Showing papers in "Journal of Mathematical Economics in 1998"

TL;DR: In this paper, a mathematical model for the optimal control of the exchange rate under uncertainty is proposed, which consists of a combination of continuous stochastic control and impulse control, and sufficient conditions for its solution are given.

TL;DR: In this paper, the authors provide a measure-theoretic framework for the study of random phenomena involving a large number of economic entities, based on the fact that processes which are measurable with respect to hyperfinite Loeb product spaces capture the limiting behaviors of triangular arrays of random variables and thus constitute the right class for general stochastic modeling.

TL;DR: In this article, the authors characterize the types of functions over which additivity of the min-of-integrals function is preserved and show that all the results hold more generally for functionals which are linear combinations of the ''min' and the ''max' functional.

TL;DR: In this article, Bhattacharya et al. consider the problem of adverse selection in knowledge sharing in research joint ventures, while there is moral hazard involved in the choice of private development efforts aimed at translating privately acquired and/or shared knowledge into valuable marketable innovations.

TL;DR: In this article, it is shown that when n individuals satisfy the axioms of subjective expected utility theory and these individuals' probabilities or/and utilities are sufficiently diverse, it is impossible to aggregate the individuals' preferences into a (n + 1)-preference which is both Paretian and in agreement with SEU theory.

TL;DR: In this paper, the authors provided a direct proof of the Coase conjecture when the existence of a second-hand market ensures the possibility of arbitrage for the consumers; in this context, the problem is stated as an optimal control problem.

TL;DR: The authors characterize the Pareto correspondence, the core and the Walras solution using the axioms of consistency, converse consistency and one-person rationality, and define consistency and its converse with respect to suitably constructed reduced economies for each case.

TL;DR: In this article, the authors provided a characterization for the set of outcomes which can be sustained by subgame perfect equilibrium strategies in repeated games with M -period bounded memory, pure strategies, no discounting and finite number of action profiles.

TL;DR: In this article, the authors study properties about the existence of continuous utility representations and extensions of continuous preorders and provide a unified treatment in a more general setting of results that Monteiro and Yi gave for path connected topological spaces.

TL;DR: In this article, the authors provide sufficient conditions for Lagrange multipliers to exist and be represented by a sequence, which is the same as the condition for the existence and regularity of dynamic incentive constraints.

TL;DR: In this article, the authors analyzed the nonlinear pricing problem faced by an incomplete information monopolist operating in a market populated by agents with budget constraints and showed that if other goods are available and if the monopolist's goods are nonessential relative to other goods, then there exists an optimal, individually rational, and incentive compatible selling mechanism for the monopolists.

TL;DR: In this paper, the authors study security markets with infinitely many securities and arbitrary finite portfolio holdings and show that optimal portfolio allocations and equilibria in security markets do exist, if portfolio dominance order is a lattice order and has a Yudin basis.

TL;DR: In this article, the authors study structural stability and local uniqueness of equilibrium in smooth infinite economies and relate the theory of markets to modern Fredholm theory, where equilibrium conditions are described by Fredholm maps which are Frechet differentiable.

TL;DR: In this article, the authors assume the impartial culture condition for large electorates and show that approval voting has greater Condorcet efficiency than plurality rule, and that it has smaller conditional probability than the voting rule in which voters must vote for half of the available alternatives.

TL;DR: In this article, the authors investigate the relationship between Lie's characterization of the infinitesimal groups on the real line and the integrability conditions for Gorman demand systems for which the rank of the price matrix is not full.

TL;DR: In this article, the authors extend the characterizations of increasing risks developed by Rothschild and Stiglitz to the case of unbounded probability distributions and show that weak convergence of distributions is insufficient in that case.

TL;DR: In this article, the authors study the problem of how much demand must fall for a price-taking risk-neutral and value-maximizing firm to go out of business.

TL;DR: In this paper, a new result on the convergence of recursive, stochastic algorithms which can be applied to economic models with learning is presented, which is used to describe the local stability under learning of rational expectations equilibria.

TL;DR: In this paper, a general equilibrium model of an economy with price rigidities and quantity rationing is considered and it is shown that there exists a connected set of constrained equilibria containing both these trivial constrained equilibrium at which every consumer keeps his initial endowments.

TL;DR: The concept of an abstract convexity structure, which the authors call mc-spaces, is introduced that generalizes the notion of usual conveXity and is presented as a powerful tool that allows many problems that have only been analyzed under convexities conditions to be solved.

TL;DR: In this article, a unified approach to the problem of existence of optimal auctions for a wide variety of auction environments is provided, by first establishing a general existence result for a particular Stackelberg revelation game, and then systematically specializing this game to cover various types of auctions.

TL;DR: In this paper, a theory of subjective expected lexicographic utility for decision under uncertainty with finite state sets was extended to an infinite state set S, where prior axioms yield a lexico-graph utility representation with matrix probabilities for preferences between mixtures of acts that are constant on finite partitions of S.

TL;DR: It is shown that if expert I is more knowledgeable than expert II, then I must hold an assessed distribution which is a convex combination of the real distribution and the one held by expert II.

TL;DR: In this article, the authors examined the implications of replacing the Cournot market clearing assumption with Bertrand-Edgeworth behavior when production is time-consuming and showed that for small capacity costs, except for the leader-follower points, none of the points on the outer envelope of the best responses lying in the mixed strategy region are sustainable in equilibrium.

TL;DR: In this paper, the authors extend Fishburn's Savage-type axiomatization for skew-symmetric additive representations of preferences in decision making under uncertainty to non-simple acts.

TL;DR: In this article, the authors introduce a new price adjustment process which is globally convergent, i.e., it may start at an arbitrary price vector and terminates with an equilibrium price vector for arbitrary exchange economies.

TL;DR: This article showed that the rational preferences of an agent are totally determined by a fundamental preexisting chain of alternatives, which can be used to guess the agent's undisclosed preferences and predict her future behavior.

TL;DR: In this article, the authors study an economy with numeraire assets and show that, for an open and dense subset (of full Lebesgue measure) of the space of endowments, all rational expectations equilibria are fully revealing.

TL;DR: In this paper, a price and quantity adjustment process in continuous time is considered for an economy facing price rigidities and it is shown that the process indeed converges to a fixed price equilibrium for the initially given prices in the short run.

TL;DR: In this article, a family of conditions called ''B k -monotonicity'' that are necessary for Nash implementation was formulated, where k is a natural number that indexes a particular condition, and where the condition only becomes more restrictive as k increases.