Related papers: On Equilibrium Prices in Continuous Time
We present a general method to identify an arbitrary number of fluctuating quantities which satisfy a detailed fluctuation theorem for all times within the framework of time-inhomogeneous Markovian jump processes. In doing so we provide a…
Generalizing response theory of open systems far from equilibrium is a central quest of nonequilibrium statistical physics. Using stochastic thermodynamics, we develop an algebraic method to study the response of nonequilibrium steady state…
A fully general-covariant formulation of statistical mechanics is still lacking. We take a step toward this theory by studying the meaning of statistical equilibrium for coupled, parametrized systems. We discuss how to couple parametrized…
A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in ArXiv: 1502.03998 and ArXiv: 1709.05181,…
General equilibrium is the dominant theoretical framework for economic policy analysis at the level of the whole economy. In practice, general equilibrium treats economies as being always in equilibrium, albeit in a sequence of equilibria…
We use a combination of perturbation theory and numerical techniques to study the equilibration of two interacting fields which are initially at thermal equilibrium at different temperatures. Using standard rules of quantum field theory, we…
The accurate prediction of short-term electricity prices is vital for effective trading strategies, power plant scheduling, profit maximisation and efficient system operation. However, uncertainties in supply and demand make such…
Under the same assumptions made by Mas-Colell et al. (1995), I develop a short, simple, and complete proof of existence of equilibrium prices based on excess demand functions. The result is obtained by applying the Brouwer fixed point…
We develop a theory of securities price formation and dynamics based on quantum approach and without presuming any similarities with quantum mechanics. Disorder introduced by trading environment leads to probability distribution of returns…
Economic systems are similar with physic systems for their large number of individuals and the exist of equilibrium. In this paper, we present a model applying the equilibrium statistical model in economic systems. Consistent with…
We demonstrated the analogy between Economics and Gauge Theory of Plasticity and used it to describe the relationship between money supply and inflation at the economic market. The received equations of economical dynamics in phase space…
We derive general properties, which hold for both quantum and classical systems, of response functions of nonequilibrium steady states. We clarify differences from those of equilibrium states. In particular, sum rules and asymptotic…
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered.…
Equilibrium statistical mechanics provides powerful tools to understand physics at the macroscale. Yet, the question remains how this can be justified based on a microscopic quantum description. Here, we extend the ideas of pure state…
An axiomatic approach to macroeconomics based on the mathematical structure of thermodynamics is presented. It deduces relations between aggregate properties of an economy, concerning quantities and flows of goods and money, prices and the…
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…
The notion that economies should normally be in equilibrium is by now well-established; equally well-established is that economies are almost never precisely in equilibrium. Using a very general formulation, we show that under dynamics that…
General Equilibrium Theory is the benchmark of economics, especially its results concerning the efficient allocation of resources, known as the First and Second Welfare Theorems. Yet, General Equilibrium Theory is beyond the scope of most…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
In economics, construction of perfect models in a way that would be comparable to the standards customary in physical sciences is generally not feasible. In particular, the observed value for an economic equilibrium may deviate…