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http://hdl.handle.net/10419/43752
2018-01-14T02:42:21ZOn an optimal extraction problem with regime switching
http://hdl.handle.net/10419/149019
Title: On an optimal extraction problem with regime switching
Authors: Ferrari, Giorgio; Yang, Shuzhen
Abstract: This paper studies an optimal irreversible extraction problem of an exhaustible commodity in presence of regime shifts. A company extracts a natural resource from a reserve with finite capacity, and sells it in the market at a spot price that evolves according to a Brownian motion with volatility modulated by a two state Markov chain. In this setting, the company aims at finding the extraction rule that maximizes its expected, discounted net cash flow. The problem is set up as a finite-fuel two-dimensional degenerate singular stochastic control problem over an infinite time-horizon. We provide explicit expressions both for the value function and for the optimal control. We show that the latter prescribes a Skorokhod reflection of the optimally controlled state process at a certain state and price dependent threshold. This curve is given in terms of the optimal stopping boundary of an auxiliary family of perpetual optimal selling problems with regime switching. The techniques are those of stochastic calculus and stochastic optimal control theory.2016-01-01T00:00:00ZIdentifying the reasons for coordination failure in a laboratory experiment
http://hdl.handle.net/10419/149024
Title: Identifying the reasons for coordination failure in a laboratory experiment
Authors: Külpmann, Philipp; Khantadze, Davit
Abstract: We investigate the effect of absence of common knowledge on the outcomes of coordination games in a laboratory experiment. Using cognitive types, we can explain coordination failure in pure coordination games while differentiating between coordination failure due to first- and higher-order beliefs. In our experiment, around 76% of the subjects have chosen the payoff-dominant equilibrium strategy despite the absence of common knowledge. However, 9% of the players had first-order beliefs that lead to coordination failure and another 9% exhibited coordination failure due to higher-order beliefs. Furthermore, we compare our results with predictions of commonly used models of higher-order beliefs.2016-01-01T00:00:00ZStochastic nonzero-sum games: A new connection between singular control and optimal stopping
http://hdl.handle.net/10419/149022
Title: Stochastic nonzero-sum games: A new connection between singular control and optimal stopping
Authors: De Angelis, Tiziano; Ferrari, Giorgio
Abstract: In this paper we establish a new connection between a class of 2-player nonzerosum games of optimal stopping and certain 2-player nonzero-sum games of singular control. We show that whenever a Nash equilibrium in the game of stopping is attained by hitting times at two separate boundaries, then such boundaries also trigger a Nash equilibrium in the game of singular control. Moreover a differential link between the players' value functions holds across the two games.2016-01-01T00:00:00ZCommunication games with optional verification
http://hdl.handle.net/10419/149026
Title: Communication games with optional verification
Authors: Schopohl, Simon
Abstract: We consider a Sender-Receiver game in which the Sender can choose between sending a cheap-talk message, which is costless, but also not verified and a costly verified message. While the Sender knows the true state of the world, the Receiver does not have this information, but has to choose an action depending on the message he receives. The action then yields to some utility for Sender and Receiver. We only make a few assumptions about the utility functions of both players, so situations may arise where the Sender's preferences are such that she sends a message trying to convince the Receiver about a certain state of the world, which is not the true one. In a finite setting we state conditions for full revelation, i.e. when the Receiver always learns the truth. Furthermore we describe the player's behavior if only partial revelation is possible. For a continuous setting we show that additional conditions have to hold and that these do not hold for "smooth" preferences and utility, e.g. in the classic example of quadratic loss utilities.2016-01-01T00:00:00Z