Related papers: Fiscal stimulus as an optimal control problem
In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their…
We introduce a spatial economic growth model where space is described as a network of interconnected geographic locations and we study a corresponding finite-dimensional optimal control problem on a graph with state constraints. Economic…
We introduce a non-zero-sum game between a government and a legislative body to study the optimal level of debt. Each player, with different time preferences, can intervene on the stochastic dynamics of the debt-to-GDP ratio via singular…
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation. There is a…
As data-driven predictive models are increasingly used to inform decisions, it has been argued that decision makers should provide explanations that help individuals understand what would have to change for these decisions to be beneficial…
This paper studies Merton's problem in an extended formulation by incorporating the benchmark tracking on the wealth process. We consider a tracking formulation where the fund manager aims to maximize the trade-off between the expected…
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of…
This study represents a first attempt to build a backcasting methodology to identify the optimal policy roadmaps in transport systems. Specifically, it considers a passenger car fleet subsystem, modelling its evolution and greenhouse gas…
In contemporary society, the effective utilization of public resources remains a subject of significant concern. A common issue arises from defectors seeking to obtain an excessive share of these resources for personal gain, potentially…
We study the problem of allocating bailouts (stimulus, subsidy allocations) to people participating in a financial network subject to income shocks. We build on the financial clearing framework of Eisenberg and Noe that allows the…
We consider a game-theoretic model where individuals compete over a shared failure-prone system or resource. We investigate the effectiveness of a taxation mechanism in controlling the utilization of the resource at the Nash equilibrium…
We analyze the optimal control of disease prevention and treatment in a basic SIS model. We develop a simple macroeconomic setup in which the social planner determines how to optimally intervene, through income taxation, in order to…
This paper proposes a strategic model of pollution control. A firm, representative of the productive sector of a country, aims at maximizing its profits by expanding its production. Assuming that the output of production is proportional to…
This paper revisits the classic instrument choice problem in a setting with consumption externalities, through the lens of robust mechanism design. A regulator can implement any incentive-compatible policy but is uncertain about how…
We introduce a highly stylized, yet non trivial model of the economy, with a public and private sector coupled through a wealth tax and a redistribution policy. The model can be fully solved analytically, and allows one to address the…
We propose a new optimal model of product goodwill in a segmented market where the state variable is described by a partial differential equation of the Lotka--Sharp--McKendrick type. In order to maximize the sum of discounted profits over…
We investigate state-dependent effects of fiscal multipliers and allow for endogenous sample splitting to determine whether the US economy is in a slack state. When the endogenized slack state is estimated as the period of the unemployment…
Major events like natural catastrophes or the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers. Thus, when optimal investment and reinsurance strategies have to be…
The model of this paper gives a convenient strategy that a bank in the federal funds market can use in order to maximize its profit in a contemporaneous reserve requirement (CRR) regime. The reserve requirements are determined by the demand…
In this paper, we investigate the problem of optimal strategies of dividend and reinsurance under the Cram\'{e}r-Lundberg risk model embedded with the thinning-dependence structure which was firstly introduced by Wang and Yuen (2005),…