Publications

  1. Berge Equilibria - An Algebraic Approach Economic Theory, to appear with Maria Laura Torrente
  2. Variational Inequalities and Smooth-Fit Principle for Singular Control Problems in Hilbert Spaces Annals of Applied Probability, to appear with Salvatore Federico, Giorgio Ferrari, and Michael Röckner
  3. Optimal Consumption and Investment under Relative Performance Criteria with Epstein-Zin Utility Finance and Stochastics, to appear with Jodi Dianetti and Lorenzo Stanca
  4. Sharing Model Uncertainty American Economic Journal: Microeconomics, 18, 2026, 1–35 with Chiaki Hara, Sujoj Mukerji, and Jean-Marc Tallon
  5. The Texas Shoot-Out under Knightian Uncertainty Games and Economic Behavior, 146, 2024, 35 - 50, with Gerrit Bauch
  6. 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
  7. Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty Advances in Applied Probability, 54, 2022, 1222 - 1251, with Giorgio Ferrari and Hanwu Li
  8. A Knightian Irreversible Investment Problem, Journal of Mathematical Analysis and Applications, 507, 2022, with Giorgio Ferrari and Hanwu Li
  9. A Decomposition of General Premium Principles into Risk and Deviation, Insurance: Mathematics and Economics, 100, 2021, 193-209 with Max Nendel and Maren Schmeck
  10. 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
  11. Viability and arbitrage under Knightian Uncertainty, Econometrica, 89, No. 3, 2021, 1207–1234 with Matteo Burzoni and Mete Soner
  12. Optimal Consumption and Portfolio Choice with Ambiguous Interest Rates and Volatility, Economic Theory, 71, 2021, 1189–1202 with Qian Lin
  13. Dynamically Consistent α-maxmin expected utility, Mathematical Finance, 30, 2020, 1073-1102 with Patrick Beissner and Qian Lin
  14. Purification and Disambiguation of Ellsberg Equilibria, Economic Theory, 69, 2020, 595-636 with Benoît Decerf
  15. Equilibria under Knightian Price Uncertainty, Econometrica, 87, 2019, 37-64 with Patrick Beissner
  16. Dynamically Consistent Preferences Under Imprecise Probabilistic Information, Journal of Mathematical Economics 79, 2018, 117-124 with Jean-Marc Tallon and Vassili Vergopoulos
  17. Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty, Finance and Stochastics 22, 2018, 603-620 with Patrick Beissner
  18. Uncertain Acts in Games, Homo Oeconomicus 34, 2017, 275-292
  19. Subgame-Perfect Equilibria in Stochastic Timing Games, Journal of Mathematical Economics 72, 2017, 36-50 with Jan-Henrik Steg
  20. Kuhn's Theorem for Extensive Form Ellsberg Games, Journal of Mathematical Economics 68, 2017, 26-41 with Igor Mouraviev and Linda Sass
  21. 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
  22. 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
  23. The Logit Dynamic for Games with Continuous Strategy Sets, Games and Economic Behavior 91, 2015, 268--282 with Ratul Lahkar
  24. A Dynamic Extension of the Foster-Hart Measure of Riskiness Journal of Mathematical Economics 2015, 59, 66-70 with Tobias Hellmann
  25. Financial Economics without Probabilistic Prior Assumptions, Decisions in Economics and Finance 2015, 1, 75-91
  26. The Foster-Hart Measure of Riskiness for General Gambles, Theoretical Economics 2015, 10, 1-9 with Tobias Hellmann
  27. The Strategic Use of Ambiguity, Theory and Decision 2014, 76(4), 469-509 with Linda Sass
  28. 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
  29. The Best Choice Problem under Ambiguity, Economic Theory 2013, 54 (1), 77-97 with Tatjana Chudjakow
  30. Intertemporal Equilibria with Knightian Uncertainty, Journal of Economic Theory 148, 2013, 1582-1605 with Rose-Anne Dana
  31. Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets, Journal of Mathematical Economics 49 (5), 2013, 398-404 with Frederik Herzberg
  32. Optimal Stopping under Ambiguity in Continuous Time, Mathematics and Financial Economics 7, No. 1, 2013, 29-68 with Xue Cheng
  33. Evolutionary Stability in First Price Auctions, Dynamic Games and Applications 1, No.2, 2012, 110-128 with Fernando Louge
  34. On Irreversible Investment, Finance and Stochastics, 15, No. 4, 2011, 607-633, with Xia Su
  35. Voronoi Languages, Games and Economic Behavior, 73, No.2, 2011, 517-537 with Gerhard Jäger, Lars Metzger
  36. 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
  37. On Equilibrium Prices in Continuous Time, Journal of Economic Theory, 145, 2010, 1086-1112 with Filipe Martins-da-Rocha
  38. Optimal Stopping with Multiple Priors, Econometrica 77, No. 3, 2009, 857-908
  39. 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
  40. Optimal Consumption Choice with Intolerance for Declining Standard of Living, Journal of Mathematical Economics 45, No. 7-8, 2009, 449-464
  41. Stochastic Equilibria For Economies Under Uncertainty With Intertemporal Substitution, Annals of Finance, 2, 2006, 101-122. with Filipe Martins-da-Rocha
  42. 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
  43. Immediate Demand Reduction in Simultaneous Ascending Bid Auctions Economic Theory, 29, 2006, 721-726 with Elmar Wolfstetter
  44. Generic Determinacy of Equilibria with Local Substitution,Journal of Mathematical Economics, 41, 2005, 603-616
  45. Dynamic Coherent Risk Measures, Stochastic Processes and Applications, 112, 2004, 185-200
  46. Heterogeneous Time Preferences and Humps in the Yield Curve: The Preferred Habitat Theory Revisited, European Journal of Finance, 10, 2004, 3-23
  47. 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
  48. Arrow- Debreu Equilibria With Asymptotically Heterogeneous Expectations Exist Economic Theory, 21, 2003, pp.929-934
  49. Implementing Efficient Market Structure Review of Economic Design, 7, 2003, 443-463 with Veronika Grimm, Elmar Wolfstetter
  50. On the Dynamic Foundation of Evolutionary Stability in Continuous Models Journal of Economic Theory, 107, 2002, pp.223-252 with Jörg Oechssler
  51. The Third Generation (UMTS) Spectrum Auction in Germany, ifo Studien, 48, 2002, pp.123-143, with Veronika Grimm, Elmar Wolfstetter
  52. Optimal Consumption Choice under Uncertainty with Intertemporal Substitution, Annals of Applied Probability, 2001, vol. 11, no. 3, pp. 750-788 with Peter Bank
  53. Existence of Arrow--Radner Equilibrium with Endogenously Complete Markets under Incomplete Information, Journal of Economic Theory, 97, 2001, pp. 109-122
  54. Evolutionary Dynamics on Infinite Strategy Spaces, Economic Theory, 17, 2001, pp. 141-162 with Jörg Oechssler
  55. Existence and Structure of Stochastic Equilibria with Intertemporal Substitution, Finance and Stochastics, 5, 2001, pp. 487-509 with Peter Bank
  56. Non-Time Additive Utility Optimization - the Case of Certainty, Journal of Mathematical Economics, 33, 2000, pp.271-290 with Peter Bank
  57. Decreasing Yield Curves in a Model with an Unknown Constant Growth Rate, European Finance Review 4 (1):51-67, 2000.