Decision makers in a supply chain confront two main sources of uncertainty in market environment including uncertainty about customers purchasing behaviors and rival chains strategies. Focusing on competition between two supply chains, it is considered that each customer as an independent player selects products of these chains based on randomutilitymodel. Similar to quantal response equilibriu...

This paper considers the instrumental variable regression model when there is uncertainty about the set of instruments, exogeneity restrictions, the validity of identifying restrictions and the set of exogenous regressors. This uncertainty can result in a huge number of models. To avoid statistical problems associated with standard model selection procedures, we develop a reversible jump Markov...

Firms insure themselves from liquidity shocks by contracting on credit lines banks. I document novel empirical evidence how the risk of contract nonperformance banks is priced. pay a higher price for loan commitments safer A one standard deviation increase in cross-sectional mean bank capital increases commitment fees 5%. To investigate potential causal effect lender stability fees, exploit exo...

This paper deals with an application of H∞ control attenuating initial-state uncertainties to the magnetic bearing and examines the H∞ control problem, which treats a mixed Disturbance and an Initial state uncertainty Attenuation (DIA) control. The mixed H∞ DIA problem supplies H∞ controls with good transients and assures H∞ controls of robustness against initial-state uncertainty. On the other...

Betting and prediction markets provide a natural environment for testing theories of decision making under uncertainty and price formation. The uncertainty about the value of the assets traded in these markets is resolved unambiguously, and the outcome is observed publicly. In most cases it is also reasonable to presume that the realized outcomes are exogenous with respect to market prices. In ...

Using climate change as a prototype motivating example, this paper analyzes the implications of structural uncertainty for the economics of low-probability high-impact catastrophes. The paper shows that having an uncertain multiplicative parameter, which scales or ampli…es exogenous shocks and is updated by Bayesian learning, induces a critical “tail fattening” of posterior-predictive distribut...

This paper investigates the linear and nonlinear effects of financial regulation policy uncertainty shocks on US macroeconomic aggregates within a Vector Autoregressive (VAR) framework. Financial regulation policy uncertainty (FRPU) is quantified with a news-based index developed by Baker et al. (2013). Particular attention is paid to the reaction of corporate credit spreads to FRPU shocks. The...

In this paper, a new method ofH∞ observer design for Lipschitz nonlinear systems is proposed in the form of an LMI optimization problem. The proposed observer has guaranteed decay rate (exponential convergence) and is robust against unknown exogenous disturbance. In addition, thanks to the linearity of the proposed LMIs in the admissible Lipschitz constant, it can be maximized via LMI optimizat...

When there is uncertainty about a CEO’s quality, news about the firm causes rational investors to update their expectation of the firm’s value for two reasons: Updates occur because of the direct effect of the news, and also because news leads investors to update their assessment of the CEO’s quality, which changes expected future cash flows. As a CEO’s quality becomes known more precisely over...

-Sufficient conditions are given under which an adaptive control system is robustly stable and achieves a guaranteed robust asymptotic performance level equal to that of the robust controller given perfect parameter information. The conditions are general in several respects. For example, structured non-parametric uncertainty (e.g. block diagonal) is allowed, as well as exogenous noise inputs. ...