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Efficiency in Games With Markovian Private Information
Repeated Bayesian games efficiency Markov chains
2014/9/10
We study repeated Bayesian games with communication and observable actions in which the players' privately known payoffs evolve according to an irreducible Markov chain whose transitions are independe...
A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
Stochastic optimal control non-Markovian SDE second order BSDE G-expectation random G-expectation volatility uncertainty risk measure
2011/7/5
We study stochastic differential equations (SDEs) whose drift and
diffusion coefficients are path-dependent and controlled. We construct
a value process on the canonical path space, considered simul...
Abstract: We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Mar...
Non-existence of Markovian time dynamics for graphical models of correlated default
Markovian time dynamics graphical models correlated default
2010/10/21
Filiz et al. (2008) proposed a model for the pattern of defaults seen among a group of firms at the end of a given time period. The ingredients in the model are a graph, where the vertices correspond...
Exit times in non-Markovian drifting continuous-time random walk processes
non-Markovian drifting continuous-time random walk processes
2010/10/18
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it d...
The learning effects of brands: Determined through Markovian analysis of brand switching
Learning effects Markovian analysis
2010/10/18
It is the learning effect that gives rise to brand loyalty for a repeat purchase product and is an important consideration in today’s competitive market. This paper aims at determining the learning ef...
A Markovian Model Market - Akerlof's Lemmons and the Asymmetry of Information
Markovian Market Model Asymmetric Information Technological Evolution
2010/11/1
In this work we study an economic agent based model under different asymmetric information degrees. This model is quite simple and can be treated analytically since the buyers evaluate the quality of ...
Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
Modeling the non-Markovian financial markets
2010/11/2
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several nat...
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
Markovian Bivariate Spread-Loss Model Portfolio Credit Derivatives
2010/10/29
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and loss intensity
processes. It is constructed as a Markovian, short-rate intensity model, which facilitates fast lattice ...
To study how a firm can capitalize on a long-term customer relationship, wecharacterize the optimal contract between a monopolist and a consumer whosepreferences follow a Markov process. The opt...