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Perturbation theory for Markov chains via Wasserstein distance
Perturbation theory for Markov chains addresses the question how small differences in the transitions of Markov chains are reflected in differences between their distributions. We prove powerful andExpand
A Primal–Dual Algorithm for BSDEs
We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation associated with time discretization schemes ofExpand
Performance bounds for optimal sales mechanisms beyond the monotone hazard rate condition
Abstract In mechanism design, Myerson’s classical regularity assumption is often too weak to imply quantitative results about the performance of sales mechanisms. For example, ratios between revenueExpand
Institutions, Shared Guilt, and Moral Transgression
Many tasks can only be completed if several people contribute. Likewise, many institutions, e.g. voting rules, require the support of several people to implement specific decisions. In suchExpand
Revenues and Welfare in Auctions with Information Release
We introduce new statistical concepts, k- and k-m-dispersion, for understanding the impact of information release in multi-object auctions. Expand
Cross-hedging minimum return guarantees: Basis and liquidity risks
We reveal pitfalls in the hedging of insurance contracts with a minimum return guarantee on the underlying investment, e.g. an external mutual fund. We analyze basis risk entailed by hedging theExpand
Guilt in voting and public good games
This paper analyzes how moral costs affect individual support of morally difficult group decisions. We study a threshold public good game with moral costs. Motivated by recent empirical findings, weExpand
Optimal Revelation of Life-Changing Information
We propose to integrate patients into the decision about how precise their test should be, a practice that would be novel to the medical field. Expand
Non-asymptotic Error Bounds for Sequential MCMC and Stability of Feynman-Kac Propagators
We provide a generic way of deducing non-asymptotic error bounds for Sequential MCMC methods from suitable stability properties of Feynman-Kac propagators. We show how to derive this type ofExpand
The Quantitative View of Myerson Regularity
In mechanism design, Myerson regularity is often too weak for a quantitative analysis of performance. For instance, ratios between revenue and welfare, or sales probabilities may vanish at theExpand