On the smoothness of value functions and the existence of optimal strategies in diffusion models

Citations

Cited by:

1. Dmitry Livdan & Alexander Nezlobin, 2017. "Accounting rules, equity valuation, and growth options," Review of Accounting Studies, Springer, vol. 22(3), pages 1122-1155, September.
2. Weidong Tian & Zimu Zhu, 2020. "A Portfolio Choice Problem Under Risk Capacity Constraint," Papers 2005.13741, arXiv.org, revised Dec 2021.
3. Pegoraro, Stefano, 2024. "Risk aversion with nothing to lose," Journal of Economic Theory, Elsevier, vol. 221(C).
4. Cetemen, Doruk & Feng, Felix Zhiyu & Urgun, Can, 2023. "Renegotiation and dynamic inconsistency: Contracting with non-exponential discounting," Journal of Economic Theory, Elsevier, vol. 208(C).
   • Doruk Cetemen & Felix Zhiyu Feng & Can Urgun, 2021. "Renegotiation and Dynamic Inconsistency: Contracting with Non-Exponential Discounting," Working Papers 2021-58, Princeton University. Economics Department..
5. Bergemann, Dirk & Pavan, Alessandro, 2015. "Introduction to Symposium on Dynamic Contracts and Mechanism Design," Journal of Economic Theory, Elsevier, vol. 159(PB), pages 679-701.
6. Rutger-Jan Lange & Coen N. Teulings, 2021. "The option value of vacant land: Don't build when demand for housing is booming," Tinbergen Institute Discussion Papers 21-022/IV, Tinbergen Institute.
   • Teulings, Coen & Lange, Rutger-Jan, 2021. "The option value of vacant land: Don't build when demand for housing is booming," CEPR Discussion Papers 16023, C.E.P.R. Discussion Papers.
7. Weidong Tian & Zimu Zhu, 2022. "Smoothness of the Value Function for Optimal Consumption Model with Consumption-Wealth Utility and Borrowing Constraint," Papers 2210.01016, arXiv.org, revised Dec 2023.
8. Lange, Rutger-Jan & Teulings, Coen N., 2024. "Irreversible investment under predictable growth: Why land stays vacant when housing demand is booming," Journal of Economic Theory, Elsevier, vol. 215(C).
9. Dirk Hackbarth & Alejandro Rivera & Tak-Yuen Wong, 2022. "Optimal Short-Termism," Management Science, INFORMS, vol. 68(9), pages 6477-6505, September.
   • Hackbarth, Dirk & Rivera, Alejandro & Wong, Tak-Yuen, 2018. "Optimal Short-Termism," CEPR Discussion Papers 12588, C.E.P.R. Discussion Papers.
10. Weidong Tian & Zimu Zhu, 2022. "A portfolio choice problem under risk capacity constraint," Annals of Finance, Springer, vol. 18(3), pages 285-326, September.
11. Ke, T. Tony & Villas-Boas, J. Miguel, 2019. "Optimal learning before choice," Journal of Economic Theory, Elsevier, vol. 180(C), pages 383-437.
12. Xu, Boli, 0. "Strategic exits in stochastic partnerships: the curse of profitability," Theoretical Economics, Econometric Society.
13. Décamps, Jean-Paul & Villeneuve, Stéphane, 2022. "Learning about profitability and dynamic cash management," Journal of Economic Theory, Elsevier, vol. 205(C).
    • Décamps, Jean-Paul & Villeneuve, Stéphane, 2022. "Learning about profitability and dynamic cash management," TSE Working Papers 22-1301, Toulouse School of Economics (TSE).
    • Jean-Paul Décamps & Stéphane Villeneuve, 2022. "Learning about profitability and dynamic cash management," Post-Print hal-04164661, HAL.
14. Aislinn Bohren, 2016. "Using Persistence to Generate Incentives in a Dynamic Moral Hazard Problem," PIER Working Paper Archive 16-024, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 15 Oct 2016.
    • Aislinn Bohren, 2018. "Using Persistence to Generate Incentives in a Dynamic Moral Hazard Problem," PIER Working Paper Archive 18-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Apr 2018.
15. Jean-Paul Décamps & Stéphane Villeneuve, 2019. "A two-dimensional control problem arising from dynamic contracting theory," Finance and Stochastics, Springer, vol. 23(1), pages 1-28, January.
    • Décamps, Jean-Paul & Villeneuve, Stéphane, 2018. "A two-dimensional control problem arising from dynamic contracting theory," IDEI Working Papers 880, Institut d'Économie Industrielle (IDEI), Toulouse.
    • Jean-Paul Décamps & Stéphane Villeneuve, 2019. "A two-dimensional control problem arising from dynamic contracting theory," Post-Print halshs-02282092, HAL.
    • Décamps, Jean-Paul & Villeneuve, Stéphane, 2018. "A two-dimensional control problem arising from dynamic contracting theory," TSE Working Papers 18-884, Toulouse School of Economics (TSE).
16. Shangen Li, 2021. "Strategic Exploration for Innovation," Papers 2108.07218, arXiv.org, revised Dec 2023.
17. Kolb, Aaron M., 2019. "Strategic real options," Journal of Economic Theory, Elsevier, vol. 183(C), pages 344-383.
18. Nezlobin, Alexander, 2018. "Dynamic Investment Models in Accounting Research," Foundations and Trends(R) in Accounting, now publishers, vol. 12(3), pages 216-297, December.
19. Szydlowski, Martin, 2024. "Fomenting conflict," Journal of Economic Theory, Elsevier, vol. 220(C).
20. McClellan, Andrew, 2025. "The dynamics of project standards," Journal of Economic Theory, Elsevier, vol. 224(C).
21. Jonas Al-Hadad & Zbigniew Palmowski, 2020. "Perpetual American options with asset-dependent discounting," Papers 2007.09419, arXiv.org, revised Jan 2021.
22. Szydlowski, Martin & Yoon, Ji Hee, 2022. "Ambiguity in dynamic contracts," Journal of Economic Theory, Elsevier, vol. 199(C).
23. Dirk Bergemann & Alessandro Pavan, 2015. "Introduction to JET Symposium Issue on "Dynamic Contracts and Mechanism Design"," Cowles Foundation Discussion Papers 2016, Cowles Foundation for Research in Economics, Yale University.
24. Gorno, Leandro & Iachan, Felipe S., 2020. "Competitive real options under private information," Journal of Economic Theory, Elsevier, vol. 185(C).
25. Daniel Krv{s}ek & Dylan Possamai, 2023. "Randomisation with moral hazard: a path to existence of optimal contracts," Papers 2311.13278, arXiv.org.
26. Dylan Possamai & Nizar Touzi, 2020. "Is there a Golden Parachute in Sannikov's principal-agent problem?," Papers 2007.05529, arXiv.org, revised Oct 2022.