4 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…
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…
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…