Publications

  1. Sharing Model Uncertainty American Economic Journal: Microeconomics, to appear with Chiaki Hara, Sujoj Mukerji, and Jean-Marc Tallon
  2. The Texas Shoot-Out under Knightian Uncertainty Games and Economic Behavior, 146, 2024, 35 - 50, with Gerrit Bauch
  3. Optimal Consumption for Recursive Preferences with Local Substitution – the Case of Certainty Journal of Mathematical Economics, 110, 2024, 102932 with Hanwu Li and Shouzhen Yang
  4. Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty Advances in Applied Probability, 54, 2022, 1222 - 1251, with Giorgio Ferrari and Hanwu Li
  5. A Knightian Irreversible Investment Problem, Journal of Mathematical Analysis and Applications, 507, 2022, with Giorgio Ferrari and Hanwu Li
  6. A Decomposition of General Premium Principles into Risk and Deviation, Insurance: Mathematics and Economics, 100, 2021, 193-209 with Max Nendel and Maren Schmeck
  7. On a Class of Infinite-Dimensional Singular Stochastic Control Problems, SIAM Journal on Control and Optimization, 59(2), 2021, 1680–1704 with Salvatore Federico, Giorgio Ferrari, Michael Röckner
  8. Viability and arbitrage under Knightian Uncertainty, Econometrica, 89, No. 3, 2021, 1207–1234 with Matteo Burzoni and Mete Soner
  9. Optimal Consumption and Portfolio Choice with Ambiguous Interest Rates and Volatility, Economic Theory, 71, 2021, 1189–1202 with Qian Lin
  10. Dynamically Consistent α-maxmin expected utility, Mathematical Finance, 30, 2020, 1073-1102 with Patrick Beissner and Qian Lin
  11. Purification and Disambiguation of Ellsberg Equilibria, Economic Theory, 69, 2020, 595-636 with Benoît Decerf
  12. Equilibria under Knightian Price Uncertainty, Econometrica, 87, 2019, 37-64 with Patrick Beissner
  13. Dynamically Consistent Preferences Under Imprecise Probabilistic Information, Journal of Mathematical Economics 79, 2018, 117-124 with Jean-Marc Tallon and Vassili Vergopoulos
  14. Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty, Finance and Stochastics 22, 2018, 603-620 with Patrick Beissner
  15. Uncertain Acts in Games, Homo Oeconomicus 34, 2017, 275-292
  16. Subgame-Perfect Equilibria in Stochastic Timing Games, Journal of Mathematical Economics 72, 2017, 36-50 with Jan-Henrik Steg
  17. Kuhn's Theorem for Extensive Form Ellsberg Games, Journal of Mathematical Economics 68, 2017, 26-41 with Igor Mouraviev and Linda Sass
  18. Continuous-Time Public Good Contribution under Uncertainty: a Stochastic Control Approach, Applied Mathematics and Optimization 75, 2017, 429-470 with Giorgio Ferrari and Jan-Henrik Steg
  19. Was ist Finanzmathematik? Erfolg und Grenzen einer wissenschaftlichen Revolution , in: Wirtschaftsphilosophische Erkundungen. Definitionen, Ansätze, Methoden, Erkenntnisse, Wirkungen, editors Wolf Dieter Enkelmann, Birger P. Priddat, metropolis 2016
  20. The Logit Dynamic for Games with Continuous Strategy Sets, Games and Economic Behavior 91, 2015, 268--282 with Ratul Lahkar
  21. A Dynamic Extension of the Foster-Hart Measure of Riskiness Journal of Mathematical Economics 2015, 59, 66-70 with Tobias Hellmann
  22. Financial Economics without Probabilistic Prior Assumptions, Decisions in Economics and Finance 2015, 1, 75-91
  23. The Foster-Hart Measure of Riskiness for General Gambles, Theoretical Economics 2015, 10, 1-9 with Tobias Hellmann
  24. The Strategic Use of Ambiguity, Theory and Decision 2014, 76(4), 469-509 with Linda Sass
  25. Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources SIAM Journal on Control and Optimization 51, 2013, 3863-3885 with Maria Chiarolla and Giorgio Ferrari
  26. The Best Choice Problem under Ambiguity, Economic Theory 2013, 54 (1), 77-97 with Tatjana Chudjakow
  27. Intertemporal Equilibria with Knightian Uncertainty, Journal of Economic Theory 148, 2013, 1582-1605 with Rose-Anne Dana
