Related papers: Endogenous Current Coupons
Stable distribution is one of the attractive models that well describes fat-tail behaviors and scaling phenomena in various scientific fields. The approach based upon the method of moments yields a simple procedure for estimating stable law…
We study a continuous time contracting model in which a principal hires a risk averse agent to manage a project over a finite horizon and provides sequential payments whose timing is endogenously determined. The resulting nonzero-sum…
In most cases, insurance contracts are linked to the financial markets, such as through interest rates or equity-linked insurance products. To motivate an evaluation rule in these hybrid markets, Artzner et al. (2022) introduced the notion…
This paper introduces a node formulation for multistage stochastic programs with endogenous (i.e., decision-dependent) uncertainty. Problems with such structure arise when the choices of the decision maker determine a change in the…
In this paper we study iterative algorithms for finding a common element of the set of fixed points of $\kappa$-strict pseudocontractions or finding a solution of a variational inequality problem for a monotone, Lipschitz continuous…
We develop a new approach to estimating flexible demand models with exogenous supply-side shocks. Our approach avoids conventional assumptions of exogenous product characteristics, putting no restrictions on product entry, despite using…
We propose an aggregate notion of non-transferable utility (NTU) stability for decentralized matching markets with fixed prices, where market clearing is achieved through one-sided money burning, which can be interpreted as waiting. Agents…
This paper studies consensus problems for multi-agent systems defined on directed graphs where the consensus dynamics involves nonlinear and discontinuous functions. Sufficient conditions, involving the nonlinear functions and the topology…
Evidence-based decision-making entails collecting (costly) observations about an underlying phenomenon of interest, and subsequently committing to an (informed) decision on the basis of accumulated evidence. In this setting, active sensing…
This paper studies a distributed continuous-time aggregative optimization problem, which is a fundamental problem in the price-based energy management. The objective of the distributed aggregative optimization is to minimize the sum of…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
We consider a large population of learning agents noncooperatively selecting strategies from a common set, influencing the dynamics of an exogenous system (ES) we seek to stabilize at a desired equilibrium. Our approach is to design a…
This paper mainly investigates consensus problem with pull-based event-triggered feedback control. For each agent, the diffusion coupling feedbacks are based on the states of its in-neighbors at its latest triggering time and the next…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…
Using results from convex analysis, we investigate a novel approach to identification and estimation of discrete choice models which we call the Mass Transport Approach (MTA). We show that the conditional choice probabilities and the…
Probabilities of Causation play a fundamental role in decision making in law, health care and public policy. Nevertheless, their point identification is challenging, requiring strong assumptions such as monotonicity. In the absence of such…
In a wide variety of applications, humans interact with a complex environment by means of asynchronous stochastic discrete events in continuous time. Can we design online interventions that will help humans achieve certain goals in such…
Different from existing literature on testing the macro-spanning hypothesis of bond risk premia, which only considers mean regressions, this paper investigates whether the yield curve represented by CP factor (Cochrane and Piazzesi, 2005)…
We consider stochastic model predictive control of a multi-agent systems with constraints on the probabilities of inter-agent collisions. We first study a sample-based approximation of the collision probabilities and use this approximation…
Inspired by the paper Greenhalgh et al. [5] we investigate a class of two dimensional stochastic differential equations related to susceptible-infected-susceptible epidemic models with demographic stochasticity. While preserving the key…