Center for Mathematical Economics Working Papers

From Center for Mathematical Economics, Bielefeld University
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650: Stationary Discounted and Ergodic Mean Field Games of Singular Control

Haoyang Cao, Jodi Dianetti and Giorgio Ferrari

649: Wasserstein Perturbations of Markovian Transition Semigroups

Sven Fuhrmann, Michael Kupper and Max Nendel

648: Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model

Julia Eisenberg, Lukas Fabrykowski and Maren Diane Schmeck

647: Socio-legal Systems and Implementation of the Nash Solution in Debreu-Hurwicz Equilibrium

Claus-Jochen Haake and Walter Trockel

646: On an Irreversible Investment Problem with Two-Factor Uncertainty

Felix Dammann and Giorgio Ferrari

645: Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls

Jodi Dianetti and Giorgio Ferrari

644: From prejudice to racial profiling and back. A naá¼´ve intuitive statistician's curse

Manuel Förster and Dominik Karos

643: Two-Sided Singular Control of an Inventory with Unknown Demand Trend

Salvatore Federico, Giorgio Ferrari and Neofytos Rodosthenous

642: Optimal Switch from a Fossil-Fueled to an Electric Vehicle

Paolo Falbo, Giorgio Ferrari, Giorgio Rizzini and Maren Diane Schmeck

641: Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty

Giorgio Ferrari, Hanwu Li and Frank Riedel

640: Approximating Convex Bodies by Cephoids

Joachim Rosenmüller

639: Taming the Spread of an Epidemic by Lockdown Policies

Salvatore Federico and Giorgio Ferrari

638: A Decompostion of General Premium Principles into Risk and Deviation

Max Nendel, Maren Diane Schmeck and Frank Riedel

637: Singular Control of the Drift of a Brownian System

Salvatore Federico, Giorgio Ferrari and Patrick Schuhmann

636: Optimal Dividend Payout under Stochastic Discounting

Elena Bandini, Tiziano de Angelis, Giorgio Ferrari and Fausto Gozzi

635: The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets

Annika Kemper, Maren Diane Schmeck and Anna Khripunova Balci

634: A Knightian Irreversible Investment Problem

Giorgio Ferrari, Hanwu Li and Frank Riedel

633: Pricing Interest Rate Derivatives under Volatility Uncertainty

Julian Hölzermann

632: Nash Smoothing on the Test Bench: $H_{\alpha}$ -Essential Equilibria

Papatya Duman and Walter Trockel

631: Personal preferences in networks

Olena Orlova

630: Numerical Appromixation of the Value of a Stochastic Differential Game with Asymmetric Information

Lubomir Banas, Giorgio Ferrari and Tsiry Avisoa Randrianasolo

629: Cephoids. Minkowski Sums of DeGua Simplices. Theory and Applications

Joachim Rosenmüller

628: On Nonlinear Expectations and Markov Chains under Model Uncertainty

Max Nendel

627: Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem

Torben Koch and Tiziano Vargiolu

626: Did Partisan Voters Spoil the Country? A Randomized-thought Experiment

Victoria Barham, Ghislain-Herman Demeze-Jouatsa and Roland Pongou

625: Capturing the power options smile by an additive two-factor model for overlapping futures prices

Marco Piccirilli, Maren Diane Schmeck and Tiziano Vargiolu

624: A Model for the Optimal Management of Inflation

Salvatore Federico, Giorgio Ferrari and Patrick Schuhmann

623: A Note on Stochastic Dominance and Compactness

Max Nendel

622: Convex Semigroups on Banach Lattices

Robert Denk, Michael Kupper and Max Nendel

621: Submodular Mean Field Games. Existence and Approximation of Solutions

Jodi Dianetti, Giorgio Ferrari, Markus Fischer and Max Nendel

620: Duality for General TU-games Redefined

Fatma Aslan, Papatya Duman and Walter Trockel

619: Game Options under Knightian Uncertainty in Discrete Time

Bodo Rubbenstroth

618: Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems

Max Nendel and Michael Röckner

617: Stable Balanced Expansion in Homogeneous Dynamic Models

Volker Böhm

616: Mortality Options: the Point of View of an Insurer

Maren Diane Schmeck and Hanspeter Schmidli

615: Universal Bounds and Monotonicity Properties of Ratios of Hermite and Parabolic Cylinder Functions

Torben Koch

614: On a Class of Infinite-Dimensional Singular Stochastic Control Problems

Salvatore Federico, Giorgio Ferrari, Frank Riedel and Michael Röckner

613: Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion

Julian Hölzermann and Qian Lin

612: Immigration, Social Networks and Occupational Mismatch

Sevak Alaverdyan and Anna Zaharieva

611: A Note on Dynamic Consistency in Ambiguous Persuasion

Marieke Pahlke

610: A Semigroup Approach to Nonlinear Lévy Processes

Robert Denk, Michael Kupper and Max Nendel

609: Locally Constant Model Uncertainty Risk Measure

Lazar Obradovic

608: Optimal Reduction of Public Debt under Partial Observation of the Economic Growth

Giorgia Callegaro, Claudia Ceci and Giorgio Ferrari

607: Superhedging prices of European and American options in a non-linear incomplete market with default

Miryana Grigorova, Marie-Claire Quenez and Agnès Sulem

606: Optimal stopping under $\textit{G}$-expectation

Hanwu Li

605: Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria

Jodi Dianetti and Giorgio Ferrari

604: Expectation Formation and Learning in the Labour Market with On-the-Job Search and Nash Bargaining

Erdenebulgan Damdinsuren and Anna Zaharieva

603: An optimal extraction problem with price impact

Giorgio Ferrari and Torben Koch

602: The Dynamics of Balanced Expansion in Monetary Economies with Sovereign Debt

Volker Böhm

601: Social Networks, Promotions, and the Glass-Ceiling Effect

Michael Neugart and Anna Zaharieva