Core-stem solutions of n-person essential games

A new wide class of internally stable solutions to essential n-person games in characteristic function form, ‘core-stem’ solutions, is herein derived based on the notion of ‘core of a coalition’ and a finite sequence of meta-games (a ‘stem of games’) with a ‘stem-level’ solution for each meta-level. Core-stem solutions exist for every game, can diner according to different stems selected or different stem-level solutions selected. An example with an implausible core and plausible core-stem solution (two different stems) is presented.     

Subgame-perfect equilibria in stochastic timing games

We develop a notion of subgames and the related notion of subgame-perfect equilibrium – possibly in mixed strategies – for stochastic timing games. To capture all situations that can arise in continuous-time models, it is necessary to consider stopping times as the starting dates of subgames. We generalize Fudenberg and Tirole’s (Rev. Econom. Stud. 52, 383–401, 1985) mixed-strategy extensions to make them applicable to stochastic timing games and thereby provide a sound basis for subgame-perfect equilibria of preemption games. Sufficient conditions for equilibrium existence are presented, and examples illustrate their application as well as the fact that intuitive arguments can break down in the presence of stochastic processes with jumps.     

Delay,multiplicity, and non-existence of equilibrium in unanimity bargaining games

We consider a class of perfect information bargaining games with unanimity acceptance rule. The proposer and the order of responding players are determined by the state that evolves stochastically over time. The probability distribution of the state in the next period is determined jointly by the current state and the identity of the player who rejected the current proposal. This protocol encompasses a vast number of special cases studied in the literature. We show that subgame perfect equilibria in pure stationary strategies need not exist. When such equilibria do exist, they may exhibit delay. Limit equilibria as the players become infinitely patient need not be unique.     

Multiobjective programming with related bargaining games An application to utility coal conversions

A method is developed using n-person game theory together with multiple objective programming and is applied to aid-regional decisions on utility coal conversions. Converting oil fired electric utilities to coal is seen as being of great strategic importance. There are, however, many impediments to utility coal conversions including costs and environmental restrictions. The method developed is used to find workable solutions to this problem which are evaluated based upon measures of economic efficiency, environmental degradation and distributive equity. Using these methods, policy makers, planners and administrators can determine solutions that will aid in the resolution of regional conflicts.     

A bargaining set for roommate problems

Since stable matchings may not exist, we propose a weaker notion of stability based on the credibility of blocking pairs. We adopt the weak stability notion of Klijn and Massó (2003) for the marriage problem and we extend it to the roommate problem. We first show that although stable matchings may not exist, a weakly stable matching always exists in a roommate problem. Then, we adopt a solution concept based on the credibility of the deviations for the roommate problem: the bargaining set. We show that weak stability is not sufficient for a matching to be in the bargaining set. We generalize the coincidence result for marriage problems of Klijn and Massó (2003) between the bargaining set and the set of weakly stable and weakly efficient matchings to roommate problems. Finally, we prove that the bargaining set for roommate problems is always non-empty by making use of the coincidence result.     

A trade without collective bargaining

The contract cleaning industry has hitherto managed to avoid the establishment of collective bargaining machinery. Will this situation be remedied in the light of the N.B.P.I, report, pressure from the unions concerned and the T.U.C. ?     

A note on linked bargaining

A recent result by Jackson and Sonnenschein (2007) describes a general framework for overcoming incentive constraints by linking together independent copies of a Bayesian decision problem. A special case of that work shows that if copies of a standard two-player Bayesian bargaining problem are independently linked (players receive valuations and trade simultaneously on a number of identical copies), then the utility cost associated with incentive constraints tends to 0 as the number of linked problems tends to infinity. We improve upon that result, increasing the rate of convergence from polynomial to exponential and eliminating unwanted trades in the limit, by introducing a mechanism that uses a slightly richer and more refined strategy space. Although very much in the same spirit, our declarations are constrained by a distribution which is skewed away from the expected distribution of player types. When a sufficiently large number of bargaining problems are linked, “truth” is an equilibrium. Moreover, this equilibrium is incentive compatible with the utility cost of incentive constraints almost surely equal to 0.     

A non-cooperative interpretation of bargaining sets

This paper provides a non-cooperative interpretation for bargaining sets concepts in economic environments. We investigate the implementability of the Aumann-Maschler and Mas-Colell bargaining sets, and provide mechanisms whose subgame perfect equilibrium outcomes realize these sets. These mechanisms, in contrast to general mechanisms suggested in the implementation literature, have a natural structure closely related to that of the rationale underlying the bargaining sets. Furthermore, the strategy sets consist mainly of allocations and coalitions (thus avoiding any reference to preference parameters) and are finite dimensional. Received: 17 February 1997 / Accepted: 2 February 1999     

Closed-form solutions to stochastic process switching problems

This paper studies the price of an asset depending on both a fundamental and possible interventions of an authority. Using the martingale approach in continuous time, we provide closed-form solutions to switching problems involving irreversible, state dependent and intramarginal switch policies. The martingale approach provides additional information regarding the switching policy, namely the average time before authority intervention, the conditional probability of intervention, or the total time of intervention. Applications in international and financial economics include exchange rates modelling, corporate claims valuation and capital budgeting decisions.     

