Related papers: Incomplete stochastic equilibria for dynamic monet…
We study Bayesian mechanism design problems in settings where agents have budgets. Specifically, an agent's utility for an outcome is given by his value for the outcome minus any payment he makes to the mechanism, as long as the payment is…
We study the problem of maximising terminal utility for an agent facing model uncertainty, in a frictionless discrete-time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the…
In this paper, we study deterministic mean field games for agents who operate in a bounded domain. In this case, the existence and uniqueness of Nash equilibria cannot be deduced as for unrestricted state space because, for a large set of…
This paper studies the relations among system parameters, uniqueness, and stability of equilibria, for kinetic systems given in the form of polynomial ODEs. Such models are commonly used to describe the dynamics of nonnegative systems, with…
We introduce uncertainty into a pure exchange economy and establish a connection between Shannon's differential entropy and uniqueness of price equilibria. The following conjecture is proposed under the assumption of a uniform probability…
We offer mathematical tractability and new insights for a framework of exponential utility with non-negative consumption, a constraint often omitted in the literature giving rise to economically unviable solutions. Specifically, using the…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We study a time-inhomogeneous nonlinear SDE with drift and diffusion governed by state-dependent variable exponents. This framework generalizes models like the geometric Brownian motion (GBM) and the constant elasticity of variance (CEV),…
We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
The received wisdom in statistical mechanics is that isolated systems, when left to themselves, approach equilibrium. But under what circumstances does an equilibrium state exist and an approach to equilibrium take place? In this paper we…
We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…
For a dynamical system, it is known that the existence of a Lyapunov-type density function, called Lyapunov density or Rantzer's density function, implies convergence of Lebesgue almost all solutions to an equilibrium. Using the duality…
We generalize the stochastic revealed preference methodology of McFadden and Richter (1990) for finite choice sets to settings with limited consideration. Our approach is nonparametric and requires partial choice set variation. We impose a…
We consider piecewise linear discrete time macroeconomic models, which possess a continuum of equilibrium states. These systems are obtained by replacing rational inflation expectations with a boundedly rational, and genuinely sticky,…
In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein--Zin stochastic differential utility (EZ-SDU) who invests in a constant-parameter Black-Scholes-Merton market over the…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensures the consistency of optimal strategies across any time…
We study the existence of equilibrium when agents' preferences may not beconvex. For some specific utility functions, we provide a necessary and sufficientcondition under which there exists an equilibrium. The standard approach cannot be…
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…