Related papers: Sustainability in the Stochastic Ramsey Model
We address the construction of stable random matrix ensembles as the generalization of the stable random variables (Levy distributions). With a simple method we derive the Cauchy case, which is known to have remarkable properties. These…
We study the optimal sustainable harvesting of a population that lives in a random environment. The novelty of our setting is that we maximize the asymptotic harvesting yield, both in an expected value and almost sure sense, for a large…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…
We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weighted sampling. In an asymptotic setting where the number of…
This paper characterizes differentiable subgame perfect equilibria in a continuous time intertemporal decision optimization problem with non-constant discounting. The equilibrium equation takes two different forms, one of which is…
This paper studies a life-time consumption-investment problem under the Black-Scholes framework, where the consumption rate is subject to a lower bound constraint that linearly depends on her wealth. It is a stochastic control problem with…
We consider the filtering problem of estimating a hidden random variable $X$ by noisy observations. The noisy observation process is constructed by a randomised Markov bridge (RMB) $(Z_t)_{t\in [0,T]}$ of which terminal value is set to…
Accounting for the non-normality of asset returns remains challenging in robust portfolio optimization. In this article, we tackle this problem by assessing the risk of the portfolio through the "amount of randomness" conveyed by its…
This paper develops a comprehensive Markov-based framework for modelling reservoir behaviour and assessing key performance measures such as reliability and resilience. We first formulate a stochastic model for a finite-capacity dam,…
We consider a stochastic optimal control problem in a market model with temporary and permanent price impact, which is related to an expected utility maximization problem under finite fuel constraint. We establish the initial condition…
We study a general class of consumption-savings problems with recursive preferences. We characterize the sign of the consumption response to arbitrary shocks in terms of the product of two sufficient statistics: the elasticity of…
We discuss a resource-competition model, which takes the MacArthur's model as a platform, to unveil interesting connections with glassy features and jamming in high dimension. This model presents two qualitatively different phases: a…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…
We introduce and analyze a new class of monotone stochastic recursions in a regenerative environment which is essentially broader than that of Markov chains. We prove stability theorems and apply our results {to three canonical models in…
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…
We revisit the classic Cournot model and extend it to a two-echelon supply chain with an upstream supplier who operates under demand uncertainty and multiple downstream retailers who compete over quantity. The supplier's belief about retail…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
Statistical models are often structurally unidentifiable, because different sets of parameters can lead to equal model outcomes. To be useful for prediction and parameter inference from data, stochastic population models need to be…
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex…
We determine forest lease value and optimal harvesting strategies under model parameter uncertainty within stochastic bio-economic models that account for catastrophe risk. Catastrophic events are modeled as a Poisson point process, with a…