Essays on mixed hitting time models

Yifan Yu

Research output: ThesisDoctoral Thesis

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Abstract

This doctoral dissertation consists of three chapters on mixed hitting-time (MHT) models that specify durations as the first time a latent stochastic process crosses a heterogeneous threshold. Chapter 2 studies the empirical analysis of synchronization games in which the payoffs of stopping increase when other agents stop. Chapter 3 investigates a competing risks model in which one latent duration is the first time a stochastic process increases above some threshold and the other latent duration is the first time this same process falls below another threshold. Chapter 4 considers an extension of the MHT model with a mean reverting latent process, i.e. an Ornstein-Uhlenbeck process.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Abbring, Jaap, Promotor
  • Kort, Peter, Promotor
Award date12 Apr 2019
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 584 3
DOIs
Publication statusPublished - 2019

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