Bayesian prediction in doubly stochastic Poisson process

A stochastic marked point process model based on doubly stochastic Poisson process is considered in the problem of prediction for the total size of future marks in a given period, given the history of the process. The underlying marked point process \((T_{i},Y_{i})_{i\ge 1}\) , where \(T_{i}\) is the time of occurrence of the \(i\) th event and the mark \(Y_{i}\) is its characteristic (size), is supposed to be a non-homogeneous Poisson process on \(\mathbb {R}_{+}^{2}\) with intensity measure \(P\times \varTheta \) , where \(P\) is known, whereas \(\varTheta \) is treated as an unknown measure of the total size of future marks in a given period. In the problem of prediction considered, a Bayesian approach is used assuming that \(\varTheta \) is random with prior distribution presented by a gamma process. The best predictor with respect to this prior distribution is constructed under a precautionary loss function. A simulation study for comparing the behavior of the predictors under various criteria is provided.     

European dimensions to collective bargaining: new symmetries within an asymmetric process?

The impact of economic and monetary union on the structures, processes and agenda of collective bargaining at sector and company levels is explored. Drawing on cross–national evidence from two sectors, considerable differences between sectors within national boundaries are identified, but also some striking parallels within sectors across national boundaries. Convergence and greater diversity are simultaneously evident.     

A noncooperative approach to the Mas-Colell bargaining set

We propose an extensive form game to give a noncooperative interpretation of the Mas-Colell bargaining set for transferable utility games. Based on the objection and counterobjection in the sense of the Mas-Colell bargaining set, a bilateral negotiation is designed in our model. We show that the equilibrium outcomes of our extensive form game coincide with the Mas-Colell bargaining set in the supperadditive environments.     

The Wishart Autoregressive process of multivariate stochastic volatility

The Wishart Autoregressive (WAR) process is a dynamic model for time series of multivariate stochastic volatility. The WAR naturally accommodates the positivity and symmetry of volatility matrices and provides closed-form non-linear forecasts. The estimation of the WAR is straighforward, as it relies on standard methods such as the Method of Moments and Maximum Likelihood. For illustration, the WAR is applied to a sequence of intraday realized volatility–covolatility matrices from the Toronto Stock Market (TSX).     

A note on solution concepts for nontransferable utility games

While many game-theoretic solution concepts pertain to conditions of transferable utility (TU), market transactions and other exchanges generally occur under nontransferable utility (NTU). Extant solutions translate TU solution concepts to the NTU case by utilizing endogenously determined utility weight vectors, which can violate notions of equity. A new solution procedure is developed that resolves this longstanding problem, and an existence proof is provided.     

Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate

Decisions in Economics and Finance - In this paper, we investigate value and Greeks computation of a guaranteed minimum withdrawal benefit (GMWB) variable annuity, when both stochastic volatility...     

A new relative skill measure for games with chance elements

An interesting aspect of games is the relative extent to which a player can positively influence his results by making appropriate strategic choices. This question is closely related to the issue of how to distinguish between games of skill and games of chance. The distinction between these two types of games is definitely interesting from a juridical point of view. In this paper we present a modification of an existing measure of the skill level of a game, which has served as a juridical tool for the classification of games. The main difference is that this new definition does not automatically classify incomplete information games without chance moves as games of skill. Copyright © 2004 John Wiley & Sons, Ltd.     

A noncooperative foundation of the asymmetric Nash bargaining solution

We consider a noncooperative multilateral bargaining model with heterogeneous time preferences in which the first rejector of a proposal in the current round becomes the proposer in the next round. We show the existence of a stationary subgame perfect equilibrium (SSPE), characterize SSPEs and show the efficiency of SSPEs. We show that any sequence of SSPE payoff profiles converges to the asymmetric Nash bargaining solution weighted by the inverses of discount rates as the bargaining friction vanishes.     

A stationary point for the stochastic frontier likelihood

The likelihood function for the stochastic frontier model is shown to possess an unusual stationary point which may or may not be a maximum. A condition is given to determine if the point is a maximum, and the result is interpreted in the context of specification and estimation.     

Pools and streams a stochastic process model of applied research

Applied research is often viewed as a process of testing ideas drawn from a pool of candidate innovations. This model is formalized for the case in which the pool of ideas is continually replenished through basic research. The intensity of applied research is determined by the equilibrium of an n-person non-cooperative game, where players choose dynamic strategies for exploiting the pool. The presence of a pool cannot be detected in a stationary state, but when the number of applied researchers is finite, transient responses to exogenous shifts in basic research policy may reveal the pool's existence.