Related papers: On Equilibrium Prices in Continuous Time
We prove an existence result for the time-dependent generalized Nash equilibrium problem under generalized convexity using a fixed point theorem. Furthermore, an application to the dynamic abstract economy is considered.
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent…
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The…
The definition of nonequilibrium entropy is provided for the general nonequilibrium processes by connecting thermodynamics with statistical physics, and the principle of entropy increment in the nonequilibrium processes is also proved in…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
We develop a systematic procedure to approximate generalized free energy in out of equilibrium stochastic systems. The procedure only requires knowledge of the averages of macroscopic observables and uses quasi-equilibrium distribution to…
This paper has two central aims: first, to provide simple conditions under which the generalized games in choice form and, consequently, the abstract economies, admit equilibrium; second, to study the solvability of several types of systems…
This paper develops a theory of competitive equilibrium with indivisible goods based entirely on economic conditions on demand. The key idea is to analyze complementarity and substitutability between bundles of goods, rather than merely…
General equilibrium, the cornerstone of modern economics and finance, rests on assumptions many markets do not meet. Spectrum auctions, electricity markets, and cap-and-trade programs for resource rights often feature non-convexities in…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded…
In this paper, we show that if every consumer in an economy has a quasi-linear utility function, then the normalized equilibrium price is unique, and is locally stable with respect to the t\^atonnement process. Our study can be seen as that…
We present a variety of results analyzing the behavior of a class of stochastic processes --- referred to as Stochastic Hybrid Systems (SHSs) --- in or near equilibrium, and determine general conditions on when the moments of the process…
Given a thermodynamic process which carries a system from one equilibrium state to another, we construct a quantity whose average, over an ensemble of microscopic realizations of the process, depends only on these end states, even if at…
The article develops a general equilibrium model where power relations are central in the determination of unemployment, profitability, and income distribution. The paper contributes to the market forces versus institutions debate by…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…