Center for Mathematical Economics Working Papers

From Center for Mathematical Economics, Bielefeld University
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753: A dynamic model of authority in organizations

Bingbing Li and Manuel Förster

752: Willful Ignorance in Legal Contexts: A Mechanism Design Approach

Xiaoge Dong

751: Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise

Giorgio Ferrari and Anna Pajola

750: Berge Equilibria - An Algebraic Approach

Frank Riedel and Maria-Laura Torrente

749: Sequential Information Selling: Perfect Price Discrimination and the Role of Encryption

Manuel Förster and Fynn Louis Närmann

748: On Preference for Simplicity and Probability Weighting

Lasse Mononen

747: Hopf-Lax approximation for value functions of L´evy optimal control problems

Michael Kupper, Max Nendel and Alessandro Sgarabottolo

746: Existence of Viscosity Solutions to Abstract Cauchy Problems via Nonlinear Semigroups

Fabian Fuchs and Max Nendel

745: On the Singular Control of a Diffusion and Its Running Infimum or Supremum

Giorgio Ferrari and Neofytos Rodosthenous

744: Partial regularity of semiconvex viscosity supersolutions to fully nonlinear elliptic HJB equations and applications to stochastic control

Salvatore Federico, Giorgio Ferrari and Mauro Rosestolato

743: Pasting of Equilibria and Donsker-type Results for Mean Field Games

Jodi Dianetti, Max Nendel, Ludovic Tangpi and Shichun Wang

742: Discrete approximation of risk-based prices under volatility uncertainty

Jonas Blessing, Michael Kupper and Alessandro Sgarabottolo

741: Strategic Irreversible Investment

Jan-Henrik Steg

740: Exploratory Optimal Stopping: A Singular Control Formulation

Jodi Dianetti, Giorgio Ferrari and Renyuan Xu

739: Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty

Corrado De Vecchi, Max Nendel and Jan Streicher

738: State Dependent Utility and Ambiguity

Lasse Mononen

737: The Empirical Content of Expected Utility

Lasse Mononen

736: Backward Stochastic Differential Equations with Double Mean Reflections

Hanwu Li

735: A hypothesis test for the long-term calibration in rating systems with overlapping time windows

Patrick Kurth, Max Nendel and Jan Streicher

734: Risk measures based on weak optimal transport

Michael Kupper, Max Nendel and Alessandro Sgarabottolo

733: Numerical approximation of Dynkin games with asymmetric information

Lubomir Banas, Giorgio Ferrari and Tsiry Avisoa Randrianasolo

731: Singular Control in a Cash Management Model with Ambiguity

Arnon Archankul, Giorgio Ferrari, Tobias Hellmann and Jacco J.J. Thijssen

730: A Stochastic Non-Zero-Sum Game of Controlling the Debt-to-GDP Ratio

Felix Dammann, Neofytos Rodosthenous and Stéphane Villeneuve

729: Assessing swaption portfolios for prepayment risk mitigation. A parametric perspective

Andrea Monaco, Adamaria Perrotta and Alessandro Sgarabottolo

728: Expected Utility Without Linearity: Distinguishing Between Prospect Theory and Cumulative Prospect Theory

Lasse Mononen

727: Robust equilibria in cheap-talk games with fairly transparent motives

Jan-Henrik Steg, Elshan Garashli, Michael Greinecker and Christoph Kuzmics

726: The Market Price of Jump Risk for Delivery Periods: Pricing of Electricity Swaps with Geometric Averaging

Annika Kemper and Maren Diane Schmeck

725: An axiomatic approach to default risk and model uncertainty in rating systems

Max Nendel and Jan Streicher

724: A parametric approach to the estimation of convex risk functionals based on Wasserstein distance

Max Nendel and Alessandro Sgarabottolo

723: Lower semicontinuity of monotone functionals in the mixed topology on C b

Max Nendel

722: Optimal Allocations with $\alpha$-MaxMin Utilities, Choquet Expected Utilities, and Prospect Theory

Patrick Beißner and Jan Werner

721: Stochastic representation under g-expectation and applications: The discrete time case

Miryana Grigorova and Hanwu Li

720: Robust Orlicz spaces: observations and caveats

Felix-Benedikt Liebrich and Max Nendel

719: Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework

Hanwu Li and Falei Wang

718: Optimal Multiple Stopping Problem under Nonlinear Expectation

Hanwu Li

717: Backward Stochastic Differential Equations Driven by $\textit{G}$-Brownian Motion with Double Reflections

Hanwu Li and Yongsheng Song

716: Convex monotone semigroups on lattices of continuous functions

Robert Denk, Michael Kupper and Max Nendel

715: Reflected backward stochastic differential equation driven by $\textit{G}$-Brownian motion with an upper obstacle

Hanwu Li and Shige Peng

714: A singular stochastic control problem with interconnected dynamics

Salvatore Federico, Giorgio Ferrari and Patrick Schuhmann

713: A note on stochastic dominance, uniform integrability, and lattice properties

Max Nendel

712: Convex semigroups on Lp-like spaces

Robert Denk, Michael Kupper and Max Nendel

711: All wealth in assets is optimal under interest rate uncertainty

Qian Lin and Frank Riedel

710: Default Ambiguity

Tolulope Fadina and Thorsten Schmidt

709: On the Optimal Management of Public Debt: a Singular Stochastic Control Problem

Giorgio Ferrari

708: Strategic Investment with Positive Externalities

Jan-Henrik Steg and Jacco J.J. Thijssen

707: Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Volatility Uncertainty

Patrick Beißner and Frank Riedel

706: Stationary Mean-Field Games of Singular Control under Knightian Uncertainty

Giorgio Ferrari and Ioannis Tzouanas

705: Regulation in a Mean-Field Investment Game with Climate Damage

René Aid, Salvatore Federico, Giorgio Ferrari and Neofytos Rodosthenous

704: The Maschler–Perles–Shapley value for Taxation Games

Joachim Rosenmüller

703: Welfare Effects of a Concealed Information Exchange

Lars Müller and Dominik Karos