Portfolio Choice and Healthcare Irreversible Investment

Giorgio Ferrari and Shihao Zhu

670: Optimal Consumption for Recursive Preferences with Local Substitution - the Case of Certainty

Hanwu Li, Frank Riedel and Shuzhen Yang

669: Efficient Allocations under Ambiguous Model Uncertainty

Chiaki Hara, Sujoy Mukerji, Frank Riedel and Jean-Marc Tallon

668: The Shapley NTU-Value via Surface Measures

Joachim Rosenmüller

667: Optimal Vaccination in a SIRS Epidemic Model

Salvatore Federico, Giorgio Ferrari and Maria-Laura Torrente

666: Fairness-based Altruism

Yves Breitmoser and Pauline Vorjohann

664: The Texas Shoot-Out under Knightian Uncertainty

Gerrit Bauch and Frank Riedel

663: Optimal Execution with Multiplicative Price Impact and Incomplete Information on the Return

Felix Dammann and Giorgio Ferrari

662: Convex Monotone Semigroups and their Generators with Respect to $\Gamma$-Convergence

Jonas Blessing, Robert Denk, Michael Kupper and Max Nendel

661: A Unifying Framework for Submodular Mean Field Games

Jodi Dianetti, Giorgio Ferrari, Markus Fischer and Max Nendel

660: Ambiguous Social Choice Functions

Ghislain-Herman Demeze-Jouatsa

659: Network games with heterogeneous players

Olena Orlova

658: Bargaining Solutions via Surface Measures

Joachim Rosenmüller

657: Optimal Dividends under Markov-Modulated Bankruptcy Level

Giorgio Ferrari, Patrick Schuhmann and Shihao Zhu

655: Effects of Noise on the Grammar of Languages

Gerrit Bauch

654: Farsighted Rationality in Hedonic Games

Ghislain-Herman Demeze-Jouatsa and Dominik Karos

653: A Free and Fair Economy: A Game of Justice and Inclusion

Ghislain-Herman Demeze-Jouatsa, Roland Pongou and Jean-Baptiste Tondji

652: Inequity Aversion and Limited Foresight in the Repeated Prisoner’s Dilemma

Teresa Backhaus and Yves Breitmoser

651: Nonlinear Filtering of Partially Observed Systems Arising in Singular Stochastic Optimal Control

Alessandro Calvia and Giorgio Ferrari