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A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion…
We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…
This paper studies the economic role of persistent dispersion in allocations across agents. We develop a tractable model in which firms allocate resources under imperfect information and behavioral updating, generating sustained…
This paper analyzes repeated version of the bilateral trade model where the independent payoff relevant private information of the buyer and the seller is correlated across time. Using this setup it makes the following five contributions.…
We develop a model of the behaviour of a dynamically optimizing economic agent who makes consumption-saving and spatial relocation decisions. We formulate an existence result for the model, derive the necessary conditions for optimality and…
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal…
In this work, we solved the scalar and tensor perturbation equations numerically and using the improved uniform approximation method together with the third-order phase-integral method, for the $\alpha$-attractor inflationary model. This…
In this work, we present a second-order numerical scheme to address the solution of optimal control problems constrained by the evolution of nonlinear Fokker-Planck equations arising from socio-economic dynamics. In order to design an…
Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariate time series pertaining to country inflation (CPI),…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
We study a dynamical model of a population of cooperators and defectors whose actions have long-term consequences on environmental "commons" - what we term the "resource". Cooperators contribute to restoring the resource whereas defectors…
In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and…
This paper presents SIMPOL (Simplified Policy Iteration), a modular numerical framework for solving continuous-time heterogeneous agent models. The core economic problem, the optimization of consumption and savings under idiosyncratic…
For the Ramsey model of economic growth, which describes the optimal allocation of consumption and saving over time, we assume the population dynamics to follow the Allee effect. The so-called Allee threshold separates two regimes from each…
We introduce a highly stylized, yet non trivial model of the economy, with a public and private sector coupled through a wealth tax and a redistribution policy. The model can be fully solved analytically, and allows one to address the…
The theorems we proved describe the structure of economic equilibrium in the exchange economy model. We have studied the structure of property vectors under given structure of demand vectors at which given price vector is equilibrium one.…
We introduce a new approach for computing optimal equilibria via learning in games. It applies to extensive-form settings with any number of players, including mechanism design, information design, and solution concepts such as correlated,…
A special case of Myerson's classic result describes the revenue-optimal equilibrium when a seller offers a single item to a buyer. We study a repeated sales extension of this model: a seller offers to sell a single fresh copy of an item to…
Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient…
This paper casts within a unified economic framework some key challenges for the global economic order: de-globalization; the rising impracticability of global cooperation; and the increasingly confrontational nature of Great Power…