8 citations · 12 across the 16 of their papers we have counts for
19 papers
A class of singular control problems with tipping points
Jean-Paul Décamps, Fabien Gensbittel, Thomas Mariotti +1
Tipping points characterize situations where a regulated system may experience a sudden and irreversible change and are generally associated with a random state of the system below…
Games played by Exponential Weights Algorithms
Maurizio d'Andrea, Fabien Gensbittel, Jérôme Renault
This paper studies the last-iterate convergence properties of the exponential weights algorithm with constant learning rates. We consider a repeated interaction in discrete time, w…
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…
Nash equilibria for dividend distribution with competition
Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. M…
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…
Value-Based Distance Between Information Structures
Fabien Gensbittel, Marcin Peski, Jérôme Renault
We define the distance between two information structures as the largest possible difference in value across all zero-sum games. We provide a tractable characterization of distance…
Competition and Recall in Selection Problems
Fabien Gensbittel, Dana Pizarro, Jérôme Renault
We consider the problem in which n items arrive to a market sequentially over time, where two agents compete to choose the best possible item. When an agent selects an item, he lea…
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…
Value-based distance between the information structures
Marcin Pęski, Fabien Gensbittel, Jérôme Renault
We dene the distance between two information structures as the largest possible dierence in the value across all zero-sum games. We provide a tractable characterization of the dist…
The Large Space of Information Structures
Fabien Gensbittel, Marcin Peski, Jérôme Renault
We revisit the question of modeling incomplete information among 2 Bayesian players, following an ex-ante approach based on values of zero-sum games. being the finite set of po…
Continuous-time Markov games with asymmetric information
Fabien Gensbittel
We study a two-player zero-sum stochastic differential game with asymmetric information where the payoff depends on a controlled continuous-time Markov chain X with finite state sp…
A Dynkin game on assets with incomplete information on the return
Tiziano De Angelis, Fabien Gensbittel, Stéphane Villeneuve
This paper studies a 2-players zero-sum Dynkin game arising from pricing an option on an asset whose rate of return is unknown to both players. Using filtering techniques we first…
A two player zerosum game where only one player observes a Brownian motion
Fabien Gensbittel, Catherine Rainer
We study a two-player zero-sum game in continuous time, where the payoff-a running cost-depends on a Brownian motion. This Brownian motion is observed in real time by one of the pl…
A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides
Fabien Gensbittel, Catherine Rainer
We prove that for a class of zero-sum differential games with incomplete information on both sides, the value admits a probabilistic representation as the value of a zero-sum stoch…
Continuous-time limit of dynamic games with incomplete information and a more informed player
Fabien Gensbittel
We study a two-player, zero-sum, dynamic game with incomplete information where one of the players is more informed than his opponent. We analyze the limit value as the players pla…
Optimal strategies in repeated games with incomplete information: the dependent case
Fabien Gensbittel, Miquel Oliu-Barton
Using the duality techniques introduced by De Meyer (1996a, 1996b), De Meyer and Marino (2005) provided optimal strategies for both players in finitely repeated games with incomple…
Zero-sum stopping games with asymmetric information
Fabien Gensbittel, Christine Grün
We study a model of two-player, zero-sum, stopping games with asymmetric information. We assume that the payoff depends on two continuous-time Markov chains (X, Y), where X is only…
Existence of the uniform value in repeated games with a more informed controller
Fabien Gensbittel, Miquel Oliu-Barton, Xavier Venel
We prove that in a general zero-sum repeated game where the first player is more informed than the second player and controls the evolution of information on the state, the uniform…
The value of Markov Chain Games with incomplete information on both sides
Fabien Gensbittel, Jérôme Renault
We consider zero-sum repeated games with incomplete information on both sides, where the states privately observed by each player follow independent Markov chains. It generalizes t…