scholarly journals Optimal and Time-Consistent Polices in Continuous Time Rational Expectations Models

10.3386/t0029 ◽  
1983 ◽  
Author(s):  
Willem Buiter
Keyword(s):  
Continuous Time ◽  
Rational Expectations

EXCESS CAPACITY IN POST ENTRY COURNOT COMPETITION

2002 ◽  
Vol 04 (02) ◽  
pp. 101-118 ◽  
Author(s):  
JACQUES THÉPOT
Keyword(s):  
Continuous Time ◽  
Rational Expectations ◽  
Comparative Test ◽  
Excess Capacity ◽  
Continuous Time Model ◽  
Time Model ◽  
Nash Strategies ◽  
Linear Demand ◽  
Post Entry ◽  
Established Firm

This paper discusses the occurrence of excess capacity in a post entry duopoly continuous time model when capacity building is irreversible. It is proved that the Cournot–Nash strategies used by firms may induce persistent capacity for the established firm. In the linear demand case, the investment periods of the established firm and the entrant are analytically derived. These results generalize findings of Spulber (1981). A comparative test in terms of rational expectations of quantities is designed to characterize excess capacity occurrence.

Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model

2007 ◽  
Vol 44 (02) ◽  
pp. 285-294 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Asymptotic Formula ◽  
Continuous Time ◽  
Heavy Tails ◽  
Tail Behavior ◽  
Renewal Model ◽  
Discounted Aggregate Claims ◽  
Aggregate Claims ◽  
Tail Asymptotic

We study the tail behavior of discounted aggregate claims in a continuous-time renewal model. For the case of Pareto-type claims, we establish a tail asymptotic formula, which holds uniformly in time.

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