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math.OC2024
Mixed Markov-Perfect Equilibria in the Continuous-Time War of Attrition
Jean-Paul Décamps, Fabien Gensbittel, Thomas Mariotti
We prove the existence of a Markov-perfect equilibrium in randomized stopping times for a model of the war of attrition in which the underlying state variable follows a homogenous…
math.OC2022
Mixed-Strategy Equilibria in the War of Attrition under Uncertainty
Jean-Paul Décamps, Fabien Gensbittel, Thomas Mariotti
We study a generic family of two-player continuous-time nonzero-sum stopping games modeling a war of attrition with symmetric information and stochastic payoffs that depend on an h…
math.OC2021
Investment Timing and Technological Breakthroughs
Jean-Paul Décamps, Fabien Gensbittel, Thomas Mariotti
We study the optimal investment policy of a firm facing both technological and cash-flow uncertainty. At any point in time, the firm can decide to invest in a standalone technology…