  28. Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets, Journal of Mathematical Economics 49 (5), 2013, 398-404 with Frederik Herzberg
  29. Optimal Stopping under Ambiguity in Continuous Time, Mathematics and Financial Economics 7, No. 1, 2013, 29-68 with Xue Cheng
  30. Evolutionary Stability in First Price Auctions, Dynamic Games and Applications 1, No.2, 2012, 110-128 with Fernando Louge
  31. On Irreversible Investment, Finance and Stochastics, 15, No. 4, 2011, 607-633, with Xia Su
  32. Voronoi Languages, Games and Economic Behavior, 73, No.2, 2011, 517-537 with Gerhard Jäger, Lars Metzger
  33. Other-Regarding Preferences in General Equilibrium, Review of Economic Studies, 78, No.2, 2011, 613-639 with Martin Dufwenberg, Georg Kirchsteiger, Paul Heidhues, Joel Sobel
  34. On Equilibrium Prices in Continuous Time, Journal of Economic Theory, 145, 2010, 1086-1112 with Filipe Martins-da-Rocha
  35. Optimal Stopping with Multiple Priors, Econometrica 77, No. 3, 2009, 857-908
  36. Brown-von Neumann-Nash Dynamics: The Case of Continuous Strategy Sets, Games and Economic Behavior, 65, 2, 2009, 406-429 with Josef Hofbauer, Jörg Oechssler
  37. Optimal Consumption Choice with Intolerance for Declining Standard of Living, Journal of Mathematical Economics 45, No. 7-8, 2009, 449-464
  38. Stochastic Equilibria For Economies Under Uncertainty With Intertemporal Substitution, Annals of Finance, 2, 2006, 101-122. with Filipe Martins-da-Rocha
  39. Stability of the Replicator Equation for a Single-Species with a Multi-Dimensional Continuous Trait Space, Journal of Theoretical Biology, 239, 2006, 273-288. with Ross Cressman and Josef Hofbauer
  40. Immediate Demand Reduction in Simultaneous Ascending Bid Auctions Economic Theory, 29, 2006, 721-726 with Elmar Wolfstetter
  41. Generic Determinacy of Equilibria with Local Substitution,Journal of Mathematical Economics, 41, 2005, 603-616
  42. Dynamic Coherent Risk Measures, Stochastic Processes and Applications, 112, 2004, 185-200
  43. Heterogeneous Time Preferences and Humps in the Yield Curve: The Preferred Habitat Theory Revisited, European Journal of Finance, 10, 2004, 3-23
  44. Low Price Equilibrium in Multi-Unit Auctions: The GSM Spectrum Auction in Germany International Journal of Industrial Organization, 21, 2003, 1557-1569 with Veronika Grimm, Elmar Wolfstetter
  45. Arrow- Debreu Equilibria With Asymptotically Heterogeneous Expectations Exist Economic Theory, 21, 2003, pp.929-934
  46. Implementing Efficient Market Structure Review of Economic Design, 7, 2003, 443-463 with Veronika Grimm, Elmar Wolfstetter
  47. On the Dynamic Foundation of Evolutionary Stability in Continuous Models Journal of Economic Theory, 107, 2002, pp.223-252 with Jörg Oechssler
  48. The Third Generation (UMTS) Spectrum Auction in Germany, ifo Studien, 48, 2002, pp.123-143, with Veronika Grimm, Elmar Wolfstetter
  49. Optimal Consumption Choice under Uncertainty with Intertemporal Substitution, Annals of Applied Probability, 2001, vol. 11, no. 3, pp. 750-788 with Peter Bank
  50. Existence of Arrow--Radner Equilibrium with Endogenously Complete Markets under Incomplete Information, Journal of Economic Theory, 97, 2001, pp. 109-122
  51. Evolutionary Dynamics on Infinite Strategy Spaces, Economic Theory, 17, 2001, pp. 141-162 with Jörg Oechssler
  52. Existence and Structure of Stochastic Equilibria with Intertemporal Substitution, Finance and Stochastics, 5, 2001, pp. 487-509 with Peter Bank
  53. Non-Time Additive Utility Optimization - the Case of Certainty, Journal of Mathematical Economics, 33, 2000, pp.271-290 with Peter Bank
  54. Decreasing Yield Curves in a Model with an Unknown Constant Growth Rate, European Finance Review 4 (1):51-67, 2000.