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math.OC2026
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…
math.OC2025
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…
math.OC2024
A Stochastic Non-Zero-Sum Game of Controlling the Debt-to-GDP Ratio
Felix Dammann, Neofytos Rodosthenous, Stéphane Villeneuve
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the…