Related papers: On Equilibrium Prices in Continuous Time
We study generically stable types/measures in both classical and continuous logics, and their connection with randomization and modes of convergence of types/measures.
We study convexity and monotonicity properties for prices of bonds and bond options when the short rate is modeled by a diffusion process. We provide conditions under which convexity of the price in the short rate is guaranteed. Under these…
We develop the stochastic approach to thermodynamics based on the stochastic dynamics, which can be discrete (master equation) continuous (Fokker-Planck equation), and on two assumptions concerning entropy. The first is the definition of…
We formulate the problem of approach to equilibrium in algebraic quantum statistical mechanics and study some of its structural aspects, focusing on the relation between the zeroth law of thermodynamics (approach to equilibrium) and the…
We develop conditions under which individual choices and Walrasian equilibrium prices and allocations can be exactly inferred from finite market data. First, we consider market data that consist of individual demands as prices and incomes…
Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. Anticorrelations of price returns, and subdiffusion of prices is found from the model,…
A generalized fluctuation-response relation is found for thermal systems driven out of equilibrium. Its derivation is independent of many details of the dynamics, which is only required to be first-order. The result gives a correction to…
This is a brief review of recent theoretical efforts to understand persistence in nonequilibrium systems. Some of the recent experimental results are also briefly mentioned. I also discuss recent generalizations of persistence in various…
In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…
As is well known, average-cost optimality inequalities imply the existence of stationary optimal policies for Markov Decision Processes with average costs per unit time, and these inequalities hold under broad natural conditions. This paper…
We develop a comprehensive theory of the stable representation categories of several sequences of groups, including the classical and symmetric groups, and their relation to the unstable categories. An important component of this theory is…
In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the…
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated,…
A conceptual framework for variational formulations of physical theories is proposed. Such a framework is displayed here just for statics, but it is designed to be subsequently adapted to variational formulations of static field theories…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
We present a construction of non-equilibrium steady states within conformal field theory. These states sustain energy flows between two quantum systems, initially prepared at different temperatures, whose dynamical properties are…
In this paper, we firstly prove the existence of the equilibrium for the generalized abstract economy. We apply these results to show the existence of solutions for systems of vector quasi-equilibrium problems with multivalued trifunctions.…
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
We propose a new methodology to compute equilibria for general equilibrium problems on exchange economies with real financial markets, home-production, and retention. We demonstrate that equilibrium prices can be determined by solving a…
We will compare three types of prices, namely, rational (hedging) prices, geometric (growth rate) prices, and martingale (measure) prices. We will show that rational prices in the complete market theory are sometimes contrary to common…