Related papers: Sustainability in the Stochastic Ramsey Model
We show that when a high-dimensional data matrix is the sum of a low-rank matrix and a random error matrix with independent entries, the low-rank component can be consistently estimated by solving a convex minimization problem. We develop a…
In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone…
We study the stochastic dynamics of a system of interacting species in a stochastic environment by means of a continuous-time Markov chain with transition rates depending on the state of the environment. Models of gene regulation in systems…
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains…
In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare the estimated…
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors…
We address a novel approach for stochastic individual-based modelling of a single species population. Individuals are distinguished by their remaining lifetimes, which are regulated by the interplay between the inexorable running of time…
We consider a class of biologically-motivated stochastic processes in which a unicellular organism divides its resources (volume or damaged proteins, in particular) symmetrically or asymmetrically between its progeny. Assuming the final…
Regulatory requirements dictate that financial institutions must calculate risk capital (funds that must be retained to cover future losses) at least annually. Procedures for doing this have been well-established for many years, but recent…
The paper deals with the problem of controlling the state of industrial devices according to the readings of their sensors. The current methods rely on one approach to feature extraction in which the prediction occurs. We proposed a…
Models of stochastic choice typically use conditional choice probabilities given menus as the primitive for analysis, but in the field these are often hard to observe. Moreover, studying preferences over menus is not possible with this…
We introduce two stochastic chemostat models consisting in a coupled population-nutrient process reflecting the interaction between the nutrient and the bacterias in the chemostat with finite volume. The nutrient concentration evolves…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
We study the concentration phenomenon for discrete-time random dynamical systems with an unbounded state space. We develop a heuristic approach towards obtaining exponential concentration inequalities for dynamical systems using an entirely…
We design a stochastic individual-based model structured in energy, for single species consuming an external resource, where populations are characterized by a typical energy at birth in $\mathbb{R}^{*}_{+}$. The resource is maintained at a…
We derive the first conditionally consistent estimators for a class of parametric Markov population models with logistic growth, which are suitable for modelling endangered populations in restricted habitats with a carrying capacity. We…
We consider the problem of estimating the parameters of a linear univariate autoregressive model with sub-Gaussian innovations from a limited sequence of consecutive observations. Assuming that the parameters are compressible, we analyze…
In this paper, we study the global stability properties of a multi-agent model of natural resource consumption that balances ecological and social network components in determining the consumption behavior of a group of agents. The social…
We show that a steady-state stock-flow consistent macro-economic model can be represented as a Constraint Satisfaction Problem (CSP).The set of solutions is a polytope, which volume depends on the constraintsapplied and reveals the…