Related papers: Consumption processes and positively homogeneous p…
We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank…
Stochastic integrals are defined with respect to a collection $P = (P_i; \, i \in I)$ of continuous semimartingales, imposing no assumptions on the index set $I$ and the subspace of $\mathbb{R}^I$ where $P$ takes values. The integrals are…
Assuming frictionless trading, classical stochastic portfolio theory (SPT) provides relative arbitrage strategies. However, the costs associated with real-world execution are state-dependent, volatile, and under increasing stress during…
Confidence sequences, anytime p-values (called p-processes in this paper), and e-processes all enable sequential inference for composite and nonparametric classes of distributions at arbitrary stopping times. Examining the literature, one…
Spatio-temporal Hawkes point processes are a particularly interesting class of stochastic point processes for modeling self-exciting behavior, in which the occurrence of one event increases the probability of other events occurring. These…
In a discrete-time financial market model with instantaneous price impact, we find an asymptotically optimal strategy for an investor maximizing her expected wealth. The asset price is assumed to follow a process with negative memory. We…
We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochastic walks display slowly-decaying…
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a wealth process, with respect to which the relative wealth…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c)…
We introduce an approximation strategy for the discounted moments of a stochastic process that can, for a large class of problems, approximate the true moments. These moments appear in pricing formulas of financial products such as bonds…
This paper studies a type of consumption preference where some adjustment costs are incured whenever the past spending maximum and the past spending minimum records are updated. This preference can capture the adverse effects of the…
This paper considers binomial approximation of continuous time stochastic processes. It is shown that, under some mild integrability conditions, a process can be approximated in mean square sense and in other strong metrics by binomial…
We characterize optimal consumption policies in a recursive intertemporal utility framework with local substitution. We establish existence and uniqueness and a version of the Kuhn-Tucker theorem characterizing the optimal consumption plan.…
Data regulations increasingly enable consumers to switch among market segments, making segmentation an endogenous outcome of strategic interaction. We study a model in which consumers choose segments before a monopolist sets…
We study preferences estimated from finite choice experiments and provide sufficient conditions for convergence to a unique underlying "true" preference. Our conditions are weak, and therefore valid in a wide range of economic environments.…
The generic case of pensions fund that it is not sufficiently auto financed and it is thoroughly maintained with an external financing effort is considered in this chapter. To represent the unrestricted reserves value process of this kind…
Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of…