Related papers: Incomplete stochastic equilibria for dynamic monet…
We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by…
We study invariance and monotonicity properties of Kunita-type stochastic differential equations in $\RR^d$ with delay. Our first result provides sufficient conditions for the invariance of closed subsets of $\RR^d$. Then we present a…
This paper establishes a link between endowments, patience types, and the parameters of the HARA Bernoulli utility function that ensure equilibrium uniqueness in an economy with two goods and two impatience types with additive separable…
We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regularity conditions than those found in the…
This paper proves the existence and uniqueness results (in the sense of maximally defined regularity) as well as the stability analysis for the solutions to a class of nonlocal fully-nonlinear parabolic systems, where the nonlocality stems…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the…
For simultaneous independent events with finitely many outcomes, consider the expected-utility problem with nonnegative wagers and an endogenous cash position. We prove a short support theorem for a broad class of strictly increasing…
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
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…
We consider the model of a token-based joint auto-scaling and load balancing strategy, proposed in a recent paper by Mukherjee, Dhara, Borst, and van Leeuwaarden (SIGMETRICS '17, arXiv:1703.08373), which offers an efficient scalable…
We study the complexity of finding a Walrasian equilibrium in markets where the agents have $k$-demand valuations. These valuations are an extension of unit-demand valuations where a bundle's value is the maximum of its $k$-subsets' values.…
We develop a continuous-time general equilibrium framework for economies with a heterogeneous population -- modeled as a continuum -- that repeatedly optimizes over short horizons under relative-income (Duesenberry-type) criteria. The…
We study the linear-quadratic control problem for a class of non-exchangeable mean-field systems, which model large populations of heterogeneous interacting agents. We explicitly characterize the optimal control in terms of a new…
We introduce a new class of combinatorial markets in which agents have covering constraints over resources required and are interested in delay minimization. Our market model is applicable to several settings including scheduling, cloud…
This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…
We introduce a model of dynamic matching with transferable utility, extending the static model of Shapley and Shubik (1971). Forward-looking agents have individual states that evolve with current matches. Each period, a matching market with…
We study equilibria of markets with $m$ heterogeneous indivisible goods and $n$ consumers with combinatorial preferences. It is well known that a competitive equilibrium is not guaranteed to exist when valuations are not gross substitutes.…
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in continuous time. Both order book depth and resilience are allowed to evolve randomly in time.…
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…