5 papers
Invariance principles for integrated random walks conditioned to stay positive
Jetlir Duraj, Michael Bär, Vitali Wachtel
Let be a centered random walk with finite second moment. We consider the integrated random walk . We prove invariance principles for the meander…
Martin boundary of random walks in convex cones
Jetlir Duraj, Kilian Raschel, Pierre Tarrago +1
We determine the asymptotic behavior of the Green function for zero-drift random walks confined to multidimensional convex cones. As a consequence, we prove that there is a unique…
Mechanism Design with News Utility
Jetlir Duraj
News utility is the idea that the utility of an agent depends on changes in her beliefs over consumption and money. We introduce news utility into otherwise classical static Bayesi…
Dynamic Random Subjective Expected Utility
Jetlir Duraj
Dynamic Random Subjective Expected Utility (DR-SEU) allows to model choice data observed from an agent or a population of agents whose beliefs about objective payoff-relevant state…
Green function of a random walk in a cone
Jetlir Duraj, Vitali Wachtel
This paper studies the asymptotic behavior of the Green function of a multidimensional random walk killed when leaving a convex cone with smooth boundary. Our results imply uniquen…