Frank Riedel

Professor of Mathematics and Economics

Complete List of 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 Rockner.
  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, 313-347. 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, and Michael Rockner.
  11. Viability and Arbitrage under Knightian Uncertainty
    Econometrica, 89(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 alpha-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 Benoit 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, 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, 59, 2015, 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, 10, 2015, 1-9. With Tobias Hellmann.
  27. The Strategic Use of Ambiguity
    Theory and Decision, 76(4), 2014, 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, 54(1), 2013, 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(1), 2013, 29-68. With Xue Cheng.
  33. Evolutionary Stability in First Price Auctions
    Dynamic Games and Applications, 1(2), 2012, 110-128. With Fernando Louge.
  34. On Irreversible Investment
    Finance and Stochastics, 15(4), 2011, 607-633. With Xia Su.
  35. Voronoi Languages
    Games and Economic Behavior, 73(2), 2011, 517-537. With Gerhard Jager and Lars Metzger.
  36. Other-Regarding Preferences in General Equilibrium
    Review of Economic Studies, 78(2), 2011, 613-639. With Martin Dufwenberg, Georg Kirchsteiger, Paul Heidhues, and 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(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 and Jorg Oechssler.
  40. Optimal Consumption Choice with Intolerance for Declining Standard of Living
    Journal of Mathematical Economics, 45(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 and Elmar Wolfstetter.
  48. Arrow-Debreu Equilibria with Asymptotically Heterogeneous Expectations Exist
    Economic Theory, 21, 2003, 929-934.
  49. Implementing Efficient Market Structure
    Review of Economic Design, 7, 2003, 443-463. With Veronika Grimm and Elmar Wolfstetter.
  50. On the Dynamic Foundation of Evolutionary Stability in Continuous Models
    Journal of Economic Theory, 107, 2002, 223-252. With Jorg Oechssler.
  51. The Third Generation (UMTS) Spectrum Auction in Germany
    ifo Studien, 48, 2002, 123-143. With Veronika Grimm and Elmar Wolfstetter.
  52. Optimal Consumption Choice under Uncertainty with Intertemporal Substitution
    Annals of Applied Probability, 11(3), 2001, 750-788. With Peter Bank.
  53. Existence of Arrow-Radner Equilibrium with Endogenously Complete Markets under Incomplete Information
    Journal of Economic Theory, 97, 2001, 109-122.
  54. Evolutionary Dynamics on Infinite Strategy Spaces
    Economic Theory, 17, 2001, 141-162. With Jorg Oechssler.
  55. Existence and Structure of Stochastic Equilibria with Intertemporal Substitution
    Finance and Stochastics, 5, 2001, 487-509. With Peter Bank.
  56. Non-Time Additive Utility Optimization - the Case of Certainty
    Journal of Mathematical Economics, 33, 2000, 271-290. With Peter Bank.
  57. Decreasing Yield Curves in a Model with an Unknown Constant Growth Rate
    European Finance Review, 4(1), 2000, 51-67.