Related papers: On Equilibrium Prices in Continuous Time
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…
We present a dynamical many-body theory of money in which the value of money is a time dependent ``strategic variable'' that is chosen by the individual agents. The value of money in equilibrium is not fixed by the equations, and thus…
These lecture notes give a short review of methods such as the matrix ansatz, the additivity principle or the macroscopic fluctuation theory, developed recently in the theory of non-equilibrium phenomena. They show how these methods allow…
A general information equilibrium model in the case of ideal information transfer is defined and then used to derive the relationship between supply (information destination) and demand (information source) with the price as the detector of…
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…
There are two main approaches to non-equlibrium statistical mechanics: one using stochastic processes and the other using dynamical systems. To model the dynamics during inflation one usually adopts a stochastic description, which is known…
Walrasian equilibrium prices can be said to coordinate markets: They support a welfare optimal allocation in which each buyer is buying bundle of goods that is individually most preferred. However, this clean story has two caveats. First,…
We consider "time-of-use" pricing as a technique for matching supply and demand of temporal resources with the goal of maximizing social welfare. Relevant examples include energy, computing resources on a cloud computing platform, and…
The present paper studies a large class of temperature dependent probability distributions and shows that entropy and energy can be defined in such a way that these probability distributions are the equilibrium states of a generalized…
For a quantum-mechanical counting process we show ergodicity, under the condition that the underlying open quantum system approaches equilibrium in the time mean. This implies equality of time average and ensemble average for correlation…
In this paper, we propose a mean-field game model for the price formation of a commodity whose production is subjected to random fluctuations. The model generalizes existing deterministic price formation models. Agents seek to minimize…
We examine how monetary shocks spread throughout an economic model characterized by sticky prices and general equilibrium, where the pricing strategies of firms are interlinked, fostering a mutually beneficial relationship. In this dynamic…
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…
For a quantum system to be captured by a stationary statistical ensemble, as is common in thermodynamics and statistical mechanics, it is necessary that it reaches some apparently stationary state in the first place. In this book chapter,…
Following on from our recent work, we investigate a stochastic approach to non-equilibrium quantum spin systems. We show how the method can be applied to a variety of physical observables and for different initial conditions. We provide…
Foundations of equilibrium thermodynamics are the equation of state (EoS) and four postulated laws of thermodynamics. We use equilibrium thermodynamics paradigms in constructing the EoS for microeconomics system that is a market. This…
Galichon, Samuelson and Vernet (2022) introduced a class of problems, equilibrium flow problems, that nests several classical economic models such as bipartite matching models, minimum-cost flow problems and hedonic pricing models. We…
We provide a general macrostatistical formulation of nonequilibrium steady states of reservoir driven quantum systems. This formulation is centred on the large scale properties of the locally conserved hydrodynamical observables, and our…
Various formulations of counterfactual general equilibrium in economies -- systems of actors manipulating economic goods -- are logically and mathematically analyzed. Evenly-rotating economies are systems whose evolution is stable, steady,…
For a class of linear switched systems in continuous time a controllability condition implies that state feedbacks allow to achieve almost sure stabilization with arbitrary exponential decay rates. This is based on the Multiplicative…